Global Asset Classes, ranked by M-squared
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
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).
Note: Access to the sortable list for all years (including 3-, 5-, 10-, 15-, and 20-year metrics) is only available to paid subscribers. Subscribe to view the complete version of this Ingredient Summary page.
Portfolio Ingredients: Global Asset Classes Peer Group
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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 | 2.5% | * | * | * | * | * | 10.8% | * | * | * | * | * | |
Industrial Metals | DBB | Commodities | 1.5% | * | * | * | * | * | 11.9% | * | * | * | * | * | |
Oil | DBO | Commodities | -11.6% | * | * | * | * | * | -3.3% | * | * | * | * | * | |
PowerSh Commodity | DBC | Commodities: Broad | -6.6% | * | * | * | * | * | 3.2% | * | * | * | * | * | |
SPDR Gold Trust | GLD | Commodities: Prec Metals | 32.1% | * | * | * | * | * | 40.1% | * | * | * | * | * | |
AUStralia | FXA | Currency: AUS Dollar | -13.5% | * | * | * | * | * | -2.6% | * | * | * | * | * | |
CAN Canada Dollar | FXC | Currency: CAN Dollar | -25.3% | * | * | * | * | * | -4.4% | * | * | * | * | * | |
CHF Swiss Franc | FXF | Currency: CHF Franc | -8.8% | * | * | * | * | * | 1.7% | * | * | * | * | * | |
EUR Euro | FXE | Currency: EUR Euro | -7.9% | * | * | * | * | * | 2.2% | * | * | * | * | * | |
GBP UK Pound | FXB | Currency: GBP Pound | -2.1% | * | * | * | * | * | 5.5% | * | * | * | * | * | |
JPY Japan Yen | FXY | Currency: JPY Yen | -7.7% | * | * | * | * | * | 0.4% | * | * | * | * | * | |
USD US Dollar indx | UUP | Currency: USD index | -2.9% | * | * | * | * | * | 5.1% | * | * | * | * | * | |
iShares MSCI | EEM | Equity: Emerging Mkts | 2.6% | * | * | * | * | * | 8.9% | * | * | * | * | * | |
Alerian US MLP | AMLP | Equity: MLP | 6.7% | * | * | * | * | * | 18.4% | * | * | * | * | * | |
US Corp Med 5-10y | IGIB | Fixed Income | -0.1% | * | * | * | * | * | 6.4% | * | * | * | * | * | |
Emerg Mkt Hi Yld | EMHY | Fixed Income | 6.6% | * | * | * | * | * | 9.6% | * | * | * | * | * | |
Muni Hi Yield | HYD | Fixed Income | -9.6% | * | * | * | * | * | 2.2% | * | * | * | * | * | |
US Treas 7-10yr | IEF | Fixed Income | -4.0% | * | * | * | * | * | 4.5% | * | * | * | * | * | |
Intl Treas | IGOV | Fixed Income | -10.2% | * | * | * | * | * | 0.1% | * | * | * | * | * | |
MktVectors Intl Hi Yield | IHY | Fixed Income | 1.9% | * | * | * | * | * | 7.1% | * | * | * | * | * | |
MktVectors Intermed Muni | ITM | Fixed Income | -14.4% | * | * | * | * | * | 0.6% | * | * | * | * | * | |
US Hi Yield | JNK | Fixed Income | 2.5% | * | * | * | * | * | 7.0% | * | * | * | * | * | |
US Mort Backed | MBB | Fixed Income | -2.0% | * | * | * | * | * | 5.6% | * | * | * | * | * | |
US Inflation Prot | TIP | Fixed Income | -0.2% | * | * | * | * | * | 6.1% | * | * | * | * | * | |
U.S. Total Bond Market | AGG | Fixed Income: Aggregate | -3.3% | * | * | * | * | * | 4.9% | * | * | * | * | * | |
U.S. Total Bond Market | BND | Benchmark | -3.2% | * | * | * | * | * | 4.9% | * | * | * | * | * | |
iShares Emerg | EMB | Fixed Income: Aggregate | -0.2% | * | * | * | * | * | 6.7% | * | * | * | * | * | |
PwrSh Emerg Mkt Sov Debt | PCY | Fixed Income: Aggregate | -3.8% | * | * | * | * | * | 4.6% | * | * | * | * | * | |
T-Bill 1-3 Month | BIL | Fixed Income: Cash-like | 10.3% | * | * | * | * | * | 4.9% | * | * | * | * | * | |
iShares Treas 20y+ | TLT | Fixed Income: Long-Term | -7.6% | * | * | * | * | * | 0.2% | * | * | * | * | * | |
iSh Treas 1-3y | SHY | Fixed Income: Short-Term | 0.1% | * | * | * | * | * | 5.3% | * | * | * | * | * | |
ACWI (Global) | ACWI | Int'l Equity: Core | -0.2% | * | * | * | * | * | 7.5% | * | * | * | * | * | |
Intl Dev Core | EFA | Int'l Equity: Lg Cap | -2.7% | * | * | * | * | * | 5.6% | * | * | * | * | * | |
iSh EAFE Growth | EFG | Int'l Equity: Lg Cap Gro | -10.2% | * | * | * | * | * | -2.2% | * | * | * | * | * | |
iSh EAFE Value | EFV | Int'l Equity: Lg Cap Val | 5.5% | * | * | * | * | * | 13.4% | * | * | * | * | * | |
Intl Dev Sm Cap | SCZ | Int'l Equity: Small Cap | -4.5% | * | * | * | * | * | 3.8% | * | * | * | * | * | |
US Large Core | IWB | U.S. Equity: Lg / Mid | -0.7% | * | * | * | * | * | 7.7% | * | * | * | * | * | |
iSh Russell 3000 | IWV | U.S. Equity: Lg Cap | -1.4% | * | * | * | * | * | 7.1% | * | * | * | * | * | |
S&P 500 | SPY | Benchmark | 0.0% | * | * | * | * | * | 8.3% | * | * | * | * | * | |
iSh Russ 1000 Gro | IWF | U.S. Equity: Lg Cap Gro | -1.3% | * | * | * | * | * | 7.6% | * | * | * | * | * | |
PowerShares QQQ | QQQ | U.S. Equity: Lg Cap Gro | -2.3% | * | * | * | * | * | 6.3% | * | * | * | * | * | |
iSh Russ 1000 Val | IWD | U.S. Equity: Lg Cap Val | -1.5% | * | * | * | * | * | 7.1% | * | * | * | * | * | |
iSh Russell | IWC | U.S. Equity: Micro Cap | -9.7% | * | * | * | * | * | -7.4% | * | * | * | * | * | |
iSh US Mid Core | IWR | U.S. Equity: Mid Cap | -5.2% | * | * | * | * | * | 2.5% | * | * | * | * | * | |
iSh US Mid Growth | IWP | U.S. Equity: Mid Cap Gro | -4.4% | * | * | * | * | * | 3.4% | * | * | * | * | * | |
iSh US Mid Value | IWS | U.S. Equity: Mid Cap Val | -5.7% | * | * | * | * | * | 2.1% | * | * | * | * | * | |
iSh Russ 2000 | IWM | U.S. Equity: Sm Cap | -8.5% | * | * | * | * | * | -4.0% | * | * | * | * | * | |
iSh Russell 2000 | IWO | U.S. Equity: Sm Cap Gro | -8.7% | * | * | * | * | * | -4.9% | * | * | * | * | * | |
iSh Russ 2000 Val | IWN | U.S. Equity: Sm Cap Val | -8.1% | * | * | * | * | * | -3.2% | * | * | * | * | * | |
iShares Real Estate | IYR | U.S. Real Estate | -0.5% | * | * | * | * | * | 9.2% | * | * | * | * | * | |
Vanguard Real Estate | VNQ | U.S. Real Estate | -0.6% | * | * | * | * | * | 9.0% | * | * | * | * | * | |
Strategic 60-40 Portfolio | s.6040 | Benchmark | -1.4% | * | * | * | * | * | 6.4% | * | * | * | * | * |