Global Asset Classes, ranked by Risk vs. Return Compass

for period ending February 28, 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

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.

Portfolio Ingredients: Global Asset Classes Peer Group
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      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 17° * * * * * * * * * *   24.3% * * * * *
Industrial Metals DBB Commodities 59° * * * * * * * * * *   15.1% * * * * *
Oil DBO Commodities 161° * * * * * * * * * *   1.8% * * * * *
PowerSh Commodity DBC Commodities: Broad 187° * * * * * * * * * *   5.4% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 359° * * * * * * * * * *   39.1% * * * * *
AUStralia FXA Currency: AUS Dollar 174° * * * * * * * * * *   -3.0% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 184° * * * * * * * * * *   -4.6% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 181° * * * * * * * * * *   -2.2% * * * * *
EUR Euro FXE Currency: EUR Euro 184° * * * * * * * * * *   -2.0% * * * * *
GBP UK Pound FXB Currency: GBP Pound 186° * * * * * * * * * *   2.8% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 165° * * * * * * * * * *   -0.7% * * * * *
USD US Dollar indx UUP Currency: USD index 216° * * * * * * * * * *   9.3% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 187° * * * * * * * * * *   10.6% * * * * *
Alerian US MLP AMLP Equity: MLP 15° * * * * * * * * * *   23.0% * * * * *
US Corp Med 5-10y IGIB Fixed Income 193° * * * * * * * * * *   7.7% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 282° * * * * * * * * * *   13.4% * * * * *
Muni Hi Yield HYD Fixed Income 200° * * * * * * * * * *   5.6% * * * * *
US Treas 7-10yr IEF Fixed Income 178° * * * * * * * * * *   4.9% * * * * *
Intl Treas IGOV Fixed Income 175° * * * * * * * * * *   -1.1% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 201° * * * * * * * * * *   6.8% * * * * *
MktVectors Intermed Muni ITM Fixed Income 195° * * * * * * * * * *   2.6% * * * * *
US Hi Yield JNK Fixed Income 225° * * * * * * * * * *   9.7% * * * * *
US Mort Backed MBB Fixed Income 185° * * * * * * * * * *   6.5% * * * * *
US Inflation Prot TIP Fixed Income 196° * * * * * * * * * *   6.0% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 188° * * * * * * * * * *   5.8% * * * * *
U.S. Total Bond Market BND Fixed Income: Aggregate 189° * * * * * * * * * *   5.8% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 194° * * * * * * * * * *   10.1% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 144° * * * * * * * * * *   9.5% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 213° * * * * * * * * * *   5.0% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 151° * * * * * * * * * *   2.2% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 210° * * * * * * * * * *   5.2% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 11° * * * * * * * * * *   15.3% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 146° * * * * * * * * * *   8.9% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 159° * * * * * * * * * *   2.8% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 43° * * * * * * * * * *   15.0% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 150° * * * * * * * * * *   6.2% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 12° * * * * * * * * * *   18.1% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 19° * * * * * * * * * *   17.3% * * * * *
S&P 500 SPY U.S. Equity: Lg Cap 7° * * * * * * * * * *   18.4% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 14° * * * * * * * * * *   19.8% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 18° * * * * * * * * * *   16.4% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 57° * * * * * * * * * *   15.7% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 136° * * * * * * * * * *   5.1% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 97° * * * * * * * * * *   12.2% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 78° * * * * * * * * * *   14.2% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 104° * * * * * * * * * *   11.5% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 127° * * * * * * * * * *   6.6% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 128° * * * * * * * * * *   5.7% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 127° * * * * * * * * * *   7.2% * * * * *
iShares Real Estate IYR U.S. Real Estate 83° * * * * * * * * * *   13.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 81° * * * * * * * * * *   14.1% * * * * *