Global Equities, ranked by Downside Deviation

for period ending March 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.

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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 4.0% * * * * *   4.9% * * * * *
S&P 500 SPY Benchmark 8.1% * * * * *   8.3% * * * * *
Indonesia EIDO Asia and Australia 15.1% * * * * *   -23.9% * * * * *
New Zealand ENZL Asia and Australia 9.7% * * * * *   -5.5% * * * * *
Philippines EPHE Asia and Australia 13.4% * * * * *   -6.2% * * * * *
Australia EWA Asia and Australia 12.3% * * * * *   -1.5% * * * * *
Hong Kong EWH Asia and Australia 10.1% * * * * *   17.4% * * * * *
Japan EWJ Asia and Australia 7.8% * * * * *   -1.7% * * * * *
Malaysia EWM Asia and Australia 11.4% * * * * *   9.6% * * * * *
Singapore EWS Asia and Australia 5.1% * * * * *   35.2% * * * * *
Taiwan EWT Asia and Australia 8.0% * * * * *   0.7% * * * * *
S Korea EWY Asia and Australia 11.8% * * * * *   -17.5% * * * * *
India INDY Asia and Australia 8.5% * * * * *   0.9% * * * * *
China MCHI Asia and Australia 8.8% * * * * *   40.1% * * * * *
Thailand THD Asia and Australia 11.7% * * * * *   -8.1% * * * * *
Vietnam VNM Asia and Australia 13.6% * * * * *   -10.2% * * * * *
Poland EPOL Europe 11.3% * * * * *   25.7% * * * * *
Sweden EWD Europe 11.6% * * * * *   7.0% * * * * *
Germany EWG Europe 7.8% * * * * *   19.7% * * * * *
Italy EWI Europe 9.3% * * * * *   16.7% * * * * *
Belgium EWK Europe 8.5% * * * * *   8.6% * * * * *
Switzerland EWL Europe 9.9% * * * * *   11.1% * * * * *
Netherlands EWN Europe 9.3% * * * * *   -3.7% * * * * *
Austria EWO Europe 8.4% * * * * *   24.1% * * * * *
Spain EWP Europe 10.6% * * * * *   23.4% * * * * *
France EWQ Europe 11.1% * * * * *   -0.9% * * * * *
UK EWU Europe 7.2% * * * * *   14.0% * * * * *
EMU EZU Europe 9.0% * * * * *   7.2% * * * * *
Greece GREK Europe 11.4% * * * * *   22.8% * * * * *
Norway NORW Europe 7.8% * * * * *   16.9% * * * * *
Israel EIS Mideast and Africa 11.6% * * * * *   18.4% * * * * *
S Africa EZA Mideast and Africa 10.7% * * * * *   31.5% * * * * *
Turkey TUR Mideast and Africa 14.7% * * * * *   -7.2% * * * * *
Canada EWC North America 8.0% * * * * *   8.9% * * * * *
Mexico EWW North America 12.6% * * * * *   -23.5% * * * * *
US Equity: Russell 3000 SPTM North America 8.3% * * * * *   7.4% * * * * *
Argentina ARGT South America 15.7% * * * * *   52.4% * * * * *
Chile ECH South America 10.1% * * * * *   15.5% * * * * *
Peru EPU South America 9.1% * * * * *   18.4% * * * * *
Brazil EWZ South America 14.1% * * * * *   -13.9% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 6.1% * * * * *   6.4% * * * * *