Global Equities, ranked by Standard Deviation

for period ending April 30, 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.

 
 

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 13.8% * * * * *   -13.7% * * * * *
New Zealand ENZL Asia and Australia 18.4% * * * * *   -8.5% * * * * *
Philippines EPHE Asia and Australia 18.4% * * * * *   -2.7% * * * * *
Australia EWA Asia and Australia 19.8% * * * * *   4.9% * * * * *
Hong Kong EWH Asia and Australia 16.3% * * * * *   -19.7% * * * * *
Japan EWJ Asia and Australia 14.4% * * * * *   16.7% * * * * *
Malaysia EWM Asia and Australia 13.7% * * * * *   5.2% * * * * *
Singapore EWS Asia and Australia 17.4% * * * * *   1.1% * * * * *
Taiwan EWT Asia and Australia 18.5% * * * * *   16.6% * * * * *
S Korea EWY Asia and Australia 28.3% * * * * *   6.6% * * * * *
India INDY Asia and Australia 11.0% * * * * *   18.9% * * * * *
China MCHI Asia and Australia 22.2% * * * * *   -9.2% * * * * *
Thailand THD Asia and Australia 13.8% * * * * *   -16.5% * * * * *
Vietnam VNM Asia and Australia 34.5% * * * * *   5.8% * * * * *
Poland EPOL Europe 40.5% * * * * *   37.6% * * * * *
Sweden EWD Europe 26.2% * * * * *   5.7% * * * * *
Germany EWG Europe 21.0% * * * * *   6.4% * * * * *
Italy EWI Europe 23.9% * * * * *   19.8% * * * * *
Belgium EWK Europe 17.7% * * * * *   -1.1% * * * * *
Switzerland EWL Europe 14.7% * * * * *   -3.6% * * * * *
Netherlands EWN Europe 23.0% * * * * *   15.0% * * * * *
Austria EWO Europe 18.5% * * * * *   9.9% * * * * *
Spain EWP Europe 23.9% * * * * *   12.6% * * * * *
France EWQ Europe 17.7% * * * * *   4.1% * * * * *
UK EWU Europe 13.8% * * * * *   6.7% * * * * *
EMU EZU Europe 19.4% * * * * *   8.8% * * * * *
Greece GREK Europe 27.6% * * * * *   32.4% * * * * *
Norway NORW Europe 18.2% * * * * *   5.2% * * * * *
Israel EIS Mideast and Africa 30.7% * * * * *   10.7% * * * * *
S Africa EZA Mideast and Africa 28.4% * * * * *   -3.8% * * * * *
Turkey TUR Mideast and Africa 42.7% * * * * *   35.7% * * * * *
Canada EWC North America 18.9% * * * * *   7.4% * * * * *
Mexico EWW North America 25.8% * * * * *   10.0% * * * * *
US Equity: Russell 3000 SPTM North America 17.9% * * * * *   22.1% * * * * *
Argentina ARGT South America 59.1% * * * * *   48.6% * * * * *
Chile ECH South America 23.8% * * * * *   -1.6% * * * * *
Peru EPU South America 33.6% * * * * *   37.6% * * * * *
Brazil EWZ South America 29.8% * * * * *   16.5% * * * * *