Global Equities, ranked by M-squared

for period ending March 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 -20.5% * * * * *   -23.9% * * * * *
New Zealand ENZL Asia and Australia -12.6% * * * * *   -5.5% * * * * *
Philippines EPHE Asia and Australia -10.4% * * * * *   -6.2% * * * * *
Australia EWA Asia and Australia -8.2% * * * * *   -1.5% * * * * *
Hong Kong EWH Asia and Australia 4.1% * * * * *   17.4% * * * * *
Japan EWJ Asia and Australia -11.4% * * * * *   -1.7% * * * * *
Malaysia EWM Asia and Australia 0.1% * * * * *   9.6% * * * * *
Singapore EWS Asia and Australia 32.1% * * * * *   35.2% * * * * *
Taiwan EWT Asia and Australia -7.2% * * * * *   0.7% * * * * *
S Korea EWY Asia and Australia -20.6% * * * * *   -17.5% * * * * *
India INDY Asia and Australia -7.3% * * * * *   0.9% * * * * *
China MCHI Asia and Australia 13.9% * * * * *   40.1% * * * * *
Thailand THD Asia and Australia -11.2% * * * * *   -8.1% * * * * *
Vietnam VNM Asia and Australia -14.4% * * * * *   -10.2% * * * * *
Poland EPOL Europe 8.5% * * * * *   25.7% * * * * *
Sweden EWD Europe -2.1% * * * * *   7.0% * * * * *
Germany EWG Europe 9.5% * * * * *   19.7% * * * * *
Italy EWI Europe 6.2% * * * * *   16.7% * * * * *
Belgium EWK Europe 0.1% * * * * *   8.6% * * * * *
Switzerland EWL Europe 1.1% * * * * *   11.1% * * * * *
Netherlands EWN Europe -11.2% * * * * *   -3.7% * * * * *
Austria EWO Europe 12.7% * * * * *   24.1% * * * * *
Spain EWP Europe 9.3% * * * * *   23.4% * * * * *
France EWQ Europe -8.1% * * * * *   -0.9% * * * * *
UK EWU Europe 6.5% * * * * *   14.0% * * * * *
EMU EZU Europe -1.4% * * * * *   7.2% * * * * *
Greece GREK Europe 8.9% * * * * *   22.8% * * * * *
Norway NORW Europe 4.9% * * * * *   16.9% * * * * *
Israel EIS Mideast and Africa 6.2% * * * * *   18.4% * * * * *
S Africa EZA Mideast and Africa 16.2% * * * * *   31.5% * * * * *
Turkey TUR Mideast and Africa -10.1% * * * * *   -7.2% * * * * *
Canada EWC North America 0.4% * * * * *   8.9% * * * * *
Mexico EWW North America -25.7% * * * * *   -23.5% * * * * *
US Equity: Russell 3000 SPTM North America -0.9% * * * * *   7.4% * * * * *
Argentina ARGT South America 19.7% * * * * *   52.4% * * * * *
Chile ECH South America 5.0% * * * * *   15.5% * * * * *
Peru EPU South America 7.8% * * * * *   18.4% * * * * *
Brazil EWZ South America -13.5% * * * * *   -13.9% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -1.4% * * * * *   6.4% * * * * *