Global Asset Classes, ranked by Standard Deviation

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

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.

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Standard Deviation vs. Annual Return
● Portfolio Ingredients: Global Asset Classes ● S&P 500 (SPY) ● U.S. Bonds (BND) ● Balanced (60% Equity / 40% Bonds)

Portfolio Ingredients: Global Asset Classes Peer Group
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      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 19.3% * * * * *   24.3% * * * * *
Industrial Metals DBB Commodities 19.7% * * * * *   15.1% * * * * *
Oil DBO Commodities 13.9% * * * * *   1.8% * * * * *
PowerSh Commodity DBC Commodities: Broad 7.4% * * * * *   5.4% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 15.5% * * * * *   39.1% * * * * *
AUStralia FXA Currency: AUS Dollar 8.6% * * * * *   -3.0% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar 4.7% * * * * *   -4.6% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc 6.6% * * * * *   -2.2% * * * * *
EUR Euro FXE Currency: EUR Euro 5.3% * * * * *   -2.0% * * * * *
GBP UK Pound FXB Currency: GBP Pound 6.3% * * * * *   2.8% * * * * *
JPY Japan Yen FXY Currency: JPY Yen 12.4% * * * * *   -0.7% * * * * *
USD US Dollar indx UUP Currency: USD index 6.4% * * * * *   9.3% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 9.2% * * * * *   10.6% * * * * *
Alerian US MLP AMLP Equity: MLP 19.5% * * * * *   23.0% * * * * *
US Corp Med 5-10y IGIB Fixed Income 6.2% * * * * *   7.7% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 6.0% * * * * *   13.4% * * * * *
Muni Hi Yield HYD Fixed Income 4.4% * * * * *   5.6% * * * * *
US Treas 7-10yr IEF Fixed Income 7.5% * * * * *   4.9% * * * * *
Intl Treas IGOV Fixed Income 8.3% * * * * *   -1.1% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 5.4% * * * * *   6.8% * * * * *
MktVectors Intermed Muni ITM Fixed Income 4.0% * * * * *   2.6% * * * * *
US Hi Yield JNK Fixed Income 4.3% * * * * *   9.7% * * * * *
US Mort Backed MBB Fixed Income 6.8% * * * * *   6.5% * * * * *
US Inflation Prot TIP Fixed Income 5.1% * * * * *   6.0% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate 6.1% * * * * *   5.8% * * * * *
U.S. Total Bond Market BND Benchmark 5.9% * * * * *   5.8% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 7.5% * * * * *   10.1% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate 11.1% * * * * *   9.5% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 0.1% * * * * *   5.0% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term 13.9% * * * * *   2.2% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 1.8% * * * * *   5.2% * * * * *
ACWI (Global) ACWI Int'l Equity: Core 10.3% * * * * *   15.3% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap 12.4% * * * * *   8.9% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro 12.6% * * * * *   2.8% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 13.3% * * * * *   15.0% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap 13.3% * * * * *   6.2% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid 12.4% * * * * *   18.1% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap 12.8% * * * * *   17.3% * * * * *
S&P 500 SPY Benchmark 11.9% * * * * *   18.4% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro 14.5% * * * * *   19.8% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro 13.3% * * * * *   16.4% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val 15.6% * * * * *   15.7% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap 23.2% * * * * *   5.1% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap 17.0% * * * * *   12.2% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro 21.1% * * * * *   14.2% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val 16.8% * * * * *   11.5% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap 22.3% * * * * *   6.6% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro 22.8% * * * * *   5.7% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val 22.4% * * * * *   7.2% * * * * *
iShares Real Estate IYR U.S. Real Estate 19.6% * * * * *   13.9% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 19.6% * * * * *   14.1% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 9.1% * * * * *   12.8% * * * * *