Global Sectors, ranked by M-squared

for period ending June 30, 2025

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).

Note: Access to the sortable list for all years (including 3-, 5-, 10-, 15-, and 20-year metrics) is only available to paid subscribers. Subscribe to view the complete version of this Ingredient Summary page.

Portfolio Ingredients: Global Sectors 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  
 
Clean Energy ICLN Clean Energy -13.1% * * * * *   0.4% * * * * *
Consumer Discretionary RXI Consumer Discretionary 1.8% * * * * *   18.3% * * * * *
Consumer Staples KXI Consumer Staples -2.8% * * * * *   11.4% * * * * *
Energy IXC Energy -14.6% * * * * *   -1.6% * * * * *
Financials IXG Financials 18.7% * * * * *   33.4% * * * * *
Healthcare IXJ Healthcare -19.5% * * * * *   -5.8% * * * * *
Industrials EXI Industrials 7.9% * * * * *   24.2% * * * * *
Infrastructure IGF Infrastructure 19.6% * * * * *   27.7% * * * * *
Materials MXI Materials -12.2% * * * * *   2.6% * * * * *
Technology IXN Technology -5.1% * * * * *   12.0% * * * * *
Telecom IXP Telecommunications 10.1% * * * * *   28.2% * * * * *
Timber & Forestry WOOD Timber and Forestry -18.8% * * * * *   -5.0% * * * * *
Global Utilities JXI Utilities 10.7% * * * * *   26.9% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -0.4% * * * * *   11.6% * * * * *