Global Asset Classes, ranked by Treynor

for period ending January 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, Treynor, Sharpe Ratio, Sortino Ratio, Treynor Ratio
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta

The Treynor Ratio is a significant measure of risk-adjusted return used in portfolio management and financial analysis. Unlike the Sharpe Ratio, which evaluates total risk, the Treynor Ratio focuses solely on market risk, measured by beta.

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.

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.

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
			Treynor						Total Return, annualized
		Group average

Agriculture	DBA	Commodities	85.92%	*	*	*	*	*	32.8%	*	*	*	*	*
Industrial Metals	DBB	Commodities	-15.66%	*	*	*	*	*	10.2%	*	*	*	*	*
Oil	DBO	Commodities	-21.39%	*	*	*	*	*	6.5%	*	*	*	*	*
PowerSh Commodity	DBC	Commodities: Broad	-13.12%	*	*	*	*	*	3.6%	*	*	*	*	*
SPDR Gold Trust	GLD	Commodities: Prec Metals	-216.15%	*	*	*	*	*	37.2%	*	*	*	*	*
AUStralia	FXA	Currency: AUS Dollar	-9.76%	*	*	*	*	*	-3.8%	*	*	*	*	*
CAN Canada Dollar	FXC	Currency: CAN Dollar	-22.38%	*	*	*	*	*	-5.7%	*	*	*	*	*
CHF Swiss Franc	FXF	Currency: CHF Franc	-34.39%	*	*	*	*	*	-5.4%	*	*	*	*	*
EUR Euro	FXE	Currency: EUR Euro	-18.10%	*	*	*	*	*	-2.0%	*	*	*	*	*
GBP UK Pound	FXB	Currency: GBP Pound	2.88%	*	*	*	*	*	0.9%	*	*	*	*	*
JPY Japan Yen	FXY	Currency: JPY Yen	-11.46%	*	*	*	*	*	-5.6%	*	*	*	*	*
USD US Dollar indx	UUP	Currency: USD index	-46.09%	*	*	*	*	*	10.8%	*	*	*	*	*
iShares MSCI	EEM	Equity: Emerging Mkts	40.05%	*	*	*	*	*	13.9%	*	*	*	*	*
Alerian US MLP	AMLP	Equity: MLP	22.15%	*	*	*	*	*	25.7%	*	*	*	*	*
US Corp Med 5-10y	IGIB	Fixed Income	11.07%	*	*	*	*	*	4.2%	*	*	*	*	*
Emerg Mkt Hi Yld	EMHY	Fixed Income	35.47%	*	*	*	*	*	14.5%	*	*	*	*	*
Muni Hi Yield	HYD	Fixed Income	14.98%	*	*	*	*	*	4.7%	*	*	*	*	*
US Treas 7-10yr	IEF	Fixed Income	-1.07%	*	*	*	*	*	-0.1%	*	*	*	*	*
Intl Treas	IGOV	Fixed Income	-6.93%	*	*	*	*	*	-2.9%	*	*	*	*	*
MktVectors Intl Hi Yield	IHY	Fixed Income	23.45%	*	*	*	*	*	5.9%	*	*	*	*	*
MktVectors Intermed Muni	ITM	Fixed Income	4.65%	*	*	*	*	*	1.3%	*	*	*	*	*
US Hi Yield	JNK	Fixed Income	31.18%	*	*	*	*	*	9.0%	*	*	*	*	*
US Mort Backed	MBB	Fixed Income	4.67%	*	*	*	*	*	2.2%	*	*	*	*	*
US Inflation Prot	TIP	Fixed Income	8.48%	*	*	*	*	*	2.7%	*	*	*	*	*
U.S. Total Bond Market	AGG	Fixed Income: Aggregate	4.77%	*	*	*	*	*	2.0%	*	*	*	*	*
U.S. Total Bond Market	BND	Fixed Income: Aggregate	5.31%	*	*	*	*	*	2.1%	*	*	*	*	*
iShares Emerg	EMB	Fixed Income: Aggregate	16.96%	*	*	*	*	*	8.6%	*	*	*	*	*
PwrSh Emerg Mkt Sov Debt	PCY	Fixed Income: Aggregate	9.02%	*	*	*	*	*	6.8%	*	*	*	*	*
T-Bill 1-3 Month	BIL	Fixed Income: Cash-like	-16977.24%	*	*	*	*	*	5.1%	*	*	*	*	*
iShares Treas 20y+	TLT	Fixed Income: Long-Term	-6.47%	*	*	*	*	*	-5.5%	*	*	*	*	*
iSh Treas 1-3y	SHY	Fixed Income: Short-Term	59.20%	*	*	*	*	*	4.0%	*	*	*	*	*
ACWI (Global)	ACWI	Int'l Equity: Core	23.10%	*	*	*	*	*	20.8%	*	*	*	*	*
iSh MSCI Frontier 100	FM	Int'l Equity: Frontier	15.56%	*	*	*	*	*	9.8%	*	*	*	*	*
Intl Dev Core	EFA	Int'l Equity: Lg Cap	11.96%	*	*	*	*	*	9.0%	*	*	*	*	*
iSh EAFE Growth	EFG	Int'l Equity: Lg Cap Gro	6.40%	*	*	*	*	*	6.4%	*	*	*	*	*
iSh EAFE Value	EFV	Int'l Equity: Lg Cap Val	20.88%	*	*	*	*	*	11.4%	*	*	*	*	*
Intl Dev Sm Cap	SCZ	Int'l Equity: Small Cap	9.61%	*	*	*	*	*	7.3%	*	*	*	*	*
US Large Core	IWB	U.S. Equity: Lg / Mid	25.44%	*	*	*	*	*	26.5%	*	*	*	*	*
iSh Russell 3000	IWV	U.S. Equity: Lg Cap	24.14%	*	*	*	*	*	26.0%	*	*	*	*	*
S&P 500	SPY	U.S. Equity: Lg Cap	25.88%	*	*	*	*	*	26.2%	*	*	*	*	*
iSh Russ 1000 Gro	IWF	U.S. Equity: Lg Cap Gro	32.27%	*	*	*	*	*	32.5%	*	*	*	*	*
PowerShares QQQ	QQQ	U.S. Equity: Lg Cap Gro	27.22%	*	*	*	*	*	26.0%	*	*	*	*	*
iSh Russ 1000 Val	IWD	U.S. Equity: Lg Cap Val	17.88%	*	*	*	*	*	19.3%	*	*	*	*	*
iSh Russell	IWC	U.S. Equity: Micro Cap	12.99%	*	*	*	*	*	18.1%	*	*	*	*	*
iSh US Mid Core	IWR	U.S. Equity: Mid Cap	17.18%	*	*	*	*	*	21.7%	*	*	*	*	*
iSh US Mid Growth	IWP	U.S. Equity: Mid Cap Gro	21.04%	*	*	*	*	*	30.2%	*	*	*	*	*
iSh US Mid Value	IWS	U.S. Equity: Mid Cap Val	15.51%	*	*	*	*	*	18.9%	*	*	*	*	*
iSh Russ 2000	IWM	U.S. Equity: Sm Cap	12.45%	*	*	*	*	*	18.8%	*	*	*	*	*
iSh Russell 2000	IWO	U.S. Equity: Sm Cap Gro	13.17%	*	*	*	*	*	22.5%	*	*	*	*	*
iSh Russ 2000 Val	IWN	U.S. Equity: Sm Cap Val	11.46%	*	*	*	*	*	15.1%	*	*	*	*	*
iShares Real Estate	IYR	U.S. Real Estate	9.05%	*	*	*	*	*	12.1%	*	*	*	*	*
Vanguard Real Estate	VNQ	U.S. Real Estate	9.28%	*	*	*	*	*	12.2%	*	*	*	*	*

Global Asset Classes, ranked by Treynor

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