Global Sectors, ranked by M-squared

for period ending April 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 -13.9% * * * * *   -9.6% * * * * *
Consumer Discretionary RXI Consumer Discretionary -0.1% * * * * *   12.8% * * * * *
Consumer Staples KXI Consumer Staples 0.9% * * * * *   12.8% * * * * *
Energy IXC Energy -17.2% * * * * *   -10.1% * * * * *
Financials IXG Financials 12.7% * * * * *   26.8% * * * * *
Healthcare IXJ Healthcare -10.0% * * * * *   1.2% * * * * *
Industrials EXI Industrials -0.4% * * * * *   11.8% * * * * *
Infrastructure IGF Infrastructure 10.9% * * * * *   23.2% * * * * *
Materials MXI Materials -12.8% * * * * *   -2.5% * * * * *
Technology IXN Technology -3.8% * * * * *   9.5% * * * * *
Telecom IXP Telecommunications 7.9% * * * * *   21.3% * * * * *
Timber & Forestry WOOD Timber and Forestry -15.4% * * * * *   -6.5% * * * * *
Global Utilities JXI Utilities 6.3% * * * * *   23.8% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 0.1% * * * * *   10.0% * * * * *