Global Asset Classes, ranked by Risk vs. Return Compass

for period ending April 30, 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.

 

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 351° * * * * * * * * * *   23.0% * * * * *
Industrial Metals DBB Commodities 76° * * * * * * * * * *   13.9% * * * * *
Oil DBO Commodities 102° * * * * * * * * * *   10.3% * * * * *
PowerSh Commodity DBC Commodities: Broad 168° * * * * * * * * * *   3.9% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 359° * * * * * * * * * *   14.6% * * * * *
AUStralia FXA Currency: AUS Dollar 185° * * * * * * * * * *   -0.9% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 194° * * * * * * * * * *   0.3% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 182° * * * * * * * * * *   -2.9% * * * * *
EUR Euro FXE Currency: EUR Euro 189° * * * * * * * * * *   -1.4% * * * * *
GBP UK Pound FXB Currency: GBP Pound 195° * * * * * * * * * *   2.1% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 178° * * * * * * * * * *   -14.1% * * * * *
USD US Dollar indx UUP Currency: USD index 247° * * * * * * * * * *   11.1% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 142° * * * * * * * * * *   7.6% * * * * *
Alerian US MLP AMLP Equity: MLP 357° * * * * * * * * * *   30.0% * * * * *
US Corp Med 5-10y IGIB Fixed Income 192° * * * * * * * * * *   1.6% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 286° * * * * * * * * * *   13.2% * * * * *
Muni Hi Yield HYD Fixed Income 192° * * * * * * * * * *   2.9% * * * * *
US Treas 7-10yr IEF Fixed Income 184° * * * * * * * * * *   -5.2% * * * * *
Intl Treas IGOV Fixed Income 178° * * * * * * * * * *   -5.3% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 206° * * * * * * * * * *   5.8% * * * * *
MktVectors Intermed Muni ITM Fixed Income 194° * * * * * * * * * *   1.1% * * * * *
US Hi Yield JNK Fixed Income 220° * * * * * * * * * *   8.0% * * * * *
US Mort Backed MBB Fixed Income 186° * * * * * * * * * *   -2.2% * * * * *
US Inflation Prot TIP Fixed Income 194° * * * * * * * * * *   -1.6% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 189° * * * * * * * * * *   -1.5% * * * * *
U.S. Total Bond Market BND Fixed Income: Aggregate 190° * * * * * * * * * *   -1.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 187° * * * * * * * * * *   5.0% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 158° * * * * * * * * * *   9.5% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 223° * * * * * * * * * *   5.3% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 169° * * * * * * * * * *   -14.1% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 209° * * * * * * * * * *   2.1% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 17° * * * * * * * * * *   17.0% * * * * *
iSh MSCI Frontier 100 FM Int'l Equity: Frontier 105° * * * * * * * * * *   11.3% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 153° * * * * * * * * * *   8.2% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 153° * * * * * * * * * *   5.0% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 121° * * * * * * * * * *   11.5% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 158° * * * * * * * * * *   3.7% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 11° * * * * * * * * * *   22.7% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 13° * * * * * * * * * *   22.2% * * * * *
S&P 500 SPY U.S. Equity: Lg Cap 9° * * * * * * * * * *   22.4% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 8° * * * * * * * * * *   31.7% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 8° * * * * * * * * * *   32.5% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 74° * * * * * * * * * *   13.2% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 97° * * * * * * * * * *   11.1% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 54° * * * * * * * * * *   16.2% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 33° * * * * * * * * * *   20.4% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 76° * * * * * * * * * *   13.9% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 84° * * * * * * * * * *   13.4% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 90° * * * * * * * * * *   12.5% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 79° * * * * * * * * * *   13.9% * * * * *
iShares Real Estate IYR U.S. Real Estate 151° * * * * * * * * * *   -0.8% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 151° * * * * * * * * * *   -0.4% * * * * *