Global Equities, ranked by Standard Deviation

for period ending October 31, 2024

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
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta

Standard Deviation shows the 1-, 3-, 5-, 10-, 15-, and 20-year standard deviation from the mean. This is calculated using monthly returns, then annualized.

Note: This Free subscription only includes access to the 1-year data. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

Use the table below to compare the performance of all the portfolios in this peer group. You may sort by any column by clicking on the column headings in the gray row.

      Standard Deviation   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 18.1% * * * * *   10.1% * * * * *
New Zealand ENZL Asia and Australia 19.9% * * * * *   16.6% * * * * *
Philippines EPHE Asia and Australia 20.9% * * * * *   19.9% * * * * *
Australia EWA Asia and Australia 21.6% * * * * *   27.2% * * * * *
Hong Kong EWH Asia and Australia 26.0% * * * * *   11.7% * * * * *
Japan EWJ Asia and Australia 14.4% * * * * *   18.0% * * * * *
Malaysia EWM Asia and Australia 18.0% * * * * *   23.5% * * * * *
Singapore EWS Asia and Australia 15.9% * * * * *   28.0% * * * * *
Taiwan EWT Asia and Australia 20.5% * * * * *   35.3% * * * * *
S Korea EWY Asia and Australia 26.7% * * * * *   11.9% * * * * *
India INDY Asia and Australia 12.2% * * * * *   21.3% * * * * *
China MCHI Asia and Australia 32.2% * * * * *   21.3% * * * * *
Thailand THD Asia and Australia 21.7% * * * * *   14.1% * * * * *
Vietnam VNM Asia and Australia 24.3% * * * * *   8.6% * * * * *
Poland EPOL Europe 20.6% * * * * *   17.6% * * * * *
Sweden EWD Europe 31.2% * * * * *   32.1% * * * * *
Germany EWG Europe 21.5% * * * * *   31.5% * * * * *
Italy EWI Europe 20.6% * * * * *   32.0% * * * * *
Belgium EWK Europe 17.3% * * * * *   21.5% * * * * *
Switzerland EWL Europe 19.0% * * * * *   20.2% * * * * *
Netherlands EWN Europe 23.1% * * * * *   27.0% * * * * *
Austria EWO Europe 18.4% * * * * *   20.0% * * * * *
Spain EWP Europe 26.5% * * * * *   30.9% * * * * *
France EWQ Europe 18.1% * * * * *   13.3% * * * * *
UK EWU Europe 13.7% * * * * *   21.6% * * * * *
EMU EZU Europe 19.4% * * * * *   23.4% * * * * *
Greece GREK Europe 20.5% * * * * *   20.6% * * * * *
Norway NORW Europe 18.2% * * * * *   12.9% * * * * *
Israel EIS Mideast and Africa 29.6% * * * * *   48.5% * * * * *
S Africa EZA Mideast and Africa 22.0% * * * * *   35.8% * * * * *
Turkey TUR Mideast and Africa 25.3% * * * * *   0.4% * * * * *
Canada EWC North America 17.3% * * * * *   31.0% * * * * *
Mexico EWW North America 24.6% * * * * *   -3.0% * * * * *
US Equity: Russell 3000 SPTM North America 14.9% * * * * *   37.5% * * * * *
Argentina ARGT South America 66.3% * * * * *   92.3% * * * * *
Chile ECH South America 21.4% * * * * *   9.1% * * * * *
Peru EPU South America 29.7% * * * * *   58.0% * * * * *
Brazil EWZ South America 21.5% * * * * *   -0.1% * * * * *