Global Equities, ranked by M-squared

for period ending February 28, 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

M-Squared is the Modigliani risk-adjusted performance, shown as an annual total return percent. It is derived from the Sharpe ratio, but M-Squared is in units of percent return. M-Squared inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark equity portfolio (the S&P 500, represented by the SPY exchange-traded fund).

Note: Access to the sortable list for all years (including 3-, 5-, 10-, 15-, and 20-year metrics) is only available to paid subscribers. Subscribe to view the complete version of this Ingredient Summary page.

Portfolio Ingredients: Global Equities Peer Group
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      M-Squared   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 -28.7% * * * * *   -25.0% * * * * *
New Zealand ENZL Asia and Australia -20.1% * * * * *   -3.9% * * * * *
Philippines EPHE Asia and Australia -22.1% * * * * *   -10.5% * * * * *
Australia EWA Asia and Australia -14.2% * * * * *   4.0% * * * * *
Hong Kong EWH Asia and Australia -10.0% * * * * *   12.3% * * * * *
Japan EWJ Asia and Australia -17.0% * * * * *   1.4% * * * * *
Malaysia EWM Asia and Australia -8.5% * * * * *   12.7% * * * * *
Singapore EWS Asia and Australia 17.9% * * * * *   36.6% * * * * *
Taiwan EWT Asia and Australia -6.4% * * * * *   13.3% * * * * *
S Korea EWY Asia and Australia -24.2% * * * * *   -12.7% * * * * *
India INDY Asia and Australia -23.0% * * * * *   -4.7% * * * * *
China MCHI Asia and Australia 1.4% * * * * *   40.6% * * * * *
Thailand THD Asia and Australia -19.6% * * * * *   -7.0% * * * * *
Vietnam VNM Asia and Australia -23.4% * * * * *   -10.9% * * * * *
Poland EPOL Europe -8.2% * * * * *   14.8% * * * * *
Sweden EWD Europe -10.3% * * * * *   10.9% * * * * *
Germany EWG Europe -2.0% * * * * *   20.6% * * * * *
Italy EWI Europe -4.1% * * * * *   19.1% * * * * *
Belgium EWK Europe -9.6% * * * * *   10.0% * * * * *
Switzerland EWL Europe -8.7% * * * * *   12.8% * * * * *
Netherlands EWN Europe -16.6% * * * * *   0.8% * * * * *
Austria EWO Europe 0.2% * * * * *   24.3% * * * * *
Spain EWP Europe -0.8% * * * * *   28.6% * * * * *
France EWQ Europe -15.9% * * * * *   1.4% * * * * *
UK EWU Europe -2.2% * * * * *   17.7% * * * * *
EMU EZU Europe -10.0% * * * * *   9.8% * * * * *
Greece GREK Europe -9.4% * * * * *   11.0% * * * * *
Norway NORW Europe -9.7% * * * * *   10.8% * * * * *
Israel EIS Mideast and Africa 0.8% * * * * *   26.0% * * * * *
S Africa EZA Mideast and Africa 1.7% * * * * *   27.9% * * * * *
Turkey TUR Mideast and Africa -19.1% * * * * *   -7.1% * * * * *
Canada EWC North America -5.7% * * * * *   14.7% * * * * *
Mexico EWW North America -28.0% * * * * *   -19.4% * * * * *
US Equity: Russell 3000 SPTM North America -1.3% * * * * *   17.5% * * * * *
Argentina ARGT South America 13.5% * * * * *   68.6% * * * * *
Chile ECH South America -8.8% * * * * *   11.9% * * * * *
Peru EPU South America -2.4% * * * * *   23.1% * * * * *
Brazil EWZ South America -26.3% * * * * *   -21.1% * * * * *