Global Sectors, ranked by M-squared
for period ending October 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 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 | -14.2% | -17.7% | -14.8% | -10.2% | -11.2% | -10.6% | 7.2% | -8.3% | 7.4% | 5.2% | |||
| Consumer Discretionary | RXI | Consumer Discretionary | -16.8% | -12.0% | -9.3% | -7.0% | -5.6% | -4.0% | -6.2% | 12.7% | 2.4% | 9.4% | 10.5% | 7.9% | |
| Consumer Staples | KXI | Consumer Staples | 0.9% | -12.1% | -6.0% | -7.9% | -5.9% | -2.0% | 16.4% | 11.5% | 5.7% | 6.7% | 7.9% | 7.7% | |
| Energy | IXC | Energy | 19.9% | -8.0% | 3.9% | -7.5% | -9.7% | -6.2% | 59.1% | 21.9% | 22.0% | 11.6% | 7.3% | 6.4% | |
| Financials | IXG | Financials | 3.4% | 2.6% | -0.2% | -4.6% | -5.4% | -7.1% | 15.6% | 26.8% | 12.4% | 12.3% | 11.2% | 4.8% | |
| Healthcare | IXJ | Healthcare | 9.1% | -10.5% | -5.1% | -3.7% | -2.4% | -1.2% | 25.5% | 14.1% | 6.7% | 10.8% | 11.7% | 9.0% | |
| Industrials | EXI | Industrials | -4.6% | -4.6% | -2.4% | -4.9% | -4.8% | -3.8% | 8.6% | 21.5% | 10.5% | 11.7% | 11.2% | 8.4% | |
| Infrastructure | IGF | Infrastructure | -1.5% | -3.5% | -1.9% | -7.1% | -7.1% | 11.2% | 19.9% | 9.8% | 8.2% | 7.6% | |||
| Materials | MXI | Materials | 1.5% | -12.1% | -5.9% | -6.9% | -9.6% | -6.4% | 20.2% | 14.3% | 6.8% | 10.0% | 6.3% | 5.9% | |
| Technology | IXN | Technology | -0.6% | -4.0% | 0.7% | 1.9% | 0.2% | 1.0% | 23.1% | 33.4% | 18.1% | 23.0% | 19.9% | 15.2% | |
| Telecom | IXP | Telecommunications | -18.9% | -7.1% | -5.9% | -7.2% | -7.4% | -4.5% | -10.3% | 18.9% | 6.5% | 8.5% | 7.7% | 6.5% | |
| Timber & Forestry | WOOD | Timber and Forestry | -13.9% | -22.7% | -13.8% | -11.3% | -10.1% | -3.6% | -0.9% | -3.1% | 4.5% | 5.6% | |||
| Global Utilities | JXI | Utilities | -6.3% | -6.8% | -2.8% | -5.8% | -6.4% | -4.9% | 6.3% | 18.6% | 9.3% | 9.3% | 8.2% | 5.8% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | -2.6% | -2.8% | -4.4% | -2.5% | -1.5% | 0.3% | 7.4% | 15.9% | 6.6% | 9.6% | 9.4% | 7.9% | |