Global Equities, ranked by M-squared
for period ending September 30, 2026
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).
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 | -30.3% | -30.2% | -20.0% | -18.3% | -16.8% | -31.3% | -16.2% | -8.6% | -5.6% | -3.1% | |||
| New Zealand | ENZL | Asia and Australia | -14.7% | -19.4% | -16.3% | -12.8% | -9.9% | 0.3% | 3.1% | -3.9% | 2.4% | 6.7% | |||
| Philippines | EPHE | Asia and Australia | -18.8% | -21.9% | -15.3% | -17.4% | -13.8% | -5.9% | -0.7% | -3.3% | -3.5% | 1.7% | |||
| Australia | EWA | Asia and Australia | -8.7% | -11.5% | -7.3% | -8.7% | -10.0% | -6.4% | 8.1% | 13.4% | 7.0% | 7.4% | 6.9% | 6.1% | |
| Hong Kong | EWH | Asia and Australia | -9.3% | -12.1% | -10.8% | -11.9% | -10.3% | -6.5% | 7.6% | 13.9% | 2.2% | 3.6% | 6.4% | 5.6% | |
| Japan | EWJ | Asia and Australia | 8.3% | -1.7% | -4.1% | -5.5% | -7.0% | -6.4% | 26.7% | 20.8% | 9.3% | 9.0% | 8.5% | 4.8% | |
| Malaysia | EWM | Asia and Australia | -5.8% | -9.8% | -8.6% | -13.1% | -13.8% | -6.9% | 9.5% | 13.3% | 5.0% | 2.2% | 1.8% | 4.5% | |
| Singapore | EWS | Asia and Australia | 9.9% | 6.7% | -0.1% | -6.8% | -9.4% | -5.4% | 22.4% | 27.5% | 13.2% | 9.0% | 7.1% | 7.2% | |
| Taiwan | EWT | Asia and Australia | 19.1% | 1.7% | 0.9% | -0.9% | -4.0% | -2.6% | 85.6% | 43.8% | 20.9% | 19.2% | 15.6% | 11.9% | |
| S Korea | EWY | Asia and Australia | 15.0% | -5.2% | -2.7% | -6.7% | -8.8% | -5.8% | 133.3% | 49.4% | 20.3% | 14.3% | 11.4% | 8.7% | |
| India | INDY | Asia and Australia | -26.8% | -23.0% | -15.6% | -10.1% | -10.9% | -12.7% | -0.4% | -0.7% | 5.4% | 5.8% | |||
| China | MCHI | Asia and Australia | -30.8% | -15.5% | -13.3% | -12.6% | -12.1% | -19.3% | 9.2% | -2.8% | 2.6% | 4.5% | |||
| Thailand | THD | Asia and Australia | 0.2% | -16.3% | -11.1% | -12.7% | -11.7% | 24.2% | 7.7% | 2.1% | 2.5% | 4.7% | |||
| Vietnam | VNM | Asia and Australia | -17.7% | -15.6% | -12.7% | -12.7% | -13.8% | -4.8% | 9.8% | -1.2% | 2.5% | 1.6% | |||
| Poland | EPOL | Europe | 21.4% | 8.2% | -0.9% | -7.1% | -10.7% | 43.3% | 44.1% | 19.4% | 12.4% | 7.6% | |||
| Sweden | EWD | Europe | -7.7% | -9.3% | -8.4% | -7.9% | -8.6% | -6.1% | 9.8% | 18.7% | 5.6% | 9.0% | 8.9% | 6.7% | |
| Germany | EWG | Europe | -13.9% | -7.1% | -7.0% | -9.1% | -9.2% | -6.9% | 1.3% | 18.8% | 7.3% | 7.2% | 8.1% | 5.3% | |
| Italy | EWI | Europe | 0.1% | 2.8% | 1.0% | -4.5% | -8.8% | -8.5% | 16.8% | 28.8% | 17.4% | 14.0% | 9.6% | 3.2% | |
| Belgium | EWK | Europe | -4.1% | -7.4% | -6.9% | -9.9% | -7.8% | -8.1% | 13.2% | 16.8% | 7.0% | 5.8% | 8.8% | 3.4% | |
| Switzerland | EWL | Europe | -7.5% | -11.3% | -6.9% | -6.0% | -6.4% | -4.4% | 9.0% | 12.9% | 7.0% | 9.0% | 9.3% | 7.0% | |
| Netherlands | EWN | Europe | 1.3% | -3.7% | -5.9% | -4.6% | -5.8% | -5.1% | 22.4% | 24.8% | 9.2% | 12.9% | 12.3% | 7.7% | |
| Austria | EWO | Europe | 17.9% | 8.0% | 0.1% | -4.8% | -7.9% | -7.6% | 40.1% | 36.0% | 16.8% | 14.0% | 10.7% | 4.8% | |
| Spain | EWP | Europe | 9.1% | 4.0% | 4.3% | -5.9% | -9.6% | -7.2% | 23.2% | 33.4% | 20.8% | 11.7% | 8.1% | 5.2% | |
| France | EWQ | Europe | -15.5% | -14.0% | -7.7% | -7.6% | -8.5% | -7.4% | -0.2% | 9.3% | 6.3% | 8.7% | 8.4% | 4.5% | |
| UK | EWU | Europe | -0.7% | -3.0% | -1.2% | -7.4% | -8.8% | -7.1% | 14.6% | 18.2% | 11.9% | 8.0% | 7.2% | 4.3% | |
| EMU | EZU | Europe | -4.5% | -4.3% | -4.5% | -6.8% | -8.1% | -7.2% | 11.7% | 20.1% | 10.1% | 9.7% | 9.0% | 4.8% | |
| Greece | GREK | Europe | 6.7% | 7.5% | 9.3% | -3.4% | 34.1% | 41.2% | 29.6% | 17.8% | |||||
| Norway | NORW | Europe | 1.0% | -8.0% | -6.2% | -8.2% | -10.6% | 26.6% | 19.7% | 8.6% | 8.9% | 6.7% | |||
| Israel | EIS | Mideast and Africa | -0.2% | -2.4% | -3.2% | -6.0% | -8.0% | 22.9% | 32.8% | 12.8% | 11.2% | 9.5% | |||
| S Africa | EZA | Mideast and Africa | -10.3% | -6.1% | -4.9% | -10.3% | -11.7% | -6.9% | 7.6% | 26.2% | 11.4% | 6.4% | 5.2% | 5.9% | |
| Turkey | TUR | Mideast and Africa | -13.1% | -21.5% | -5.1% | -13.0% | -14.4% | 1.0% | -2.2% | 12.7% | 1.6% | 0.2% | |||
| Canada | EWC | North America | 0.7% | -1.7% | -1.9% | -5.3% | -8.5% | -5.6% | 17.1% | 22.7% | 12.2% | 10.8% | 7.9% | 6.7% | |
| Mexico | EWW | North America | -8.9% | -14.5% | -4.1% | -10.0% | -11.8% | -7.5% | 7.8% | 10.7% | 11.6% | 6.7% | 4.9% | 4.8% | |
| SPDR S&P 1500 | SPTM | North America | -0.0% | -0.7% | -0.4% | -0.5% | -0.4% | -0.3% | 15.4% | 22.1% | 13.3% | 14.9% | 15.3% | 11.1% | |
| Argentina | ARGT | South America | -5.1% | -9.4% | -0.5% | -6.8% | -9.3% | 24.9% | 29.4% | 22.9% | 15.0% | 11.6% | |||
| Chile | ECH | South America | -4.2% | -11.1% | -4.2% | -12.2% | -14.6% | 16.9% | 15.9% | 12.4% | 3.2% | 0.2% | |||
| Peru | EPU | South America | 7.4% | 5.7% | 8.8% | -5.3% | -9.3% | 47.3% | 48.9% | 33.1% | 14.0% | 9.4% | |||
| Brazil | EWZ | South America | 0.4% | -13.8% | -5.1% | -10.7% | -13.6% | -8.3% | 25.1% | 13.0% | 11.3% | 6.3% | 2.1% | 4.1% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | -4.7% | -3.9% | -5.3% | -2.9% | -1.8% | 0.1% | 8.5% | 14.9% | 7.3% | 9.3% | 9.9% | 8.0% | |