Global Asset Classes, ranked by Risk vs. Return Compass

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

Risk vs. Return Compass is a portfolio comparison tool produces four distinct icons, each colored in red, green, blue, and yellow. These icons serve as indicators, illustrating the position of a particular ingredient on the scatter plot concerning downside deviation and annual return.

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.

      Risk vs. Return Compass   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 151° * * * * * * * * * *   21.2% * * * * *
Industrial Metals DBB Commodities 140° * * * * * * * * * *   20.2% * * * * *
Oil DBO Commodities 170° * * * * * * * * * *   -8.3% * * * * *
PowerSh Commodity DBC Commodities: Broad 179° * * * * * * * * * *   -3.3% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 346° * * * * * * * * * *   37.7% * * * * *
AUStralia FXA Currency: AUS Dollar 175° * * * * * * * * * *   5.3% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 183° * * * * * * * * * *   1.8% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 179° * * * * * * * * * *   5.2% * * * * *
EUR Euro FXE Currency: EUR Euro 184° * * * * * * * * * *   5.1% * * * * *
GBP UK Pound FXB Currency: GBP Pound 183° * * * * * * * * * *   9.5% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 172° * * * * * * * * * *   -0.8% * * * * *
USD US Dollar indx UUP Currency: USD index 182° * * * * * * * * * *   3.4% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 136° * * * * * * * * * *   24.3% * * * * *
Alerian US MLP AMLP Equity: MLP 181° * * * * * * * * * *   20.2% * * * * *
US Corp Med 5-10y IGIB Fixed Income 184° * * * * * * * * * *   14.3% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 212° * * * * * * * * * *   22.2% * * * * *
Muni Hi Yield HYD Fixed Income 191° * * * * * * * * * *   14.0% * * * * *
US Treas 7-10yr IEF Fixed Income 178° * * * * * * * * * *   9.4% * * * * *
Intl Treas IGOV Fixed Income 173° * * * * * * * * * *   9.2% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 190° * * * * * * * * * *   15.2% * * * * *
MktVectors Intermed Muni ITM Fixed Income 187° * * * * * * * * * *   8.8% * * * * *
US Hi Yield JNK Fixed Income 195° * * * * * * * * * *   15.8% * * * * *
US Mort Backed MBB Fixed Income 180° * * * * * * * * * *   11.3% * * * * *
US Inflation Prot TIP Fixed Income 186° * * * * * * * * * *   8.3% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 182° * * * * * * * * * *   10.5% * * * * *
U.S. Total Bond Market BND Fixed Income: Aggregate 183° * * * * * * * * * *   10.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 184° * * * * * * * * * *   17.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 146° * * * * * * * * * *   22.7% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 193° * * * * * * * * * *   5.3% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 154° * * * * * * * * * *   15.0% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 191° * * * * * * * * * *   5.6% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 5° * * * * * * * * * *   32.4% * * * * *
iSh MSCI Frontier 100 FM Int'l Equity: Frontier 169° * * * * * * * * * *   16.9% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 145° * * * * * * * * * *   22.0% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 133° * * * * * * * * * *   21.8% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 153° * * * * * * * * * *   21.8% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 134° * * * * * * * * * *   21.3% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 5° * * * * * * * * * *   37.9% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 6° * * * * * * * * * *   37.5% * * * * *
S&P 500 SPY U.S. Equity: Lg Cap 4° * * * * * * * * * *   37.8% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 5° * * * * * * * * * *   43.5% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 8° * * * * * * * * * *   38.8% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 13° * * * * * * * * * *   30.7% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 45° * * * * * * * * * *   34.9% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 17° * * * * * * * * * *   35.2% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 15° * * * * * * * * * *   38.3% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 22° * * * * * * * * * *   33.8% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 39° * * * * * * * * * *   34.0% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 33° * * * * * * * * * *   36.4% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 50° * * * * * * * * * *   31.5% * * * * *
iShares Real Estate IYR U.S. Real Estate 49° * * * * * * * * * *   33.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 46° * * * * * * * * * *   34.6% * * * * *