Global Asset Classes, ranked by Sortino

for period ending May 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

Sortino is a measure of risk-adjusted return that uses downside deviation and average returns. Higher is better.

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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      Sortino   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 0.82 * * * * *   10.6% * * * * *
Industrial Metals DBB Commodities -0.99 * * * * *   -7.6% * * * * *
Oil DBO Commodities -0.95 * * * * *   -14.5% * * * * *
Invesco Commodity DBC Commodities: Broad -0.94 * * * * *   -5.5% * * * * *
SPDR Gold Shares GLD Commodities: Prec Metals 7.86 * * * * *   41.0% * * * * *
AUStralia FXA Currency: AUS Dollar -0.73 * * * * *   -1.6% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar -0.77 * * * * *   0.6% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 1.05 * * * * *   9.4% * * * * *
EUR Euro FXE Currency: EUR Euro 0.44 * * * * *   6.4% * * * * *
GBP UK Pound FXB Currency: GBP Pound 0.94 * * * * *   8.9% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 0.57 * * * * *   8.8% * * * * *
USD US Dollar indx UUP Currency: USD index -0.67 * * * * *   0.1% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 1.37 * * * * *   11.5% * * * * *
Alerian US MLP AMLP Equity: MLP 0.90 * * * * *   12.7% * * * * *
US Corp Med 5-10y IGIB Fixed Income 0.86 * * * * *   7.5% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 1.64 * * * * *   9.5% * * * * *
Muni Hi Yield HYD Fixed Income -0.74 * * * * *   1.5% * * * * *
US Treas 7-10yr IEF Fixed Income 0.28 * * * * *   5.7% * * * * *
Intl Treas IGOV Fixed Income 0.60 * * * * *   8.0% * * * * *
VanEck Intl Hi Yield IHY Fixed Income 1.93 * * * * *   10.4% * * * * *
VanEck Intermed Muni ITM Fixed Income -0.57 * * * * *   2.3% * * * * *
US Hi Yield JNK Fixed Income 1.57 * * * * *   8.6% * * * * *
US Mort Backed MBB Fixed Income 0.29 * * * * *   5.6% * * * * *
US Inflation Prot TIP Fixed Income 0.31 * * * * *   5.5% * * * * *
U.S. Agg Bond Market AGG Fixed Income: Aggregate 0.30 * * * * *   5.6% * * * * *
U.S. Total Bond Market BND Benchmark 0.27 * * * * *   5.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 0.72 * * * * *   7.5% * * * * *
Invesco Emerg Mkt Sov Debt PCY Fixed Income: Aggregate -0.17 * * * * *   2.7% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 4.09 * * * * *   4.7% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term -0.44 * * * * *   -0.6% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 0.84 * * * * *   5.5% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 1.51 * * * * *   13.2% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 1.19 * * * * *   12.8% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 0.41 * * * * *   7.4% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 1.95 * * * * *   18.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 1.06 * * * * *   13.2% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 1.23 * * * * *   13.5% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 1.09 * * * * *   12.7% * * * * *
S&P 500 SPY Benchmark 1.25 * * * * *   13.2% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 1.30 * * * * *   17.2% * * * * *
Inveso QQQ QQQ U.S. Equity: Lg Cap Gro 1.30 * * * * *   15.9% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 0.52 * * * * *   8.5% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 0.08 * * * * *   3.0% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 0.65 * * * * *   10.1% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 1.56 * * * * *   22.8% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 0.21 * * * * *   5.7% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap -0.12 * * * * *   0.8% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 0.06 * * * * *   3.1% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val -0.30 * * * * *   -1.5% * * * * *
iShares Real Estate IYR U.S. Real Estate 0.78 * * * * *   11.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 0.76 * * * * *   11.7% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 1.05 * * * * *   10.0% * * * * *