Global Sectors, ranked by M-squared

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

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.

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.

      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 -33.8% * * * * *   2.2% * * * * *
Consumer Discretionary RXI Consumer Discretionary -17.9% * * * * *   25.2% * * * * *
Consumer Staples KXI Consumer Staples -21.3% * * * * *   14.9% * * * * *
Energy IXC Energy -31.5% * * * * *   6.2% * * * * *
Financials IXG Financials 1.0% * * * * *   42.8% * * * * *
Healthcare IXJ Healthcare -19.7% * * * * *   19.3% * * * * *
Industrials EXI Industrials -9.0% * * * * *   35.2% * * * * *
Infrastructure IGF Infrastructure -10.4% * * * * *   32.3% * * * * *
Materials MXI Materials -23.9% * * * * *   18.5% * * * * *
Technology IXN Technology -11.2% * * * * *   40.3% * * * * *
Telecom IXP Telecommunications 5.7% * * * * *   42.0% * * * * *
Timber & Forestry WOOD Timber and Forestry -26.6% * * * * *   15.7% * * * * *
Global Utilities JXI Utilities -14.1% * * * * *   30.7% * * * * *