Global Sectors, ranked by M-squared

for period ending March 31, 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
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      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 -14.6% * * * * *   -17.0% * * * * *
Consumer Discretionary RXI Consumer Discretionary -1.5% * * * * *   7.1% * * * * *
Consumer Staples KXI Consumer Staples -0.5% * * * * *   7.5% * * * * *
Energy IXC Energy -6.0% * * * * *   2.3% * * * * *
Financials IXG Financials 12.2% * * * * *   22.3% * * * * *
Healthcare IXJ Healthcare -8.2% * * * * *   -0.7% * * * * *
Industrials EXI Industrials -2.7% * * * * *   5.6% * * * * *
Infrastructure IGF Infrastructure 11.0% * * * * *   18.7% * * * * *
Materials MXI Materials -12.4% * * * * *   -5.8% * * * * *
Technology IXN Technology -5.8% * * * * *   1.7% * * * * *
Telecom IXP Telecommunications 7.7% * * * * *   16.9% * * * * *
Timber & Forestry WOOD Timber and Forestry -13.9% * * * * *   -8.8% * * * * *
Global Utilities JXI Utilities 8.6% * * * * *   20.6% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -1.4% * * * * *   6.4% * * * * *