Global Sectors, ranked by Standard Deviation

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

Standard Deviation shows the 1-, 3-, 5-, 10-, 15-, and 20-year standard deviation from the mean. This is calculated using monthly returns, then annualized.

Note: This Free subscription only includes access to the 1-year data. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

Standard Deviation vs. Annual Return
● Portfolio Ingredients: Global Sectors ● S&P 500 (SPY) ● U.S. Bonds (BND) ● Balanced (60% Equity / 40% Bonds)

Portfolio Ingredients: Global Sectors Peer Group
Sort by any column by clicking on the gray column heading.

      Standard Deviation   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  
 
U.S. Total Bond Market BND Benchmark 5.9% * * * * *   4.9% * * * * *
S&P 500 SPY Benchmark 12.9% * * * * *   8.3% * * * * *
Clean Energy ICLN Clean Energy 20.6% * * * * *   -17.0% * * * * *
Consumer Discretionary RXI Consumer Discretionary 14.8% * * * * *   7.1% * * * * *
Consumer Staples KXI Consumer Staples 11.8% * * * * *   7.5% * * * * *
Energy IXC Energy 11.9% * * * * *   2.3% * * * * *
Financials IXG Financials 16.1% * * * * *   22.3% * * * * *
Healthcare IXJ Healthcare 14.0% * * * * *   -0.7% * * * * *
Industrials EXI Industrials 12.9% * * * * *   5.6% * * * * *
Infrastructure IGF Infrastructure 13.4% * * * * *   18.7% * * * * *
Materials MXI Materials 13.7% * * * * *   -5.8% * * * * *
Technology IXN Technology 17.3% * * * * *   1.7% * * * * *
Telecom IXP Telecommunications 14.9% * * * * *   16.9% * * * * *
Timber & Forestry WOOD Timber and Forestry 14.6% * * * * *   -8.8% * * * * *
Global Utilities JXI Utilities 18.8% * * * * *   20.6% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 9.6% * * * * *   6.4% * * * * *