Global Equities, ranked by M-squared

for period ending May 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

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
Sort by any column by clicking on the gray column heading.

      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 -10.7% * * * * *   0.5% * * * * *
New Zealand ENZL Asia and Australia -15.2% * * * * *   -2.8% * * * * *
Philippines EPHE Asia and Australia -2.7% * * * * *   13.8% * * * * *
Australia EWA Asia and Australia -5.6% * * * * *   8.5% * * * * *
Hong Kong EWH Asia and Australia -1.1% * * * * *   18.1% * * * * *
Japan EWJ Asia and Australia -1.6% * * * * *   10.0% * * * * *
Malaysia EWM Asia and Australia -6.2% * * * * *   8.0% * * * * *
Singapore EWS Asia and Australia 27.2% * * * * *   37.5% * * * * *
Taiwan EWT Asia and Australia -6.3% * * * * *   7.5% * * * * *
S Korea EWY Asia and Australia -11.7% * * * * *   -0.1% * * * * *
India INDY Asia and Australia -8.5% * * * * *   4.6% * * * * *
China MCHI Asia and Australia 0.0% * * * * *   23.4% * * * * *
Thailand THD Asia and Australia -13.4% * * * * *   -4.1% * * * * *
Vietnam VNM Asia and Australia -6.4% * * * * *   7.8% * * * * *
Poland EPOL Europe 4.5% * * * * *   27.7% * * * * *
Sweden EWD Europe -4.7% * * * * *   10.1% * * * * *
Germany EWG Europe 17.1% * * * * *   34.1% * * * * *
Italy EWI Europe 9.7% * * * * *   28.0% * * * * *
Belgium EWK Europe 1.3% * * * * *   16.3% * * * * *
Switzerland EWL Europe -0.2% * * * * *   14.6% * * * * *
Netherlands EWN Europe -8.0% * * * * *   5.3% * * * * *
Austria EWO Europe 12.0% * * * * *   32.6% * * * * *
Spain EWP Europe 11.6% * * * * *   34.1% * * * * *
France EWQ Europe -8.2% * * * * *   5.0% * * * * *
UK EWU Europe 1.7% * * * * *   14.4% * * * * *
EMU EZU Europe 1.7% * * * * *   16.6% * * * * *
Greece GREK Europe 12.1% * * * * *   39.8% * * * * *
Norway NORW Europe -4.2% * * * * *   10.0% * * * * *
Israel EIS Mideast and Africa 18.0% * * * * *   39.3% * * * * *
S Africa EZA Mideast and Africa 14.8% * * * * *   37.6% * * * * *
Turkey TUR Mideast and Africa -30.8% * * * * *   -27.9% * * * * *
Canada EWC North America 5.7% * * * * *   20.2% * * * * *
Mexico EWW North America -13.1% * * * * *   -3.5% * * * * *
SPDR S&P 1500 SPTM North America -1.0% * * * * *   12.3% * * * * *
Argentina ARGT South America 11.4% * * * * *   46.0% * * * * *
Chile ECH South America -0.5% * * * * *   14.9% * * * * *
Peru EPU South America -1.8% * * * * *   12.4% * * * * *
Brazil EWZ South America -11.4% * * * * *   -0.7% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -0.9% * * * * *   10.0% * * * * *