Global Asset Classes, ranked by Maximum Drawdown

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

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.

Maximum Drawdown vs. Annual Return
● Portfolio Ingredients: Global Asset Classes ● S&P 500 (SPY) ● U.S. Bonds (BND) ● Balanced (60% Equity / 40% Bonds)

Portfolio Ingredients: Global Asset Classes Peer Group
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      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% * * * * *   10.8% * * * * *
Industrial Metals DBB Commodities 9.5% * * * * *   11.9% * * * * *
Oil DBO Commodities 11.9% * * * * *   -3.3% * * * * *
PowerSh Commodity DBC Commodities: Broad 5.3% * * * * *   3.2% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 4.5% * * * * *   40.1% * * * * *
AUStralia FXA Currency: AUS Dollar 10.1% * * * * *   -2.6% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 6.7% * * * * *   -4.4% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 7.2% * * * * *   1.7% * * * * *
EUR Euro FXE Currency: EUR Euro 6.6% * * * * *   2.2% * * * * *
GBP UK Pound FXB Currency: GBP Pound 6.4% * * * * *   5.5% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 8.8% * * * * *   0.4% * * * * *
USD US Dollar indx UUP Currency: USD index 3.3% * * * * *   5.1% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 7.3% * * * * *   8.9% * * * * *
Alerian US MLP AMLP Equity: MLP 6.2% * * * * *   18.4% * * * * *
US Corp Med 5-10y IGIB Fixed Income 2.7% * * * * *   6.4% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 1.3% * * * * *   9.6% * * * * *
Muni Hi Yield HYD Fixed Income 2.3% * * * * *   2.2% * * * * *
US Treas 7-10yr IEF Fixed Income 4.6% * * * * *   4.5% * * * * *
Intl Treas IGOV Fixed Income 7.6% * * * * *   0.1% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 3.5% * * * * *   7.1% * * * * *
MktVectors Intermed Muni ITM Fixed Income 2.3% * * * * *   0.6% * * * * *
US Hi Yield JNK Fixed Income 1.3% * * * * *   7.0% * * * * *
US Mort Backed MBB Fixed Income 3.0% * * * * *   5.6% * * * * *
US Inflation Prot TIP Fixed Income 3.0% * * * * *   6.1% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 3.1% * * * * *   4.9% * * * * *
U.S. Total Bond Market BND Benchmark 3.1% * * * * *   4.9% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 2.9% * * * * *   6.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 6.3% * * * * *   4.6% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like   * * * * *   4.9% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 9.7% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 0.6% * * * * *   5.3% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 4.0% * * * * *   7.5% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 8.4% * * * * *   5.6% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 9.4% * * * * *   -2.2% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 7.2% * * * * *   13.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 8.5% * * * * *   3.8% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 7.4% * * * * *   7.7% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 7.7% * * * * *   7.1% * * * * *
S&P 500 SPY Benchmark 6.8% * * * * *   8.3% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 11.7% * * * * *   7.6% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 10.1% * * * * *   6.3% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 6.9% * * * * *   7.1% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 19.5% * * * * *   -7.4% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 10.3% * * * * *   2.5% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 13.0% * * * * *   3.4% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 9.4% * * * * *   2.1% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 17.1% * * * * *   -4.0% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 18.6% * * * * *   -4.9% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 15.6% * * * * *   -3.2% * * * * *
iShares Real Estate IYR U.S. Real Estate 8.3% * * * * *   9.2% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 8.4% * * * * *   9.0% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 4.2% * * * * *   6.4% * * * * *