Global Asset Classes, ranked by Downside Deviation

for period ending July 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 5.9% * * * * *   13.6% * * * * *
Industrial Metals DBB Commodities 8.6% * * * * *   7.0% * * * * *
Oil DBO Commodities 18.2% * * * * *   -2.7% * * * * *
Invesco Commodity DBC Commodities: Broad 9.5% * * * * *   4.7% * * * * *
SPDR Gold Shares GLD Commodities: Prec Metals 4.6% * * * * *   33.7% * * * * *
AUStralia FXA Currency: AUS Dollar 7.2% * * * * *   -0.3% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 4.2% * * * * *   0.7% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 5.2% * * * * *   7.7% * * * * *
EUR Euro FXE Currency: EUR Euro 5.4% * * * * *   6.9% * * * * *
GBP UK Pound FXB Currency: GBP Pound 5.6% * * * * *   5.6% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 8.7% * * * * *   -1.0% * * * * *
USD US Dollar indx UUP Currency: USD index 5.7% * * * * *   1.4% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 5.1% * * * * *   16.1% * * * * *
Alerian US MLP AMLP Equity: MLP 10.8% * * * * *   12.7% * * * * *
US Corp Med 5-10y IGIB Fixed Income 3.0% * * * * *   6.1% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 2.3% * * * * *   11.2% * * * * *
Muni Hi Yield HYD Fixed Income 3.5% * * * * *   -2.5% * * * * *
US Treas 7-10yr IEF Fixed Income 4.4% * * * * *   2.5% * * * * *
Intl Treas IGOV Fixed Income 7.0% * * * * *   4.4% * * * * *
VanEck Intl Hi Yield IHY Fixed Income 2.6% * * * * *   10.4% * * * * *
VanEck Intermed Muni ITM Fixed Income 3.0% * * * * *   0.9% * * * * *
US Hi Yield JNK Fixed Income 2.0% * * * * *   8.0% * * * * *
US Mort Backed MBB Fixed Income 3.6% * * * * *   2.9% * * * * *
US Inflation Prot TIP Fixed Income 2.7% * * * * *   3.9% * * * * *
U.S. Agg Bond Market AGG Fixed Income: Aggregate 3.2% * * * * *   3.4% * * * * *
U.S. Total Bond Market BND Benchmark 3.2% * * * * *   3.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 3.8% * * * * *   8.5% * * * * *
Invesco Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 7.2% * * * * *   4.2% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 0.0% * * * * *   4.5% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 8.9% * * * * *   -4.4% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 0.7% * * * * *   4.3% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 5.7% * * * * *   15.8% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 7.2% * * * * *   12.3% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 9.3% * * * * *   5.7% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 6.2% * * * * *   19.2% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 8.1% * * * * *   15.7% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 7.8% * * * * *   16.4% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 8.0% * * * * *   15.5% * * * * *
S&P 500 SPY Benchmark 7.3% * * * * *   16.2% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 11.2% * * * * *   23.5% * * * * *
Inveso QQQ QQQ U.S. Equity: Lg Cap Gro 9.7% * * * * *   20.6% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 8.8% * * * * *   8.6% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 13.5% * * * * *   3.0% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 10.1% * * * * *   11.9% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 14.4% * * * * *   28.0% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 9.5% * * * * *   6.9% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 12.6% * * * * *   -0.9% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 14.0% * * * * *   3.0% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 11.7% * * * * *   -4.6% * * * * *
iShares Real Estate IYR U.S. Real Estate 9.9% * * * * *   2.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 10.0% * * * * *   2.4% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 5.0% * * * * *   10.7% * * * * *