Global Equities, ranked by Downside Deviation

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, 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

Downside Deviation is also called "below-target semi deviation". This is similar to standard deviation, except that upside deviation is ignored and only the unfavorable downside deviation is used in the calculation.

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.

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

Portfolio Ingredients: Global Equities Peer Group
Sort by any column by clicking on the gray column heading.

      Downside 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  
 
U.S. Total Bond Market BND Benchmark 3.2% * * * * *   3.4% * * * * *
S&P 500 SPY Benchmark 7.3% * * * * *   16.2% * * * * *
Indonesia EIDO Asia and Australia 15.9% * * * * *   -10.6% * * * * *
New Zealand ENZL Asia and Australia 9.7% * * * * *   -0.5% * * * * *
Philippines EPHE Asia and Australia 13.4% * * * * *   2.8% * * * * *
Australia EWA Asia and Australia 12.0% * * * * *   7.4% * * * * *
Hong Kong EWH Asia and Australia 7.8% * * * * *   41.5% * * * * *
Japan EWJ Asia and Australia 6.0% * * * * *   6.2% * * * * *
Malaysia EWM Asia and Australia 11.2% * * * * *   1.0% * * * * *
Singapore EWS Asia and Australia 5.2% * * * * *   39.4% * * * * *
Taiwan EWT Asia and Australia 7.9% * * * * *   13.4% * * * * *
S Korea EWY Asia and Australia 14.1% * * * * *   12.1% * * * * *
India INDY Asia and Australia 9.3% * * * * *   -5.7% * * * * *
China MCHI Asia and Australia 10.2% * * * * *   42.3% * * * * *
Thailand THD Asia and Australia 13.0% * * * * *   2.4% * * * * *
Vietnam VNM Asia and Australia 10.6% * * * * *   32.6% * * * * *
Poland EPOL Europe 12.1% * * * * *   40.7% * * * * *
Sweden EWD Europe 11.7% * * * * *   10.8% * * * * *
Germany EWG Europe 7.2% * * * * *   34.5% * * * * *
Italy EWI Europe 6.6% * * * * *   34.2% * * * * *
Belgium EWK Europe 8.0% * * * * *   14.5% * * * * *
Switzerland EWL Europe 9.0% * * * * *   6.5% * * * * *
Netherlands EWN Europe 11.3% * * * * *   6.0% * * * * *
Austria EWO Europe 8.4% * * * * *   37.7% * * * * *
Spain EWP Europe 8.2% * * * * *   43.0% * * * * *
France EWQ Europe 8.8% * * * * *   12.2% * * * * *
UK EWU Europe 6.8% * * * * *   14.4% * * * * *
EMU EZU Europe 8.1% * * * * *   20.8% * * * * *
Greece GREK Europe 12.8% * * * * *   49.2% * * * * *
Norway NORW Europe 7.3% * * * * *   15.9% * * * * *
Israel EIS Mideast and Africa 10.4% * * * * *   49.8% * * * * *
S Africa EZA Mideast and Africa 10.3% * * * * *   24.2% * * * * *
Turkey TUR Mideast and Africa 14.5% * * * * *   -17.4% * * * * *
Canada EWC North America 7.3% * * * * *   21.1% * * * * *
Mexico EWW North America 9.7% * * * * *   11.8% * * * * *
SPDR S&P 1500 SPTM North America 7.5% * * * * *   14.9% * * * * *
Argentina ARGT South America 11.8% * * * * *   46.3% * * * * *
Chile ECH South America 9.6% * * * * *   17.5% * * * * *
Peru EPU South America 5.9% * * * * *   24.4% * * * * *
Brazil EWZ South America 16.6% * * * * *   1.8% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 5.0% * * * * *   10.7% * * * * *