Global Sectors, ranked by M-squared
for period ending August 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 | -9.4% | -16.7% | -13.1% | -9.5% | -12.1% | 21.5% | 4.0% | -4.5% | 8.3% | 4.0% | |||
| Consumer Discretionary | RXI | Consumer Discretionary | -18.6% | -11.6% | -8.2% | -6.7% | -5.5% | 1.5% | 10.0% | 4.5% | 9.6% | 10.9% | |||
| Consumer Staples | KXI | Consumer Staples | -14.0% | -13.5% | -8.4% | -8.9% | -6.4% | 6.6% | 7.2% | 4.4% | 5.8% | 7.6% | |||
| Energy | IXC | Energy | 5.0% | -7.6% | 4.9% | -7.8% | -10.2% | -6.8% | 43.3% | 17.3% | 23.6% | 10.6% | 6.8% | 6.0% | |
| Financials | IXG | Financials | 0.1% | 5.7% | 1.0% | -4.0% | -5.5% | -7.0% | 18.9% | 26.2% | 14.2% | 12.9% | 11.4% | 5.3% | |
| Healthcare | IXJ | Healthcare | 0.0% | -12.5% | -7.9% | -5.4% | -3.0% | -1.9% | 20.7% | 8.6% | 4.8% | 9.1% | 11.1% | 8.6% | |
| Industrials | EXI | Industrials | -4.6% | -3.1% | -1.9% | -4.4% | -4.8% | 18.5% | 20.0% | 11.6% | 12.2% | 11.6% | |||
| Infrastructure | IGF | Infrastructure | -7.8% | -3.5% | -2.0% | -7.3% | -7.3% | 11.2% | 16.6% | 10.2% | 8.0% | 7.6% | |||
| Materials | MXI | Materials | 0.8% | -9.0% | -5.7% | -5.8% | -9.8% | 30.4% | 14.6% | 7.7% | 11.1% | 6.5% | |||
| Technology | IXN | Technology | 2.5% | -1.1% | 1.4% | 2.8% | 0.9% | 1.3% | 49.4% | 32.5% | 19.4% | 23.9% | 20.8% | 15.9% | |
| Telecom | IXP | Telecommunications | -18.5% | -1.7% | -5.8% | -6.6% | -6.9% | -3.8% | 1.5% | 20.5% | 7.2% | 8.9% | 8.4% | 7.6% | |
| Timber & Forestry | WOOD | Timber and Forestry | -21.9% | -19.5% | -14.1% | -10.3% | -9.9% | -3.3% | 0.5% | -2.5% | 5.6% | 6.2% | |||
| Global Utilities | JXI | Utilities | -10.2% | -6.2% | -4.5% | -5.9% | -6.7% | 10.7% | 15.6% | 8.2% | 9.0% | 8.0% | |||
| Strategic 60-40 Portfolio | s.6040 | Benchmark | -2.3% | -3.4% | -4.8% | -2.7% | -1.6% | 0.2% | 12.7% | 13.9% | 6.9% | 9.5% | 9.7% | 8.2% | |