Global Equities, ranked by M-squared
for period ending August 31, 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 | -32.4% | -28.1% | -17.7% | -17.6% | -16.9% | -26.0% | -14.8% | -6.8% | -4.5% | -4.1% | |||
| New Zealand | ENZL | Asia and Australia | -11.2% | -16.4% | -14.8% | -12.2% | -9.7% | 9.7% | 4.6% | -3.2% | 3.1% | 6.3% | |||
| Philippines | EPHE | Asia and Australia | -23.8% | -18.6% | -13.9% | -17.3% | -13.9% | -6.7% | 1.6% | -2.6% | -3.4% | 0.9% | |||
| Australia | EWA | Asia and Australia | -7.8% | -8.5% | -6.0% | -7.9% | -10.2% | -6.4% | 14.3% | 14.4% | 7.3% | 8.4% | 6.0% | 6.4% | |
| Hong Kong | EWH | Asia and Australia | -9.5% | -10.6% | -10.3% | -11.2% | -10.8% | -6.6% | 13.6% | 13.1% | 1.5% | 4.4% | 5.2% | 5.8% | |
| Japan | EWJ | Asia and Australia | 4.8% | -1.0% | -2.8% | -5.5% | -6.8% | -6.7% | 27.8% | 19.3% | 9.6% | 9.1% | 8.1% | 4.6% | |
| Malaysia | EWM | Asia and Australia | -0.0% | -7.0% | -7.8% | -12.8% | -14.0% | -6.9% | 18.4% | 13.7% | 4.8% | 2.5% | 1.0% | 4.7% | |
| Singapore | EWS | Asia and Australia | 13.4% | 10.6% | 1.4% | -6.3% | -9.8% | -5.4% | 26.8% | 28.1% | 13.5% | 9.6% | 6.1% | 7.5% | |
| Taiwan | EWT | Asia and Australia | 17.2% | 2.5% | 0.7% | -0.9% | -4.6% | -2.8% | 92.1% | 40.6% | 18.8% | 19.2% | 14.1% | 11.8% | |
| S Korea | EWY | Asia and Australia | 15.6% | -4.0% | -2.5% | -6.7% | -9.1% | -5.9% | 156.0% | 46.0% | 18.3% | 14.5% | 9.9% | 8.7% | |
| India | INDY | Asia and Australia | -26.9% | -19.2% | -13.0% | -9.7% | -10.7% | -7.0% | 1.9% | 0.7% | 6.0% | 5.4% | |||
| China | MCHI | Asia and Australia | -25.9% | -13.3% | -12.3% | -12.1% | -12.3% | -9.1% | 9.6% | -2.8% | 3.5% | 3.4% | |||
| Thailand | THD | Asia and Australia | 0.3% | -16.1% | -10.7% | -12.8% | -12.1% | 31.1% | 5.1% | 1.3% | 2.4% | 3.4% | |||
| Vietnam | VNM | Asia and Australia | -19.9% | -14.7% | -11.3% | -12.3% | -13.5% | -1.1% | 8.0% | -0.4% | 3.1% | 1.2% | |||
| Poland | EPOL | Europe | 18.7% | 5.4% | -0.6% | -7.1% | -11.2% | 44.9% | 38.5% | 18.0% | 12.4% | 5.6% | |||
| Sweden | EWD | Europe | -4.0% | -5.3% | -7.4% | -7.2% | -8.6% | -5.8% | 19.3% | 20.9% | 5.6% | 9.9% | 8.3% | 7.3% | |
| Germany | EWG | Europe | -13.1% | -4.6% | -5.9% | -8.5% | -9.0% | -6.8% | 7.7% | 19.0% | 7.5% | 7.9% | 7.6% | 5.7% | |
| Italy | EWI | Europe | 8.2% | 5.9% | 2.6% | -4.2% | -8.6% | -8.4% | 26.0% | 29.0% | 17.9% | 14.4% | 9.0% | 3.5% | |
| Belgium | EWK | Europe | 0.4% | -4.5% | -5.6% | -9.0% | -7.7% | -7.9% | 21.4% | 17.3% | 7.2% | 6.9% | 8.3% | 3.9% | |
| Switzerland | EWL | Europe | -5.2% | -9.1% | -6.4% | -5.2% | -6.4% | -4.1% | 15.5% | 13.0% | 6.4% | 9.8% | 8.7% | 7.4% | |
| Netherlands | EWN | Europe | 4.5% | -4.1% | -5.8% | -4.5% | -5.9% | -5.1% | 35.1% | 21.8% | 7.8% | 13.1% | 11.5% | 7.9% | |
| Austria | EWO | Europe | 21.2% | 11.3% | 1.6% | -4.2% | -8.4% | -7.6% | 45.8% | 36.2% | 17.2% | 14.9% | 9.3% | 5.1% | |
| Spain | EWP | Europe | 26.2% | 7.7% | 5.8% | -5.3% | -9.4% | -7.1% | 34.7% | 34.2% | 21.1% | 12.4% | 7.7% | 5.7% | |
| France | EWQ | Europe | -9.3% | -11.3% | -6.0% | -6.8% | -8.6% | -7.2% | 10.8% | 10.0% | 7.0% | 9.6% | 7.8% | 4.9% | |
| UK | EWU | Europe | 3.0% | 1.2% | 0.3% | -6.9% | -8.7% | -7.2% | 20.6% | 19.3% | 12.3% | 8.4% | 6.7% | 4.5% | |
| EMU | EZU | Europe | 1.4% | -2.6% | -3.7% | -6.3% | -8.2% | -7.1% | 21.1% | 19.5% | 9.9% | 10.3% | 8.3% | 5.1% | |
| Greece | GREK | Europe | 3.6% | 3.9% | 8.7% | -3.7% | 36.0% | 35.3% | 27.6% | 17.5% | |||||
| Norway | NORW | Europe | 3.1% | -3.2% | -4.2% | -7.4% | -10.7% | 35.9% | 22.8% | 10.0% | 10.2% | 5.8% | |||
| Israel | EIS | Mideast and Africa | 0.6% | -0.2% | -2.1% | -6.2% | -8.1% | 31.6% | 32.5% | 12.9% | 11.1% | 8.6% | |||
| S Africa | EZA | Mideast and Africa | -3.7% | -1.7% | -3.2% | -9.3% | -11.6% | -7.0% | 31.8% | 28.7% | 12.4% | 8.1% | 4.5% | 6.0% | |
| Turkey | TUR | Mideast and Africa | -10.1% | -16.3% | -3.2% | -12.2% | -13.5% | 16.9% | 4.7% | 14.2% | 3.3% | 1.1% | |||
| Canada | EWC | North America | 9.6% | 1.7% | -0.3% | -4.6% | -8.7% | -5.7% | 27.6% | 23.3% | 12.7% | 11.6% | 7.2% | 6.8% | |
| Mexico | EWW | North America | 2.3% | -12.0% | -2.8% | -9.8% | -11.7% | -7.2% | 28.1% | 11.4% | 12.1% | 7.1% | 4.2% | 5.4% | |
| SPDR S&P 1500 | SPTM | North America | 0.4% | -0.6% | -0.3% | -0.4% | -0.4% | -0.3% | 20.1% | 20.4% | 12.4% | 15.0% | 14.8% | 11.2% | |
| Argentina | ARGT | South America | -11.6% | -8.1% | 0.5% | -6.0% | -9.3% | 19.3% | 27.4% | 22.8% | 16.8% | 10.5% | |||
| Chile | ECH | South America | -2.2% | -9.1% | -3.6% | -11.8% | -14.7% | 25.8% | 15.7% | 11.9% | 4.1% | -0.9% | |||
| Peru | EPU | South America | 14.0% | 7.5% | 10.2% | -4.8% | -9.4% | 73.7% | 47.5% | 33.4% | 14.8% | 8.4% | |||
| Brazil | EWZ | South America | -3.0% | -12.6% | -6.2% | -10.9% | -13.8% | -8.6% | 27.2% | 11.5% | 7.8% | 6.0% | 0.3% | 3.8% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | -2.3% | -3.4% | -4.8% | -2.7% | -1.6% | 0.2% | 12.7% | 13.9% | 6.9% | 9.5% | 9.7% | 8.2% | |