Global Asset Classes, ranked by Maximum Drawdown

for period ending October 31, 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

Maximum Drawdown is the largest percentage drop in portfolio value over the last 1, 3, 5, 10, 15, and 20 years. This includes dividends and splits.

Note: This Free subscription only includes access to the 1-year data. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

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.

      Maximum Drawdown   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 5.5% * * * * *   21.2% * * * * *
Industrial Metals DBB Commodities 9.5% * * * * *   20.2% * * * * *
Oil DBO Commodities 11.9% * * * * *   -8.3% * * * * *
PowerSh Commodity DBC Commodities: Broad 5.3% * * * * *   -3.3% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 1.4% * * * * *   37.7% * * * * *
AUStralia FXA Currency: AUS Dollar 4.7% * * * * *   5.3% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 3.0% * * * * *   1.8% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 8.5% * * * * *   5.2% * * * * *
EUR Euro FXE Currency: EUR Euro 2.6% * * * * *   5.1% * * * * *
GBP UK Pound FXB Currency: GBP Pound 3.4% * * * * *   9.5% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 12.6% * * * * *   -0.8% * * * * *
USD US Dollar indx UUP Currency: USD index 3.3% * * * * *   3.4% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 4.5% * * * * *   24.3% * * * * *
Alerian US MLP AMLP Equity: MLP 3.5% * * * * *   20.2% * * * * *
US Corp Med 5-10y IGIB Fixed Income 2.4% * * * * *   14.3% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 1.3% * * * * *   22.2% * * * * *
Muni Hi Yield HYD Fixed Income 1.7% * * * * *   14.0% * * * * *
US Treas 7-10yr IEF Fixed Income 4.5% * * * * *   9.4% * * * * *
Intl Treas IGOV Fixed Income 7.4% * * * * *   9.2% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 1.9% * * * * *   15.2% * * * * *
MktVectors Intermed Muni ITM Fixed Income 2.6% * * * * *   8.8% * * * * *
US Hi Yield JNK Fixed Income 1.3% * * * * *   15.8% * * * * *
US Mort Backed MBB Fixed Income 3.9% * * * * *   11.3% * * * * *
US Inflation Prot TIP Fixed Income 2.1% * * * * *   8.3% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 3.2% * * * * *   10.5% * * * * *
U.S. Total Bond Market BND Fixed Income: Aggregate 3.1% * * * * *   10.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 2.4% * * * * *   17.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 4.2% * * * * *   22.7% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like   * * * * *   5.3% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 9.9% * * * * *   15.0% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 0.6% * * * * *   5.6% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 3.6% * * * * *   32.4% * * * * *
iSh MSCI Frontier 100 FM Int'l Equity: Frontier 5.1% * * * * *   16.9% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 5.3% * * * * *   22.0% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 6.3% * * * * *   21.8% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 4.6% * * * * *   21.8% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 6.3% * * * * *   21.3% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 4.2% * * * * *   37.9% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 4.4% * * * * *   37.5% * * * * *
S&P 500 SPY U.S. Equity: Lg Cap 4.0% * * * * *   37.8% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 4.2% * * * * *   43.5% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 4.4% * * * * *   38.8% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 4.2% * * * * *   30.7% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 8.0% * * * * *   34.9% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 5.3% * * * * *   35.2% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 5.9% * * * * *   38.3% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 5.2% * * * * *   33.8% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 6.8% * * * * *   34.0% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 7.6% * * * * *   36.4% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 6.2% * * * * *   31.5% * * * * *
iShares Real Estate IYR U.S. Real Estate 9.3% * * * * *   33.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 9.1% * * * * *   34.6% * * * * *