Global Equities, ranked by Downside Deviation

for period ending October 31, 2024

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
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta

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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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.

      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  
 
Indonesia EIDO Asia and Australia 11.6% * * * * *   10.1% * * * * *
New Zealand ENZL Asia and Australia 9.1% * * * * *   16.6% * * * * *
Philippines EPHE Asia and Australia 12.4% * * * * *   19.9% * * * * *
Australia EWA Asia and Australia 11.3% * * * * *   27.2% * * * * *
Hong Kong EWH Asia and Australia 15.1% * * * * *   11.7% * * * * *
Japan EWJ Asia and Australia 8.8% * * * * *   18.0% * * * * *
Malaysia EWM Asia and Australia 11.0% * * * * *   23.5% * * * * *
Singapore EWS Asia and Australia 8.0% * * * * *   28.0% * * * * *
Taiwan EWT Asia and Australia 6.3% * * * * *   35.3% * * * * *
S Korea EWY Asia and Australia 15.0% * * * * *   11.9% * * * * *
India INDY Asia and Australia 6.5% * * * * *   21.3% * * * * *
China MCHI Asia and Australia 14.3% * * * * *   21.3% * * * * *
Thailand THD Asia and Australia 10.6% * * * * *   14.1% * * * * *
Vietnam VNM Asia and Australia 16.2% * * * * *   8.6% * * * * *
Poland EPOL Europe 11.0% * * * * *   17.6% * * * * *
Sweden EWD Europe 14.2% * * * * *   32.1% * * * * *
Germany EWG Europe 8.8% * * * * *   31.5% * * * * *
Italy EWI Europe 8.9% * * * * *   32.0% * * * * *
Belgium EWK Europe 8.7% * * * * *   21.5% * * * * *
Switzerland EWL Europe 9.0% * * * * *   20.2% * * * * *
Netherlands EWN Europe 11.5% * * * * *   27.0% * * * * *
Austria EWO Europe 8.6% * * * * *   20.0% * * * * *
Spain EWP Europe 10.8% * * * * *   30.9% * * * * *
France EWQ Europe 11.6% * * * * *   13.3% * * * * *
UK EWU Europe 6.9% * * * * *   21.6% * * * * *
EMU EZU Europe 9.6% * * * * *   23.4% * * * * *
Greece GREK Europe 10.9% * * * * *   20.6% * * * * *
Norway NORW Europe 8.0% * * * * *   12.9% * * * * *
Israel EIS Mideast and Africa 11.0% * * * * *   48.5% * * * * *
S Africa EZA Mideast and Africa 11.2% * * * * *   35.8% * * * * *
Turkey TUR Mideast and Africa 16.9% * * * * *   0.4% * * * * *
Canada EWC North America 6.1% * * * * *   31.0% * * * * *
Mexico EWW North America 15.3% * * * * *   -3.0% * * * * *
US Equity: Russell 3000 SPTM North America 5.6% * * * * *   37.5% * * * * *
Argentina ARGT South America 19.7% * * * * *   92.3% * * * * *
Chile ECH South America 14.5% * * * * *   9.1% * * * * *
Peru EPU South America 10.0% * * * * *   58.0% * * * * *
Brazil EWZ South America 11.8% * * * * *   -0.1% * * * * *