Global Asset Classes, ranked by Downside Deviation

for period ending March 31, 2025

More ways to view this list of Portfolio Ingredients:
Ingredient Summary Page (Total Return with Maximum Drawdown Scatterplots)
by Return: Total Return (1, 3, 5, 10, 15, 20 years), Historical Return (past 5 years)
by Risk vs. Return: Risk vs. Return Compass, M-Squared, Alpha, Sharpe Ratio, Sortino Ratio, Treynor Ratio
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta
by Peer Group: Global Asset Classes, Global Equities, Global Sectors

Downside Deviation is also called "below-target semi deviation". This is similar to standard deviation, except that upside deviation is ignored and only the unfavorable downside deviation is used in the calculation.

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Downside Deviation vs. Annual Return
● Portfolio Ingredients: Global Asset Classes ● S&P 500 (SPY) ● U.S. Bonds (BND) ● Balanced (60% Equity / 40% Bonds)

Portfolio Ingredients: Global Asset Classes Peer Group
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      Downside Deviation   Total Return, annualized
Ingredient Name ID Category 1 year 3 year 5 year 10 year 15 year 20 year   1 year 3 year 5 year 10 year 15 year 20 year
    Group average  
 
Agriculture DBA Commodities 7.8% * * * * *   10.8% * * * * *
Industrial Metals DBB Commodities 8.8% * * * * *   11.9% * * * * *
Oil DBO Commodities 8.5% * * * * *   -3.3% * * * * *
PowerSh Commodity DBC Commodities: Broad 4.2% * * * * *   3.2% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 4.7% * * * * *   40.1% * * * * *
AUStralia FXA Currency: AUS Dollar 7.0% * * * * *   -2.6% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 4.0% * * * * *   -4.4% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 4.6% * * * * *   1.7% * * * * *
EUR Euro FXE Currency: EUR Euro 4.3% * * * * *   2.2% * * * * *
GBP UK Pound FXB Currency: GBP Pound 4.2% * * * * *   5.5% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 8.9% * * * * *   0.4% * * * * *
USD US Dollar indx UUP Currency: USD index 4.0% * * * * *   5.1% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 4.8% * * * * *   8.9% * * * * *
Alerian US MLP AMLP Equity: MLP 7.6% * * * * *   18.4% * * * * *
US Corp Med 5-10y IGIB Fixed Income 3.9% * * * * *   6.4% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 2.7% * * * * *   9.6% * * * * *
Muni Hi Yield HYD Fixed Income 3.4% * * * * *   2.2% * * * * *
US Treas 7-10yr IEF Fixed Income 5.4% * * * * *   4.5% * * * * *
Intl Treas IGOV Fixed Income 6.6% * * * * *   0.1% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 2.8% * * * * *   7.1% * * * * *
MktVectors Intermed Muni ITM Fixed Income 3.3% * * * * *   0.6% * * * * *
US Hi Yield JNK Fixed Income 2.4% * * * * *   7.0% * * * * *
US Mort Backed MBB Fixed Income 4.6% * * * * *   5.6% * * * * *
US Inflation Prot TIP Fixed Income 3.2% * * * * *   6.1% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 4.1% * * * * *   4.9% * * * * *
U.S. Total Bond Market BND Benchmark 4.0% * * * * *   4.9% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 4.5% * * * * *   6.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 7.7% * * * * *   4.6% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 0.0% * * * * *   4.9% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 10.8% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 0.8% * * * * *   5.3% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 6.6% * * * * *   7.5% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 7.5% * * * * *   5.6% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 9.0% * * * * *   -2.2% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 7.1% * * * * *   13.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 8.8% * * * * *   3.8% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 8.5% * * * * *   7.7% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 8.8% * * * * *   7.1% * * * * *
S&P 500 SPY Benchmark 8.1% * * * * *   8.3% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 11.1% * * * * *   7.6% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 10.0% * * * * *   6.3% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 9.3% * * * * *   7.1% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 14.7% * * * * *   -7.4% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 10.8% * * * * *   2.5% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 13.3% * * * * *   3.4% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 10.4% * * * * *   2.1% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 13.9% * * * * *   -4.0% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 15.0% * * * * *   -4.9% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 13.0% * * * * *   -3.2% * * * * *
iShares Real Estate IYR U.S. Real Estate 13.6% * * * * *   9.2% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 13.5% * * * * *   9.0% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 6.1% * * * * *   6.4% * * * * *