Global Sectors, ranked by Downside 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

Downside Deviation is also called "below-target semi deviation". This is similar to standard deviation, except that upside deviation is ignored and only the unfavorable downside deviation is used in the calculation.

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.

      Downside 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  
 
Clean Energy ICLN Clean Energy 20.9% * * * * *   2.2% * * * * *
Consumer Discretionary RXI Consumer Discretionary 8.2% * * * * *   25.2% * * * * *
Consumer Staples KXI Consumer Staples 5.9% * * * * *   14.9% * * * * *
Energy IXC Energy 4.7% * * * * *   6.2% * * * * *
Financials IXG Financials 5.3% * * * * *   42.8% * * * * *
Healthcare IXJ Healthcare 8.4% * * * * *   19.3% * * * * *
Industrials EXI Industrials 6.7% * * * * *   35.2% * * * * *
Infrastructure IGF Infrastructure 6.6% * * * * *   32.3% * * * * *
Materials MXI Materials 11.3% * * * * *   18.5% * * * * *
Technology IXN Technology 9.3% * * * * *   40.3% * * * * *
Telecom IXP Telecommunications 4.6% * * * * *   42.0% * * * * *
Timber & Forestry WOOD Timber and Forestry 13.7% * * * * *   15.7% * * * * *
Global Utilities JXI Utilities 8.9% * * * * *   30.7% * * * * *