Global Asset Classes, ranked by M-squared

for period ending May 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 -2.8% * * * * *   10.6% * * * * *
Industrial Metals DBB Commodities -19.1% * * * * *   -7.6% * * * * *
Oil DBO Commodities -19.6% * * * * *   -14.5% * * * * *
Invesco Commodity DBC Commodities: Broad -19.7% * * * * *   -5.5% * * * * *
SPDR Gold Shares GLD Commodities: Prec Metals 25.4% * * * * *   41.0% * * * * *
AUStralia FXA Currency: AUS Dollar -16.7% * * * * *   -1.6% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar -15.6% * * * * *   0.6% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc -2.4% * * * * *   9.4% * * * * *
EUR Euro FXE Currency: EUR Euro -5.9% * * * * *   6.4% * * * * *
GBP UK Pound FXB Currency: GBP Pound -1.5% * * * * *   8.9% * * * * *
JPY Japan Yen FXY Currency: JPY Yen -4.7% * * * * *   8.8% * * * * *
USD US Dollar indx UUP Currency: USD index -15.4% * * * * *   0.1% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 0.7% * * * * *   11.5% * * * * *
Alerian US MLP AMLP Equity: MLP -3.4% * * * * *   12.7% * * * * *
US Corp Med 5-10y IGIB Fixed Income -1.5% * * * * *   7.5% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 2.6% * * * * *   9.5% * * * * *
Muni Hi Yield HYD Fixed Income -16.0% * * * * *   1.5% * * * * *
US Treas 7-10yr IEF Fixed Income -6.4% * * * * *   5.7% * * * * *
Intl Treas IGOV Fixed Income -4.5% * * * * *   8.0% * * * * *
VanEck Intl Hi Yield IHY Fixed Income 5.3% * * * * *   10.4% * * * * *
VanEck Intermed Muni ITM Fixed Income -14.6% * * * * *   2.3% * * * * *
US Hi Yield JNK Fixed Income 2.8% * * * * *   8.6% * * * * *
US Mort Backed MBB Fixed Income -6.4% * * * * *   5.6% * * * * *
US Inflation Prot TIP Fixed Income -6.1% * * * * *   5.5% * * * * *
U.S. Agg Bond Market AGG Fixed Income: Aggregate -6.3% * * * * *   5.6% * * * * *
U.S. Total Bond Market BND Benchmark -6.5% * * * * *   5.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate -2.9% * * * * *   7.5% * * * * *
Invesco Emerg Mkt Sov Debt PCY Fixed Income: Aggregate -10.8% * * * * *   2.7% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 3.7% * * * * *   4.7% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term -13.5% * * * * *   -0.6% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term -1.7% * * * * *   5.5% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 2.0% * * * * *   13.2% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 0.3% * * * * *   12.8% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro -5.9% * * * * *   7.4% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 6.0% * * * * *   18.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap -0.5% * * * * *   13.2% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid -0.1% * * * * *   13.5% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap -1.1% * * * * *   12.7% * * * * *
S&P 500 SPY Benchmark 0.0% * * * * *   13.2% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 0.6% * * * * *   17.2% * * * * *
Inveso QQQ QQQ U.S. Equity: Lg Cap Gro 0.2% * * * * *   15.9% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val -5.2% * * * * *   8.5% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap -9.4% * * * * *   3.0% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap -4.5% * * * * *   10.1% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 1.5% * * * * *   22.8% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val -7.7% * * * * *   5.7% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap -10.7% * * * * *   0.8% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro -9.4% * * * * *   3.1% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val -12.0% * * * * *   -1.5% * * * * *
iShares Real Estate IYR U.S. Real Estate -2.9% * * * * *   11.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate -3.1% * * * * *   11.7% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -0.9% * * * * *   10.0% * * * * *