Global Equities, ranked by M-squared

for period ending June 30, 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 -15.3% * * * * *   -4.6% * * * * *
New Zealand ENZL Asia and Australia -12.1% * * * * *   2.7% * * * * *
Philippines EPHE Asia and Australia -3.8% * * * * *   14.6% * * * * *
Australia EWA Asia and Australia -5.3% * * * * *   11.2% * * * * *
Hong Kong EWH Asia and Australia 8.5% * * * * *   35.3% * * * * *
Japan EWJ Asia and Australia 0.3% * * * * *   12.5% * * * * *
Malaysia EWM Asia and Australia -6.1% * * * * *   10.4% * * * * *
Singapore EWS Asia and Australia 32.8% * * * * *   41.4% * * * * *
Taiwan EWT Asia and Australia -6.7% * * * * *   9.4% * * * * *
S Korea EWY Asia and Australia -7.2% * * * * *   11.2% * * * * *
India INDY Asia and Australia -13.4% * * * * *   1.5% * * * * *
China MCHI Asia and Australia 4.1% * * * * *   34.4% * * * * *
Thailand THD Asia and Australia -15.1% * * * * *   -3.6% * * * * *
Vietnam VNM Asia and Australia -4.2% * * * * *   13.0% * * * * *
Poland EPOL Europe 9.5% * * * * *   39.0% * * * * *
Sweden EWD Europe -1.7% * * * * *   16.2% * * * * *
Germany EWG Europe 24.6% * * * * *   40.5% * * * * *
Italy EWI Europe 22.4% * * * * *   38.7% * * * * *
Belgium EWK Europe 6.7% * * * * *   22.7% * * * * *
Switzerland EWL Europe -0.5% * * * * *   15.8% * * * * *
Netherlands EWN Europe -5.1% * * * * *   10.9% * * * * *
Austria EWO Europe 20.3% * * * * *   42.4% * * * * *
Spain EWP Europe 24.0% * * * * *   46.3% * * * * *
France EWQ Europe 1.5% * * * * *   16.7% * * * * *
UK EWU Europe 5.7% * * * * *   18.6% * * * * *
EMU EZU Europe 10.0% * * * * *   25.2% * * * * *
Greece GREK Europe 21.4% * * * * *   54.5% * * * * *
Norway NORW Europe 2.4% * * * * *   19.3% * * * * *
Israel EIS Mideast and Africa 27.4% * * * * *   58.4% * * * * *
S Africa EZA Mideast and Africa 11.3% * * * * *   32.2% * * * * *
Turkey TUR Mideast and Africa -26.0% * * * * *   -21.7% * * * * *
Canada EWC North America 12.0% * * * * *   27.1% * * * * *
Mexico EWW North America -4.7% * * * * *   12.4% * * * * *
SPDR S&P 1500 SPTM North America -0.8% * * * * *   14.4% * * * * *
Argentina ARGT South America 14.5% * * * * *   51.0% * * * * *
Chile ECH South America 8.7% * * * * *   24.6% * * * * *
Peru EPU South America 12.3% * * * * *   27.0% * * * * *
Brazil EWZ South America -6.3% * * * * *   12.4% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -0.4% * * * * *   11.6% * * * * *