Global Asset Classes, ranked by Treynor

for period ending July 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
by Peer Group: Global Asset Classes, Global Equities, Global Sectors

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.

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
			Treynor						Total Return, annualized
		Group average

Agriculture	DBA	Commodities	66.3%	*	*	*	*	*	13.6%	*	*	*	*	*
Industrial Metals	DBB	Commodities	17.7%	*	*	*	*	*	7.0%	*	*	*	*	*
Oil	DBO	Commodities	-9.1%	*	*	*	*	*	-2.7%	*	*	*	*	*
Invesco Commodity	DBC	Commodities: Broad	46.3%	*	*	*	*	*	4.7%	*	*	*	*	*
SPDR Gold Shares	GLD	Commodities: Prec Metals	-56.6%	*	*	*	*	*	33.7%	*	*	*	*	*
AUStralia	FXA	Currency: AUS Dollar	-3.2%	*	*	*	*	*	-0.3%	*	*	*	*	*
CAN Canada Dollar	FXC	Currency: CAN Dollar	17.9%	*	*	*	*	*	0.7%	*	*	*	*	*
CHF Swiss Franc	FXF	Currency: CHF Franc	-108.6%	*	*	*	*	*	7.7%	*	*	*	*	*
EUR Euro	FXE	Currency: EUR Euro	-37.2%	*	*	*	*	*	6.9%	*	*	*	*	*
GBP UK Pound	FXB	Currency: GBP Pound	-68.4%	*	*	*	*	*	5.6%	*	*	*	*	*
JPY Japan Yen	FXY	Currency: JPY Yen	-13.7%	*	*	*	*	*	-1.0%	*	*	*	*	*
USD US Dollar indx	UUP	Currency: USD index	9.3%	*	*	*	*	*	1.4%	*	*	*	*	*
iShares MSCI	EEM	Equity: Emerging Mkts	49.6%	*	*	*	*	*	16.1%	*	*	*	*	*
Alerian US MLP	AMLP	Equity: MLP	14.9%	*	*	*	*	*	12.7%	*	*	*	*	*
US Corp Med 5-10y	IGIB	Fixed Income	33.6%	*	*	*	*	*	6.1%	*	*	*	*	*
Emerg Mkt Hi Yld	EMHY	Fixed Income	33.8%	*	*	*	*	*	11.2%	*	*	*	*	*
Muni Hi Yield	HYD	Fixed Income	-14.2%	*	*	*	*	*	-2.5%	*	*	*	*	*
US Treas 7-10yr	IEF	Fixed Income	27.5%	*	*	*	*	*	2.5%	*	*	*	*	*
Intl Treas	IGOV	Fixed Income	65.3%	*	*	*	*	*	4.4%	*	*	*	*	*
VanEck Intl Hi Yield	IHY	Fixed Income	83.7%	*	*	*	*	*	10.4%	*	*	*	*	*
VanEck Intermed Muni	ITM	Fixed Income	2.5%	*	*	*	*	*	0.9%	*	*	*	*	*
US Hi Yield	JNK	Fixed Income	26.3%	*	*	*	*	*	8.0%	*	*	*	*	*
US Mort Backed	MBB	Fixed Income	23.0%	*	*	*	*	*	2.9%	*	*	*	*	*
US Inflation Prot	TIP	Fixed Income	76.7%	*	*	*	*	*	3.9%	*	*	*	*	*
U.S. Agg Bond Market	AGG	Fixed Income: Aggregate	27.1%	*	*	*	*	*	3.4%	*	*	*	*	*
U.S. Total Bond Market	BND	Benchmark	27.8%	*	*	*	*	*	3.4%	*	*	*	*	*
iShares Emerg	EMB	Fixed Income: Aggregate	24.4%	*	*	*	*	*	8.5%	*	*	*	*	*
Invesco Emerg Mkt Sov Debt	PCY	Fixed Income: Aggregate	7.6%	*	*	*	*	*	4.2%	*	*	*	*	*
T-Bill 1-3 Month	BIL	Fixed Income: Cash-like	2609.2%	*	*	*	*	*	4.5%	*	*	*	*	*
iShares Treas 20y+	TLT	Fixed Income: Long-Term	-17.4%	*	*	*	*	*	-4.4%	*	*	*	*	*
iSh Treas 1-3y	SHY	Fixed Income: Short-Term	-282.3%	*	*	*	*	*	4.3%	*	*	*	*	*
ACWI (Global)	ACWI	Int'l Equity: Core	19.3%	*	*	*	*	*	15.8%	*	*	*	*	*
Intl Dev Core	EFA	Int'l Equity: Lg Cap	37.5%	*	*	*	*	*	12.3%	*	*	*	*	*
iSh EAFE Growth	EFG	Int'l Equity: Lg Cap Gro	9.6%	*	*	*	*	*	5.7%	*	*	*	*	*
iSh EAFE Value	EFV	Int'l Equity: Lg Cap Val	142.9%	*	*	*	*	*	19.2%	*	*	*	*	*
Intl Dev Sm Cap	SCZ	Int'l Equity: Small Cap	33.2%	*	*	*	*	*	15.7%	*	*	*	*	*
US Large Core	IWB	U.S. Equity: Lg / Mid	15.4%	*	*	*	*	*	16.4%	*	*	*	*	*
iSh Russell 3000	IWV	U.S. Equity: Lg Cap	14.1%	*	*	*	*	*	15.5%	*	*	*	*	*
S&P 500	SPY	Benchmark	15.8%	*	*	*	*	*	16.2%	*	*	*	*	*
iSh Russ 1000 Gro	IWF	U.S. Equity: Lg Cap Gro	19.4%	*	*	*	*	*	23.5%	*	*	*	*	*
Inveso QQQ	QQQ	U.S. Equity: Lg Cap Gro	18.1%	*	*	*	*	*	20.6%	*	*	*	*	*
iSh Russ 1000 Val	IWD	U.S. Equity: Lg Cap Val	9.6%	*	*	*	*	*	8.6%	*	*	*	*	*
iSh Russell	IWC	U.S. Equity: Micro Cap	1.7%	*	*	*	*	*	3.0%	*	*	*	*	*
iSh US Mid Core	IWR	U.S. Equity: Mid Cap	10.0%	*	*	*	*	*	11.9%	*	*	*	*	*
iSh US Mid Growth	IWP	U.S. Equity: Mid Cap Gro	17.9%	*	*	*	*	*	28.0%	*	*	*	*	*
iSh US Mid Value	IWS	U.S. Equity: Mid Cap Val	6.4%	*	*	*	*	*	6.9%	*	*	*	*	*
iSh Russ 2000	IWM	U.S. Equity: Sm Cap	-0.9%	*	*	*	*	*	-0.9%	*	*	*	*	*
iSh Russell 2000	IWO	U.S. Equity: Sm Cap Gro	1.7%	*	*	*	*	*	3.0%	*	*	*	*	*
iSh Russ 2000 Val	IWN	U.S. Equity: Sm Cap Val	-3.9%	*	*	*	*	*	-4.6%	*	*	*	*	*
iShares Real Estate	IYR	U.S. Real Estate	4.3%	*	*	*	*	*	2.9%	*	*	*	*	*
Vanguard Real Estate	VNQ	U.S. Real Estate	3.3%	*	*	*	*	*	2.4%	*	*	*	*	*
Strategic 60-40 Portfolio	s.6040	Benchmark	15.2%	*	*	*	*	*	10.7%	*	*	*	*	*

Global Asset Classes, ranked by Treynor

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