Global Asset Classes, ranked by Standard Deviation

for period ending October 31, 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

Standard Deviation shows the 1-, 3-, 5-, 10-, 15-, and 20-year standard deviation from the mean. This is calculated using monthly returns, then annualized.

Note: This Free subscription only includes access to the 1-year data. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

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.

      Standard Deviation   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 17.9% * * * * *   21.2% * * * * *
Industrial Metals DBB Commodities 21.4% * * * * *   20.2% * * * * *
Oil DBO Commodities 14.1% * * * * *   -8.3% * * * * *
PowerSh Commodity DBC Commodities: Broad 7.4% * * * * *   -3.3% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 12.4% * * * * *   37.7% * * * * *
AUStralia FXA Currency: AUS Dollar 10.1% * * * * *   5.3% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 5.8% * * * * *   1.8% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 9.0% * * * * *   5.2% * * * * *
EUR Euro FXE Currency: EUR Euro 5.9% * * * * *   5.1% * * * * *
GBP UK Pound FXB Currency: GBP Pound 7.1% * * * * *   9.5% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 13.0% * * * * *   -0.8% * * * * *
USD US Dollar indx UUP Currency: USD index 6.8% * * * * *   3.4% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 14.1% * * * * *   24.3% * * * * *
Alerian US MLP AMLP Equity: MLP 13.0% * * * * *   20.2% * * * * *
US Corp Med 5-10y IGIB Fixed Income 9.2% * * * * *   14.3% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 8.7% * * * * *   22.2% * * * * *
Muni Hi Yield HYD Fixed Income 7.6% * * * * *   14.0% * * * * *
US Treas 7-10yr IEF Fixed Income 9.3% * * * * *   9.4% * * * * *
Intl Treas IGOV Fixed Income 12.6% * * * * *   9.2% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 8.2% * * * * *   15.2% * * * * *
MktVectors Intermed Muni ITM Fixed Income 7.3% * * * * *   8.8% * * * * *
US Hi Yield JNK Fixed Income 6.6% * * * * *   15.8% * * * * *
US Mort Backed MBB Fixed Income 9.3% * * * * *   11.3% * * * * *
US Inflation Prot TIP Fixed Income 5.5% * * * * *   8.3% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 8.1% * * * * *   10.5% * * * * *
U.S. Total Bond Market BND Fixed Income: Aggregate 7.9% * * * * *   10.4% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 10.2% * * * * *   17.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 16.3% * * * * *   22.7% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 0.1% * * * * *   5.3% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 19.0% * * * * *   15.0% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 2.2% * * * * *   5.6% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 14.2% * * * * *   32.4% * * * * *
iSh MSCI Frontier 100 FM Int'l Equity: Frontier 13.6% * * * * *   16.9% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 15.6% * * * * *   22.0% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 18.0% * * * * *   21.8% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 14.7% * * * * *   21.8% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 18.8% * * * * *   21.3% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 15.0% * * * * *   37.9% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 15.4% * * * * *   37.5% * * * * *
S&P 500 SPY U.S. Equity: Lg Cap 14.8% * * * * *   37.8% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 19.4% * * * * *   43.5% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 19.1% * * * * *   38.8% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 14.6% * * * * *   30.7% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 31.5% * * * * *   34.9% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 18.9% * * * * *   35.2% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 20.7% * * * * *   38.3% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 19.3% * * * * *   33.8% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 26.6% * * * * *   34.0% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 26.3% * * * * *   36.4% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 27.6% * * * * *   31.5% * * * * *
iShares Real Estate IYR U.S. Real Estate 26.3% * * * * *   33.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 26.3% * * * * *   34.6% * * * * *