Global Asset Classes, ranked by Sortino

for period ending March 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.

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Portfolio Ingredients: Global Asset Classes Peer Group
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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
			Sortino						Total Return, annualized
		Group average

Agriculture	DBA	Commodities	0.81	*	*	*	*	*	10.8%	*	*	*	*	*
Industrial Metals	DBB	Commodities	0.93	*	*	*	*	*	11.9%	*	*	*	*	*
Oil	DBO	Commodities	-0.75	*	*	*	*	*	-3.3%	*	*	*	*	*
PowerSh Commodity	DBC	Commodities: Broad	-0.27	*	*	*	*	*	3.2%	*	*	*	*	*
SPDR Gold Trust	GLD	Commodities: Prec Metals	7.67	*	*	*	*	*	40.1%	*	*	*	*	*
AUStralia	FXA	Currency: AUS Dollar	-0.88	*	*	*	*	*	-2.6%	*	*	*	*	*
CAN Canada Dollar	FXC	Currency: CAN Dollar	-1.77	*	*	*	*	*	-4.4%	*	*	*	*	*
CHF Swiss Franc	FXF	Currency: CHF Franc	-0.50	*	*	*	*	*	1.7%	*	*	*	*	*
EUR Euro	FXE	Currency: EUR Euro	-0.44	*	*	*	*	*	2.2%	*	*	*	*	*
GBP UK Pound	FXB	Currency: GBP Pound	0.21	*	*	*	*	*	5.5%	*	*	*	*	*
JPY Japan Yen	FXY	Currency: JPY Yen	-0.36	*	*	*	*	*	0.4%	*	*	*	*	*
USD US Dollar indx	UUP	Currency: USD index	0.14	*	*	*	*	*	5.1%	*	*	*	*	*
iShares MSCI	EEM	Equity: Emerging Mkts	0.85	*	*	*	*	*	8.9%	*	*	*	*	*
Alerian US MLP	AMLP	Equity: MLP	1.95	*	*	*	*	*	18.4%	*	*	*	*	*
US Corp Med 5-10y	IGIB	Fixed Income	0.41	*	*	*	*	*	6.4%	*	*	*	*	*
Emerg Mkt Hi Yld	EMHY	Fixed Income	1.40	*	*	*	*	*	9.6%	*	*	*	*	*
Muni Hi Yield	HYD	Fixed Income	-0.57	*	*	*	*	*	2.2%	*	*	*	*	*
US Treas 7-10yr	IEF	Fixed Income	0.01	*	*	*	*	*	4.5%	*	*	*	*	*
Intl Treas	IGOV	Fixed Income	-0.58	*	*	*	*	*	0.1%	*	*	*	*	*
MktVectors Intl Hi Yield	IHY	Fixed Income	0.70	*	*	*	*	*	7.1%	*	*	*	*	*
MktVectors Intermed Muni	ITM	Fixed Income	-0.96	*	*	*	*	*	0.6%	*	*	*	*	*
US Hi Yield	JNK	Fixed Income	0.74	*	*	*	*	*	7.0%	*	*	*	*	*
US Mort Backed	MBB	Fixed Income	0.21	*	*	*	*	*	5.6%	*	*	*	*	*
US Inflation Prot	TIP	Fixed Income	0.38	*	*	*	*	*	6.1%	*	*	*	*	*
U.S. Total Bond Market	AGG	Fixed Income: Aggregate	0.07	*	*	*	*	*	4.9%	*	*	*	*	*
U.S. Total Bond Market	BND	Benchmark	0.08	*	*	*	*	*	4.9%	*	*	*	*	*
iShares Emerg	EMB	Fixed Income: Aggregate	0.43	*	*	*	*	*	6.7%	*	*	*	*	*
PwrSh Emerg Mkt Sov Debt	PCY	Fixed Income: Aggregate	0.05	*	*	*	*	*	4.6%	*	*	*	*	*
T-Bill 1-3 Month	BIL	Fixed Income: Cash-like	4.68	*	*	*	*	*	4.9%	*	*	*	*	*
iShares Treas 20y+	TLT	Fixed Income: Long-Term	-0.31	*	*	*	*	*	0.2%	*	*	*	*	*
iSh Treas 1-3y	SHY	Fixed Income: Short-Term	0.40	*	*	*	*	*	5.3%	*	*	*	*	*
ACWI (Global)	ACWI	Int'l Equity: Core	0.46	*	*	*	*	*	7.5%	*	*	*	*	*
Intl Dev Core	EFA	Int'l Equity: Lg Cap	0.18	*	*	*	*	*	5.6%	*	*	*	*	*
iSh EAFE Growth	EFG	Int'l Equity: Lg Cap Gro	-0.61	*	*	*	*	*	-2.2%	*	*	*	*	*
iSh EAFE Value	EFV	Int'l Equity: Lg Cap Val	1.23	*	*	*	*	*	13.4%	*	*	*	*	*
Intl Dev Sm Cap	SCZ	Int'l Equity: Small Cap	-0.02	*	*	*	*	*	3.8%	*	*	*	*	*
US Large Core	IWB	U.S. Equity: Lg / Mid	0.42	*	*	*	*	*	7.7%	*	*	*	*	*
iSh Russell 3000	IWV	U.S. Equity: Lg Cap	0.34	*	*	*	*	*	7.1%	*	*	*	*	*
S&P 500	SPY	Benchmark	0.50	*	*	*	*	*	8.3%	*	*	*	*	*
iSh Russ 1000 Gro	IWF	U.S. Equity: Lg Cap Gro	0.36	*	*	*	*	*	7.6%	*	*	*	*	*
PowerShares QQQ	QQQ	U.S. Equity: Lg Cap Gro	0.25	*	*	*	*	*	6.3%	*	*	*	*	*
iSh Russ 1000 Val	IWD	U.S. Equity: Lg Cap Val	0.33	*	*	*	*	*	7.1%	*	*	*	*	*
iSh Russell	IWC	U.S. Equity: Micro Cap	-0.59	*	*	*	*	*	-7.4%	*	*	*	*	*
iSh US Mid Core	IWR	U.S. Equity: Mid Cap	-0.08	*	*	*	*	*	2.5%	*	*	*	*	*
iSh US Mid Growth	IWP	U.S. Equity: Mid Cap Gro	0.05	*	*	*	*	*	3.4%	*	*	*	*	*
iSh US Mid Value	IWS	U.S. Equity: Mid Cap Val	-0.13	*	*	*	*	*	2.1%	*	*	*	*	*
iSh Russ 2000	IWM	U.S. Equity: Sm Cap	-0.43	*	*	*	*	*	-4.0%	*	*	*	*	*
iSh Russell 2000	IWO	U.S. Equity: Sm Cap Gro	-0.44	*	*	*	*	*	-4.9%	*	*	*	*	*
iSh Russ 2000 Val	IWN	U.S. Equity: Sm Cap Val	-0.41	*	*	*	*	*	-3.2%	*	*	*	*	*
iShares Real Estate	IYR	U.S. Real Estate	0.44	*	*	*	*	*	9.2%	*	*	*	*	*
Vanguard Real Estate	VNQ	U.S. Real Estate	0.43	*	*	*	*	*	9.0%	*	*	*	*	*
Strategic 60-40 Portfolio	s.6040	Benchmark	0.31	*	*	*	*	*	6.4%	*	*	*	*	*

Global Asset Classes, ranked by Sortino

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