Global Equities, ranked by Downside Deviation

for period ending April 30, 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.

 
 

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 12.1% * * * * *   -13.7% * * * * *
New Zealand ENZL Asia and Australia 12.9% * * * * *   -8.5% * * * * *
Philippines EPHE Asia and Australia 14.7% * * * * *   -2.7% * * * * *
Australia EWA Asia and Australia 11.4% * * * * *   4.9% * * * * *
Hong Kong EWH Asia and Australia 15.0% * * * * *   -19.7% * * * * *
Japan EWJ Asia and Australia 8.2% * * * * *   16.7% * * * * *
Malaysia EWM Asia and Australia 7.8% * * * * *   5.2% * * * * *
Singapore EWS Asia and Australia 12.0% * * * * *   1.1% * * * * *
Taiwan EWT Asia and Australia 8.4% * * * * *   16.6% * * * * *
S Korea EWY Asia and Australia 17.6% * * * * *   6.6% * * * * *
India INDY Asia and Australia 4.0% * * * * *   18.9% * * * * *
China MCHI Asia and Australia 16.9% * * * * *   -9.2% * * * * *
Thailand THD Asia and Australia 11.6% * * * * *   -16.5% * * * * *
Vietnam VNM Asia and Australia 24.4% * * * * *   5.8% * * * * *
Poland EPOL Europe 20.8% * * * * *   37.6% * * * * *
Sweden EWD Europe 14.2% * * * * *   5.7% * * * * *
Germany EWG Europe 11.8% * * * * *   6.4% * * * * *
Italy EWI Europe 11.9% * * * * *   19.8% * * * * *
Belgium EWK Europe 12.1% * * * * *   -1.1% * * * * *
Switzerland EWL Europe 9.7% * * * * *   -3.6% * * * * *
Netherlands EWN Europe 13.5% * * * * *   15.0% * * * * *
Austria EWO Europe 10.4% * * * * *   9.9% * * * * *
Spain EWP Europe 10.1% * * * * *   12.6% * * * * *
France EWQ Europe 11.0% * * * * *   4.1% * * * * *
UK EWU Europe 8.9% * * * * *   6.7% * * * * *
EMU EZU Europe 11.0% * * * * *   8.8% * * * * *
Greece GREK Europe 16.1% * * * * *   32.4% * * * * *
Norway NORW Europe 11.7% * * * * *   5.2% * * * * *
Israel EIS Mideast and Africa 18.7% * * * * *   10.7% * * * * *
S Africa EZA Mideast and Africa 20.8% * * * * *   -3.8% * * * * *
Turkey TUR Mideast and Africa 20.6% * * * * *   35.7% * * * * *
Canada EWC North America 10.7% * * * * *   7.4% * * * * *
Mexico EWW North America 12.9% * * * * *   10.0% * * * * *
US Equity: Russell 3000 SPTM North America 8.5% * * * * *   22.1% * * * * *
Argentina ARGT South America 23.7% * * * * *   48.6% * * * * *
Chile ECH South America 17.1% * * * * *   -1.6% * * * * *
Peru EPU South America 14.6% * * * * *   37.6% * * * * *
Brazil EWZ South America 14.2% * * * * *   16.5% * * * * *