Global Asset Classes, ranked by Risk vs. Return Compass

for period ending January 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

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 * * * * * * * * * *   32.8% * * * * *
Industrial Metals DBB Commodities 147° * * * * * * * * * *   10.2% * * * * *
Oil DBO Commodities 161° * * * * * * * * * *   6.5% * * * * *
PowerSh Commodity DBC Commodities: Broad 184° * * * * * * * * * *   3.6% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 358° * * * * * * * * * *   37.2% * * * * *
AUStralia FXA Currency: AUS Dollar 175° * * * * * * * * * *   -3.8% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 183° * * * * * * * * * *   -5.7% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 180° * * * * * * * * * *   -5.4% * * * * *
EUR Euro FXE Currency: EUR Euro 184° * * * * * * * * * *   -2.0% * * * * *
GBP UK Pound FXB Currency: GBP Pound 185° * * * * * * * * * *   0.9% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 171° * * * * * * * * * *   -5.6% * * * * *
USD US Dollar indx UUP Currency: USD index 206° * * * * * * * * * *   10.8% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 187° * * * * * * * * * *   13.9% * * * * *
Alerian US MLP AMLP Equity: MLP 16° * * * * * * * * * *   25.7% * * * * *
US Corp Med 5-10y IGIB Fixed Income 186° * * * * * * * * * *   4.2% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 240° * * * * * * * * * *   14.5% * * * * *
Muni Hi Yield HYD Fixed Income 194° * * * * * * * * * *   4.7% * * * * *
US Treas 7-10yr IEF Fixed Income 179° * * * * * * * * * *   -0.1% * * * * *
Intl Treas IGOV Fixed Income 176° * * * * * * * * * *   -2.9% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 194° * * * * * * * * * *   5.9% * * * * *
MktVectors Intermed Muni ITM Fixed Income 191° * * * * * * * * * *   1.3% * * * * *
US Hi Yield JNK Fixed Income 205° * * * * * * * * * *   9.0% * * * * *
US Mort Backed MBB Fixed Income 182° * * * * * * * * * *   2.2% * * * * *
US Inflation Prot TIP Fixed Income 188° * * * * * * * * * *   2.7% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 184° * * * * * * * * * *   2.0% * * * * *
U.S. Total Bond Market BND Fixed Income: Aggregate 185° * * * * * * * * * *   2.1% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 186° * * * * * * * * * *   8.6% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 167° * * * * * * * * * *   6.8% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 206° * * * * * * * * * *   5.1% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 167° * * * * * * * * * *   -5.5% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 200° * * * * * * * * * *   4.0% * * * * *
ACWI (Global) ACWI Int'l Equity: Core * * * * * * * * * *   20.8% * * * * *
iSh MSCI Frontier 100 FM Int'l Equity: Frontier 176° * * * * * * * * * *   9.8% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 161° * * * * * * * * * *   9.0% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 157° * * * * * * * * * *   6.4% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 160° * * * * * * * * * *   11.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 157° * * * * * * * * * *   7.3% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid * * * * * * * * * *   26.5% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap * * * * * * * * * *   26.0% * * * * *
S&P 500 SPY U.S. Equity: Lg Cap * * * * * * * * * *   26.2% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro * * * * * * * * * *   32.5% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro * * * * * * * * * *   26.0% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 54° * * * * * * * * * *   19.3% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 75° * * * * * * * * * *   18.1% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 44° * * * * * * * * * *   21.7% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 22° * * * * * * * * * *   30.2% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 64° * * * * * * * * * *   18.9% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 71° * * * * * * * * * *   18.8% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 54° * * * * * * * * * *   22.5% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 97° * * * * * * * * * *   15.1% * * * * *
iShares Real Estate IYR U.S. Real Estate 115° * * * * * * * * * *   12.1% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 115° * * * * * * * * * *   12.2% * * * * *