Global Asset Classes, ranked by M-squared
for period ending November 30, 2024
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
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta
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.
Use the table below to compare the performance of all the portfolios in this peer group. You may sort by any column by clicking on the column headings in the gray row.
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 | -15.9% | * | * | * | * | * | 25.6% | * | * | * | * | * | |
Industrial Metals | DBB | Commodities | -22.8% | * | * | * | * | * | 16.5% | * | * | * | * | * | |
Oil | DBO | Commodities | -34.6% | * | * | * | * | * | -3.5% | * | * | * | * | * | |
PowerSh Commodity | DBC | Commodities: Broad | -38.8% | * | * | * | * | * | -2.9% | * | * | * | * | * | |
SPDR Gold Trust | GLD | Commodities: Prec Metals | -6.9% | * | * | * | * | * | 30.1% | * | * | * | * | * | |
AUStralia | FXA | Currency: AUS Dollar | -34.0% | * | * | * | * | * | 0.2% | * | * | * | * | * | |
CAN Canada Dollar | FXC | Currency: CAN Dollar | -39.8% | * | * | * | * | * | -1.1% | * | * | * | * | * | |
CHF Swiss Franc | FXF | Currency: CHF Franc | -35.6% | * | * | * | * | * | -0.7% | * | * | * | * | * | |
EUR Euro | FXE | Currency: EUR Euro | -38.6% | * | * | * | * | * | -0.8% | * | * | * | * | * | |
GBP UK Pound | FXB | Currency: GBP Pound | -30.3% | * | * | * | * | * | 4.1% | * | * | * | * | * | |
JPY Japan Yen | FXY | Currency: JPY Yen | -33.6% | * | * | * | * | * | -1.5% | * | * | * | * | * | |
USD US Dollar indx | UUP | Currency: USD index | -23.6% | * | * | * | * | * | 8.4% | * | * | * | * | * | |
iShares MSCI | EEM | Equity: Emerging Mkts | -22.3% | * | * | * | * | * | 12.2% | * | * | * | * | * | |
Alerian US MLP | AMLP | Equity: MLP | -14.9% | * | * | * | * | * | 26.2% | * | * | * | * | * | |
US Corp Med 5-10y | IGIB | Fixed Income | -22.4% | * | * | * | * | * | 9.4% | * | * | * | * | * | |
Emerg Mkt Hi Yld | EMHY | Fixed Income | -8.0% | * | * | * | * | * | 18.1% | * | * | * | * | * | |
Muni Hi Yield | HYD | Fixed Income | -19.8% | * | * | * | * | * | 9.2% | * | * | * | * | * | |
US Treas 7-10yr | IEF | Fixed Income | -27.9% | * | * | * | * | * | 5.7% | * | * | * | * | * | |
Intl Treas | IGOV | Fixed Income | -31.0% | * | * | * | * | * | 2.7% | * | * | * | * | * | |
MktVectors Intl Hi Yield | IHY | Fixed Income | -22.2% | * | * | * | * | * | 9.4% | * | * | * | * | * | |
MktVectors Intermed Muni | ITM | Fixed Income | -29.7% | * | * | * | * | * | 4.6% | * | * | * | * | * | |
US Hi Yield | JNK | Fixed Income | -13.3% | * | * | * | * | * | 12.3% | * | * | * | * | * | |
US Mort Backed | MBB | Fixed Income | -25.6% | * | * | * | * | * | 7.4% | * | * | * | * | * | |
US Inflation Prot | TIP | Fixed Income | -26.9% | * | * | * | * | * | 5.9% | * | * | * | * | * | |
U.S. Total Bond Market | AGG | Fixed Income: Aggregate | -26.1% | * | * | * | * | * | 6.9% | * | * | * | * | * | |
U.S. Total Bond Market | BND | Fixed Income: Aggregate | -26.1% | * | * | * | * | * | 6.8% | * | * | * | * | * | |
iShares Emerg | EMB | Fixed Income: Aggregate | -18.6% | * | * | * | * | * | 12.8% | * | * | * | * | * | |
PwrSh Emerg Mkt Sov Debt | PCY | Fixed Income: Aggregate | -20.6% | * | * | * | * | * | 14.5% | * | * | * | * | * | |
T-Bill 1-3 Month | BIL | Fixed Income: Cash-like | -11.2% | * | * | * | * | * | 5.2% | * | * | * | * | * | |
iShares Treas 20y+ | TLT | Fixed Income: Long-Term | -27.6% | * | * | * | * | * | 6.7% | * | * | * | * | * | |
iSh Treas 1-3y | SHY | Fixed Income: Short-Term | -29.9% | * | * | * | * | * | 4.8% | * | * | * | * | * | |
ACWI (Global) | ACWI | Int'l Equity: Core | -5.9% | * | * | * | * | * | 26.5% | * | * | * | * | * | |
iSh MSCI Frontier 100 | FM | Int'l Equity: Frontier | -24.3% | * | * | * | * | * | 10.1% | * | * | * | * | * | |
Intl Dev Core | EFA | Int'l Equity: Lg Cap | -22.5% | * | * | * | * | * | 12.4% | * | * | * | * | * | |
iSh EAFE Growth | EFG | Int'l Equity: Lg Cap Gro | -23.9% | * | * | * | * | * | 11.4% | * | * | * | * | * | |
iSh EAFE Value | EFV | Int'l Equity: Lg Cap Val | -21.4% | * | * | * | * | * | 13.6% | * | * | * | * | * | |
Intl Dev Sm Cap | SCZ | Int'l Equity: Small Cap | -23.7% | * | * | * | * | * | 12.4% | * | * | * | * | * | |
US Large Core | IWB | U.S. Equity: Lg / Mid | -0.2% | * | * | * | * | * | 34.3% | * | * | * | * | * | |
iSh Russell 3000 | IWV | U.S. Equity: Lg Cap | -1.4% | * | * | * | * | * | 34.3% | * | * | * | * | * | |
S&P 500 | SPY | U.S. Equity: Lg Cap | * | * | * | * | * | 33.8% | * | * | * | * | * | ||
iSh Russ 1000 Gro | IWF | U.S. Equity: Lg Cap Gro | -2.5% | * | * | * | * | * | 37.8% | * | * | * | * | * | |
PowerShares QQQ | QQQ | U.S. Equity: Lg Cap Gro | -6.9% | * | * | * | * | * | 32.0% | * | * | * | * | * | |
iSh Russ 1000 Val | IWD | U.S. Equity: Lg Cap Val | -7.7% | * | * | * | * | * | 29.4% | * | * | * | * | * | |
iSh Russell | IWC | U.S. Equity: Micro Cap | -15.9% | * | * | * | * | * | 37.5% | * | * | * | * | * | |
iSh US Mid Core | IWR | U.S. Equity: Mid Cap | -8.8% | * | * | * | * | * | 33.5% | * | * | * | * | * | |
iSh US Mid Growth | IWP | U.S. Equity: Mid Cap Gro | -8.2% | * | * | * | * | * | 39.8% | * | * | * | * | * | |
iSh US Mid Value | IWS | U.S. Equity: Mid Cap Val | -10.7% | * | * | * | * | * | 31.3% | * | * | * | * | * | |
iSh Russ 2000 | IWM | U.S. Equity: Sm Cap | -14.4% | * | * | * | * | * | 36.3% | * | * | * | * | * | |
iSh Russell 2000 | IWO | U.S. Equity: Sm Cap Gro | -12.5% | * | * | * | * | * | 40.6% | * | * | * | * | * | |
iSh Russ 2000 Val | IWN | U.S. Equity: Sm Cap Val | -16.6% | * | * | * | * | * | 32.3% | * | * | * | * | * | |
iShares Real Estate | IYR | U.S. Real Estate | -18.2% | * | * | * | * | * | 24.1% | * | * | * | * | * | |
Vanguard Real Estate | VNQ | U.S. Real Estate | -17.7% | * | * | * | * | * | 25.2% | * | * | * | * | * |