Global Equities, ranked by Downside Deviation
for period ending September 30, 2026
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.
Downside Deviation vs. Annual Return
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Portfolio Ingredients: Global Equities
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S&P 500 (SPY)
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U.S. Bonds (BND)
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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 | 3.1% | 3.2% | 4.5% | 3.6% | 3.1% | 2.9% | -1.5% | 4.2% | -0.6% | 1.1% | 1.8% | 2.9% | |
| S&P 500 | SPY | Benchmark | 5.9% | 6.6% | 10.6% | 10.9% | 9.6% | 11.1% | 15.7% | 22.8% | 13.7% | 15.2% | 15.6% | 11.1% | |
| Indonesia | EIDO | Asia and Australia | 17.5% | 16.1% | 14.5% | 16.7% | 17.0% | -31.3% | -16.2% | -8.6% | -5.6% | -3.1% | |||
| New Zealand | ENZL | Asia and Australia | 12.7% | 10.8% | 13.7% | 13.1% | 12.7% | 0.3% | 3.1% | -3.9% | 2.4% | 6.7% | |||
| Philippines | EPHE | Asia and Australia | 13.6% | 13.0% | 15.1% | 14.9% | 14.3% | -5.9% | -0.7% | -3.3% | -3.5% | 1.7% | |||
| Australia | EWA | Asia and Australia | 11.5% | 11.1% | 14.2% | 14.0% | 14.2% | 16.9% | 8.1% | 13.4% | 7.0% | 7.4% | 6.9% | 6.1% | |
| Hong Kong | EWH | Asia and Australia | 11.3% | 11.5% | 14.2% | 13.3% | 13.0% | 14.9% | 7.6% | 13.9% | 2.2% | 3.6% | 6.4% | 5.6% | |
| Japan | EWJ | Asia and Australia | 10.9% | 8.3% | 10.4% | 9.5% | 9.5% | 11.2% | 26.7% | 20.8% | 9.3% | 9.0% | 8.5% | 4.8% | |
| Malaysia | EWM | Asia and Australia | 7.1% | 8.3% | 10.5% | 10.0% | 10.5% | 11.8% | 9.5% | 13.3% | 5.0% | 2.2% | 1.8% | 4.5% | |
| Singapore | EWS | Asia and Australia | 4.1% | 6.2% | 9.7% | 12.0% | 12.1% | 15.3% | 22.4% | 27.5% | 13.2% | 9.0% | 7.1% | 7.2% | |
| Taiwan | EWT | Asia and Australia | 24.3% | 13.1% | 15.5% | 13.9% | 12.7% | 15.6% | 85.6% | 43.8% | 20.9% | 19.2% | 15.6% | 11.9% | |
| S Korea | EWY | Asia and Australia | 76.8% | 31.5% | 25.9% | 20.5% | 17.9% | 20.8% | 133.3% | 49.4% | 20.3% | 14.3% | 11.4% | 8.7% | |
| India | INDY | Asia and Australia | 11.8% | 9.7% | 9.4% | 13.2% | 14.2% | -12.7% | -0.4% | -0.7% | 5.4% | 5.8% | |||
| China | MCHI | Asia and Australia | 10.7% | 12.0% | 17.4% | 16.2% | 15.6% | -19.3% | 9.2% | -2.8% | 2.6% | 4.5% | |||
| Thailand | THD | Asia and Australia | 10.6% | 11.1% | 12.4% | 13.5% | 13.7% | 24.2% | 7.7% | 2.1% | 2.5% | 4.7% | |||
| Vietnam | VNM | Asia and Australia | 13.7% | 16.5% | 18.2% | 17.3% | 17.1% | -4.8% | 9.8% | -1.2% | 2.5% | 1.6% | |||
| Poland | EPOL | Europe | 8.5% | 9.3% | 21.0% | 20.1% | 18.3% | 43.3% | 44.1% | 19.4% | 12.4% | 7.6% | |||
| Sweden | EWD | Europe | 14.5% | 12.9% | 16.6% | 15.1% | 13.7% | 16.7% | 9.8% | 18.7% | 5.6% | 9.0% | 8.9% | 6.7% | |
| Germany | EWG | Europe | 13.3% | 10.6% | 14.3% | 14.1% | 13.6% | 16.7% | 1.3% | 18.8% | 7.3% | 7.2% | 8.1% | 5.3% | |
| Italy | EWI | Europe | 10.4% | 8.9% | 13.6% | 15.4% | 15.7% | 18.0% | 16.8% | 28.8% | 17.4% | 14.0% | 9.6% | 3.2% | |
| Belgium | EWK | Europe | 12.0% | 9.5% | 11.9% | 12.6% | 11.5% | 15.9% | 13.2% | 16.8% | 7.0% | 5.8% | 8.8% | 3.4% | |
| Switzerland | EWL | Europe | 12.4% | 10.1% | 11.4% | 10.3% | 9.9% | 11.8% | 9.0% | 12.9% | 7.0% | 9.0% | 9.3% | 7.0% | |
| Netherlands | EWN | Europe | 12.1% | 10.8% | 15.1% | 13.9% | 12.9% | 15.8% | 22.4% | 24.8% | 9.2% | 12.9% | 12.3% | 7.7% | |
| Austria | EWO | Europe | 10.0% | 8.2% | 14.9% | 16.7% | 15.5% | 20.0% | 40.1% | 36.0% | 16.8% | 14.0% | 10.7% | 4.8% | |
| Spain | EWP | Europe | 8.8% | 9.2% | 12.5% | 14.2% | 14.9% | 17.5% | 23.2% | 33.4% | 20.8% | 11.7% | 8.1% | 5.2% | |
| France | EWQ | Europe | 12.0% | 10.6% | 13.0% | 13.2% | 12.4% | 15.5% | -0.2% | 9.3% | 6.3% | 8.7% | 8.4% | 4.5% | |
| UK | EWU | Europe | 8.5% | 7.2% | 10.1% | 11.6% | 11.1% | 12.8% | 14.6% | 18.2% | 11.9% | 8.0% | 7.2% | 4.3% | |
| EMU | EZU | Europe | 10.9% | 9.2% | 13.0% | 13.2% | 12.6% | 15.9% | 11.7% | 20.1% | 10.1% | 9.7% | 9.0% | 4.8% | |
| Greece | GREK | Europe | 14.7% | 11.6% | 15.2% | 19.4% | 34.1% | 41.2% | 29.6% | 17.8% | |||||
| Norway | NORW | Europe | 16.3% | 11.4% | 16.2% | 16.6% | 15.7% | 26.6% | 19.7% | 8.6% | 8.9% | 6.7% | |||
| Israel | EIS | Mideast and Africa | 15.0% | 16.1% | 15.8% | 15.0% | 13.6% | 22.9% | 32.8% | 12.8% | 11.2% | 9.5% | |||
| S Africa | EZA | Mideast and Africa | 23.0% | 17.3% | 19.5% | 19.6% | 18.1% | 19.7% | 7.6% | 26.2% | 11.4% | 6.4% | 5.2% | 5.9% | |
| Turkey | TUR | Mideast and Africa | 21.2% | 17.5% | 20.1% | 23.1% | 21.8% | 1.0% | -2.2% | 12.7% | 1.6% | 0.2% | |||
| Canada | EWC | North America | 8.8% | 8.3% | 11.7% | 12.6% | 11.8% | 14.7% | 17.1% | 22.7% | 12.2% | 10.8% | 7.9% | 6.7% | |
| Mexico | EWW | North America | 11.7% | 13.1% | 14.2% | 18.5% | 16.4% | 18.4% | 7.8% | 10.7% | 11.6% | 6.7% | 4.9% | 4.8% | |
| SPDR S&P 1500 | SPTM | North America | 5.9% | 6.7% | 10.6% | 11.0% | 9.8% | 11.6% | 15.4% | 22.1% | 13.3% | 14.9% | 15.3% | 11.1% | |
| Argentina | ARGT | South America | 18.5% | 18.8% | 21.2% | 24.4% | 22.3% | 24.9% | 29.4% | 22.9% | 15.0% | 11.6% | |||
| Chile | ECH | South America | 14.4% | 13.6% | 18.4% | 18.9% | 17.1% | 16.9% | 15.9% | 12.4% | 3.2% | 0.2% | |||
| Peru | EPU | South America | 21.4% | 14.6% | 17.8% | 17.9% | 17.0% | 47.3% | 48.9% | 33.1% | 14.0% | 9.4% | |||
| Brazil | EWZ | South America | 13.2% | 14.3% | 18.4% | 23.0% | 22.4% | 24.0% | 25.1% | 13.0% | 11.3% | 6.3% | 2.1% | 4.1% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | 4.4% | 4.9% | 7.8% | 7.2% | 6.3% | 7.1% | 8.5% | 14.9% | 7.3% | 9.3% | 9.9% | 8.0% | |