Global Asset Classes, ranked by M-squared
for period ending August 31, 2026
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
M-Squared is the Modigliani risk-adjusted performance, shown as an annual total return percent. It is derived from the Sharpe ratio, but M-Squared is in units of percent return. M-Squared inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark equity portfolio (the S&P 500, represented by the SPY exchange-traded fund).
Portfolio Ingredients: Global Asset Classes Peer Group
Sort by any column by clicking on the gray column heading.
| M-Squared | 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 | -9.6% | -5.5% | 2.1% | -9.0% | -15.3% | 9.4% | 15.0% | 11.7% | 5.4% | 0.0% | |||
| Industrial Metals | DBB | Commodities | 10.3% | -5.8% | -5.8% | -7.7% | -13.2% | 33.5% | 17.2% | 7.5% | 8.4% | 1.8% | |||
| Oil | DBO | Commodities | 0.6% | -12.5% | -2.9% | -8.1% | -14.1% | 67.4% | 14.7% | 15.0% | 11.7% | -0.2% | |||
| Invesco Commodity | DBC | Commodities: Broad | 6.8% | -9.6% | -0.1% | -6.1% | -13.6% | -9.1% | 45.7% | 13.3% | 13.4% | 9.9% | 1.4% | 2.3% | |
| SPDR Gold Shares | GLD | Commodities: Prec Metals | -4.7% | 2.2% | 5.6% | -2.7% | -9.9% | -2.4% | 28.4% | 31.4% | 19.2% | 12.6% | 5.7% | 9.9% | |
| AUStralia | FXA | Currency: AUS Dollar | -5.8% | -16.0% | -14.7% | -16.7% | -17.9% | -9.8% | 10.8% | 4.8% | 0.4% | 0.1% | -1.6% | 1.5% | |
| CAN Canada Dollar | FXC | Currency: CAN Dollar | -26.7% | -25.8% | -22.5% | -19.3% | -20.5% | -13.6% | -0.6% | 0.3% | -1.0% | -0.1% | -2.0% | -0.6% | |
| CHF Swiss Franc | FXF | Currency: CHF Franc | -26.8% | -19.1% | -12.9% | -15.9% | -17.6% | -9.8% | -1.6% | 2.7% | 2.0% | 1.1% | -0.8% | 1.6% | |
| EUR Euro | FXE | Currency: EUR Euro | -26.9% | -17.8% | -16.9% | -17.9% | -19.6% | -12.9% | 0.1% | 3.7% | 0.4% | 0.3% | -1.6% | -0.3% | |
| GBP UK Pound | FXB | Currency: GBP Pound | -19.4% | -15.5% | -14.3% | -15.8% | -17.9% | -14.3% | 2.4% | 4.9% | 1.5% | 1.1% | -0.8% | -0.9% | |
| JPY Japan Yen | FXY | Currency: JPY Yen | -43.6% | -26.6% | -26.0% | -25.3% | -24.2% | -8.4% | -3.5% | -7.7% | -4.7% | -5.2% | |||
| USD US Dollar indx | UUP | Currency: USD index | -9.9% | -17.6% | -5.9% | -12.0% | -10.6% | 6.2% | 3.8% | 5.6% | 3.0% | 3.1% | |||
| iShares MSCI | EEM | Equity: Emerging Mkts | 3.8% | -1.4% | -5.5% | -7.3% | -10.5% | -6.5% | 37.0% | 22.5% | 7.6% | 8.6% | 5.3% | 5.9% | |
| Alerian US MLP | AMLP | Equity: MLP | 4.7% | -2.2% | 6.0% | -10.1% | -11.0% | 23.6% | 19.8% | 20.7% | 7.4% | 5.8% | |||
| US Corp Med 5-10y | IGIB | Fixed Income | -23.0% | -13.0% | -15.7% | -12.5% | -10.4% | 2.1% | 6.1% | 0.9% | 2.8% | 3.0% | |||
| Emerg Mkt Hi Yld | EMHY | Fixed Income | -4.8% | -0.2% | -8.9% | -10.7% | 8.2% | 12.2% | 4.1% | 4.0% | |||||
| Muni Hi Yield | HYD | Fixed Income | -12.3% | -17.8% | -19.4% | -14.9% | -10.9% | 5.5% | 3.7% | -1.0% | 1.3% | 3.2% | |||
| US Treas 7-10yr | IEF | Fixed Income | -27.4% | -19.2% | -21.2% | -17.9% | -14.0% | -6.2% | 0.2% | 3.0% | -1.7% | 0.5% | 1.5% | 3.2% | |
| Intl Treas | IGOV | Fixed Income | -27.4% | -18.8% | -20.6% | -19.6% | -18.2% | -1.5% | 2.6% | -4.3% | -1.5% | -1.2% | |||
| VanEck Intl Hi Yield | IHY | Fixed Income | -15.8% | -6.9% | -12.7% | -10.8% | 4.0% | 8.7% | 2.0% | 3.7% | |||||
| VanEck Intermed Muni | ITM | Fixed Income | -18.0% | -19.5% | -19.1% | -15.9% | -11.6% | 3.1% | 3.1% | -0.2% | 1.4% | 2.5% | |||
| US Hi Yield | JNK | Fixed Income | -7.5% | -5.8% | -10.4% | -9.1% | -7.9% | 5.3% | 8.3% | 3.4% | 4.5% | 4.7% | |||
| US Mort Backed | MBB | Fixed Income | -19.5% | -16.4% | -18.1% | -17.4% | -14.3% | 3.0% | 4.5% | 0.1% | 1.1% | 1.5% | |||
| US Inflation Prot | TIP | Fixed Income | -30.9% | -18.4% | -19.6% | -14.0% | -12.5% | -5.5% | 0.9% | 3.8% | 0.2% | 2.3% | 2.1% | 3.3% | |
| U.S. Agg Bond Market | AGG | Fixed Income: Aggregate | -23.8% | -17.3% | -19.9% | -16.7% | -12.9% | -5.3% | 1.9% | 4.1% | -0.3% | 1.4% | 2.0% | 3.0% | |
| U.S. Total Bond Market | BND | Benchmark | -24.2% | -17.3% | -20.4% | -16.7% | -12.9% | -5.1% | 1.8% | 4.1% | -0.4% | 1.4% | 2.0% | 3.1% | |
| iShares Emerg | EMB | Fixed Income: Aggregate | -11.2% | -8.8% | -13.6% | -13.0% | -10.6% | 6.0% | 8.8% | 1.0% | 2.5% | 3.6% | |||
| Invesco Emerg Mkt Sov Debt | PCY | Fixed Income: Aggregate | -14.3% | -12.2% | -13.3% | -14.2% | -11.5% | 5.0% | 8.1% | -0.2% | 1.4% | 3.2% | |||
| T-Bill 1-3 Month | BIL | Fixed Income: Cash-like | -13.1% | -11.0% | -36.9% | -26.9% | -23.3% | 3.7% | 4.5% | 3.5% | 2.3% | 1.5% | |||
| iShares Treas 20y+ | TLT | Fixed Income: Long-Term | -22.1% | -21.6% | -21.9% | -18.4% | -14.0% | -8.3% | -0.3% | -1.1% | -8.0% | -2.4% | 1.1% | 2.9% | |
| iSh Treas 1-3y | SHY | Fixed Income: Short-Term | -37.7% | -19.2% | -28.8% | -22.8% | -19.1% | -8.0% | 2.3% | 4.1% | 1.8% | 1.7% | 1.3% | 1.9% | |
| ACWI (Global) | ACWI | Int'l Equity: Core | 2.8% | 0.9% | -1.4% | -2.1% | -3.8% | 22.3% | 20.5% | 10.9% | 12.7% | 11.2% | |||
| Intl Dev Core | EFA | Int'l Equity: Lg Cap | 3.5% | -1.6% | -3.3% | -5.6% | -7.3% | -6.2% | 21.5% | 18.2% | 9.3% | 9.5% | 7.9% | 5.5% | |
| iSh EAFE Growth | EFG | Int'l Equity: Lg Cap Gro | -6.4% | -9.1% | -8.6% | -7.3% | -8.1% | -6.3% | 14.8% | 12.6% | 4.0% | 8.1% | 7.3% | 5.3% | |
| iSh EAFE Value | EFV | Int'l Equity: Lg Cap Val | 10.4% | 5.2% | 2.3% | -5.2% | -7.5% | -6.7% | 28.3% | 23.7% | 14.6% | 10.4% | 8.1% | 5.2% | |
| Intl Dev Sm Cap | SCZ | Int'l Equity: Small Cap | -2.8% | -4.7% | -7.3% | -7.2% | -7.4% | 18.7% | 17.3% | 5.4% | 8.5% | 8.4% | |||
| US Large Core | IWB | U.S. Equity: Lg / Mid | -0.2% | -0.5% | -0.8% | -0.5% | -0.4% | -0.2% | 19.6% | 20.6% | 12.0% | 15.0% | 14.8% | 11.2% | |
| iSh Russell 3000 | IWV | U.S. Equity: Lg Cap | 0.3% | -0.9% | -1.2% | -0.9% | -0.8% | -0.6% | 19.9% | 20.4% | 11.6% | 14.7% | 14.5% | 11.0% | |
| S&P 500 | SPY | Benchmark | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 20.2% | 20.9% | 12.7% | 15.3% | 15.0% | 11.3% | |
| iSh Russ 1000 Gro | IWF | U.S. Equity: Lg Cap Gro | -11.6% | -3.8% | -2.3% | 0.4% | -0.2% | 1.0% | 10.6% | 20.9% | 11.7% | 17.7% | 16.7% | 13.2% | |
| Invecso QQQ | QQQ | U.S. Equity: Lg Cap Gro | -3.0% | -1.9% | -0.9% | 2.0% | 1.3% | 2.6% | 26.3% | 24.5% | 14.2% | 20.8% | 19.7% | 16.6% | |
| iSh Russ 1000 Val | IWD | U.S. Equity: Lg Cap Val | 15.9% | -0.8% | -0.6% | -3.8% | -2.8% | -2.8% | 29.5% | 19.6% | 11.6% | 11.6% | 12.4% | 8.7% | |
| iSh Russell | IWC | U.S. Equity: Micro Cap | 9.0% | -5.7% | -6.7% | -7.0% | -6.5% | -5.2% | 37.5% | 23.0% | 6.6% | 11.0% | 11.7% | 7.9% | |
| iSh US Mid Core | IWR | U.S. Equity: Mid Cap | 0.8% | -5.7% | -5.1% | -4.8% | -3.9% | -2.4% | 17.7% | 16.7% | 7.9% | 11.5% | 12.4% | 9.9% | |
| iSh US Mid Growth | IWP | U.S. Equity: Mid Cap Gro | -21.5% | -9.7% | -8.5% | -5.1% | -4.6% | -2.5% | -1.4% | 13.9% | 4.1% | 11.9% | 12.3% | 10.2% | |
| iSh US Mid Value | IWS | U.S. Equity: Mid Cap Val | 8.8% | -5.0% | -3.7% | -6.0% | -4.5% | -3.3% | 24.3% | 17.2% | 9.3% | 10.3% | 11.8% | 9.1% | |
| iSh Russ 2000 | IWM | U.S. Equity: Sm Cap | 3.2% | -8.0% | -6.5% | -6.8% | -6.3% | -4.2% | 26.3% | 17.3% | 6.7% | 10.5% | 11.3% | 8.8% | |
| iSh Russell 2000 | IWO | U.S. Equity: Sm Cap Gro | -3.3% | -8.9% | -7.9% | -6.9% | -6.4% | -3.9% | 23.1% | 16.9% | 5.0% | 10.6% | 11.5% | 9.4% | |
| iSh Russ 2000 Val | IWN | U.S. Equity: Sm Cap Val | 11.8% | -7.5% | -5.3% | -7.4% | -6.7% | -5.0% | 29.6% | 17.6% | 8.3% | 9.9% | 10.8% | 7.8% | |
| iShares Real Estate | IYR | U.S. Real Estate | -12.8% | -12.9% | -10.8% | -10.4% | -8.5% | -7.1% | 7.6% | 9.1% | 1.4% | 5.1% | 7.3% | 5.2% | |
| Vanguard Real Estate | VNQ | U.S. Real Estate | -11.8% | -12.5% | -10.7% | -10.7% | -8.4% | -6.7% | 8.6% | 9.6% | 1.5% | 4.9% | 7.7% | 5.9% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | -2.3% | -3.4% | -4.8% | -2.7% | -1.6% | 0.2% | 12.7% | 13.9% | 6.9% | 9.5% | 9.7% | 8.2% | |