Global Asset Classes, ranked by M-squared

for period ending June 30, 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 0.8% * * * * *   14.4% * * * * *
Industrial Metals DBB Commodities -13.6% * * * * *   0.7% * * * * *
Oil DBO Commodities -20.3% * * * * *   -12.6% * * * * *
Invesco Commodity DBC Commodities: Broad -16.3% * * * * *   -1.1% * * * * *
SPDR Gold Shares GLD Commodities: Prec Metals 26.0% * * * * *   41.8% * * * * *
AUStralia FXA Currency: AUS Dollar -16.2% * * * * *   0.1% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar -15.6% * * * * *   1.7% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 0.2% * * * * *   13.0% * * * * *
EUR Euro FXE Currency: EUR Euro -0.0% * * * * *   11.8% * * * * *
GBP UK Pound FXB Currency: GBP Pound 2.2% * * * * *   11.8% * * * * *
JPY Japan Yen FXY Currency: JPY Yen -3.9% * * * * *   11.2% * * * * *
USD US Dollar indx UUP Currency: USD index -22.9% * * * * *   -3.6% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 3.2% * * * * *   16.3% * * * * *
Alerian US MLP AMLP Equity: MLP -6.5% * * * * *   10.2% * * * * *
US Corp Med 5-10y IGIB Fixed Income -0.1% * * * * *   8.7% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 9.7% * * * * *   13.0% * * * * *
Muni Hi Yield HYD Fixed Income -18.2% * * * * *   1.4% * * * * *
US Treas 7-10yr IEF Fixed Income -7.3% * * * * *   6.1% * * * * *
Intl Treas IGOV Fixed Income -0.9% * * * * *   12.3% * * * * *
VanEck Intl Hi Yield IHY Fixed Income 10.8% * * * * *   13.4% * * * * *
VanEck Intermed Muni ITM Fixed Income -17.4% * * * * *   2.0% * * * * *
US Hi Yield JNK Fixed Income 5.8% * * * * *   10.3% * * * * *
US Mort Backed MBB Fixed Income -6.9% * * * * *   6.1% * * * * *
US Inflation Prot TIP Fixed Income -7.1% * * * * *   5.7% * * * * *
U.S. Agg Bond Market AGG Fixed Income: Aggregate -6.4% * * * * *   6.2% * * * * *
U.S. Total Bond Market BND Benchmark -6.5% * * * * *   6.1% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 1.4% * * * * *   10.7% * * * * *
Invesco Emerg Mkt Sov Debt PCY Fixed Income: Aggregate -7.9% * * * * *   6.6% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 3.2% * * * * *   4.6% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term -14.6% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term -2.4% * * * * *   5.6% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 3.7% * * * * *   16.3% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 4.9% * * * * *   17.7% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro -3.8% * * * * *   11.3% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 13.8% * * * * *   24.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 7.2% * * * * *   22.1% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 0.0% * * * * *   15.5% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap -0.7% * * * * *   15.0% * * * * *
S&P 500 SPY Benchmark 0.0% * * * * *   14.9% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro -0.9% * * * * *   17.0% * * * * *
Inveso QQQ QQQ U.S. Equity: Lg Cap Gro -1.3% * * * * *   15.8% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val -2.3% * * * * *   13.5% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap -6.0% * * * * *   13.3% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap -2.3% * * * * *   15.0% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 2.0% * * * * *   26.2% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val -4.9% * * * * *   11.2% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap -8.7% * * * * *   7.6% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro -7.6% * * * * *   9.8% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val -9.9% * * * * *   5.5% * * * * *
iShares Real Estate IYR U.S. Real Estate -5.4% * * * * *   10.7% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate -5.7% * * * * *   10.4% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -0.4% * * * * *   11.6% * * * * *