Global Sectors, ranked by Standard Deviation

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

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.

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.

      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  
 
Clean Energy ICLN Clean Energy 30.4% * * * * *   2.2% * * * * *
Consumer Discretionary RXI Consumer Discretionary 18.5% * * * * *   25.2% * * * * *
Consumer Staples KXI Consumer Staples 10.7% * * * * *   14.9% * * * * *
Energy IXC Energy 10.7% * * * * *   6.2% * * * * *
Financials IXG Financials 17.1% * * * * *   42.8% * * * * *
Healthcare IXJ Healthcare 14.2% * * * * *   19.3% * * * * *
Industrials EXI Industrials 18.5% * * * * *   35.2% * * * * *
Infrastructure IGF Infrastructure 17.5% * * * * *   32.3% * * * * *
Materials MXI Materials 19.9% * * * * *   18.5% * * * * *
Technology IXN Technology 24.9% * * * * *   40.3% * * * * *
Telecom IXP Telecommunications 14.6% * * * * *   42.0% * * * * *
Timber & Forestry WOOD Timber and Forestry 22.0% * * * * *   15.7% * * * * *
Global Utilities JXI Utilities 19.6% * * * * *   30.7% * * * * *