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
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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 | -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% | * | * | * | * | * |