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Global Asset Classes, ranked by Sharpe

for period ending November 30, 2023
 
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.
   Sharpe Total Return, annualized
Ingredient NameIDCategory1 year3 year5 year7 year10 year15 year 1 year3 year5 year7 year10 year15 year
  Group average-0.06-0.240.040.090.120.35 4.3%1.4%3.9%4.2%3.5%6.2%
 
ACWI (Global)ACWIInt'l Equity: Core0.430.200.420.510.460.60 11.3%5.8%9.1%9.7%7.6%10.1%
U.S. Total Bond MarketAGGFixed Income: Aggregate-0.45-1.02-0.26-0.23-0.030.32 1.0%-4.5%0.7%0.8%1.3%2.6%
Alerian US MLPAMLPEquity: MLP1.041.200.330.220.15  19.6%31.1%7.6%3.7%1.3% 
T-Bill 1-3 MonthBILFixed Income: Cash-like-1.12-0.99-0.73-0.67-0.61-0.53 4.6%1.8%1.6%1.5%1.0%0.7%
U.S. Total Bond MarketBNDFixed Income: Aggregate-0.47-1.04-0.25-0.23-0.030.32 1.0%-4.6%0.7%0.8%1.3%2.6%
AgricultureDBACommodities0.950.900.320.03-0.15-0.04 11.7%12.9%5.9%2.1%-0.8%-0.3%
Industrial MetalsDBBCommodities-0.450.070.130.130.100.16 -6.8%2.8%3.2%3.0%1.8%2.4%
OilDBOCommodities-0.170.830.400.34-0.070.03 -1.3%25.3%10.8%8.4%-5.1%-2.3%
iShares MSCIEEMEquity: Emerging Mkts-0.04-0.360.030.160.070.32 2.4%-4.8%1.5%3.7%1.4%5.8%
Intl Dev CoreEFAInt'l Equity: Lg Cap0.380.110.260.330.220.40 10.3%4.0%5.9%6.5%3.9%6.9%
iSh EAFE GrowthEFGInt'l Equity: Lg Cap Gro0.20-0.080.270.360.250.44 7.4%-0.1%6.2%7.2%4.5%7.4%
iSh EAFE ValueEFVInt'l Equity: Lg Cap Val0.550.300.200.250.140.34 12.9%7.6%4.8%5.3%2.7%5.9%
iShares EmergEMBFixed Income: Aggregate-0.22-0.68-0.10-0.070.090.41 2.2%-5.6%0.4%0.9%2.1%5.1%
Emerg Mkt Hi YldEMHYFixed Income0.21-0.42-0.020.000.16  6.6%-2.3%1.5%1.6%2.8% 
iSh MSCI Frontier 100FMInt'l Equity: Frontier-0.13-0.060.050.16   1.2%0.9%1.7%3.6%  
AUStraliaFXACurrency: AUS Dollar-0.70-0.57-0.36-0.29-0.360.09 -2.0%-3.4%-1.9%-1.3%-2.6%1.5%
GBP UK PoundFXBCurrency: GBP Pound0.22-0.50-0.25-0.20-0.46-0.24 6.5%-1.4%0.0%0.2%-2.6%-1.4%
CAN Canada DollarFXCCurrency: CAN Dollar-0.70-0.60-0.34-0.26-0.46-0.14 0.5%-1.1%-0.1%0.1%-2.3%-0.5%
EUR EuroFXECurrency: EUR Euro0.12-0.80-0.50-0.31-0.55-0.23 5.7%-3.3%-1.3%-0.2%-2.8%-1.4%
CHF Swiss FrancFXFCurrency: CHF Franc0.35-0.31-0.09-0.12-0.240.08 7.8%0.4%1.7%1.1%-0.6%1.4%
JPY Japan YenFXYCurrency: JPY Yen-1.18-1.44-0.91-0.75-0.59-0.42 -7.3%-11.6%-5.8%-4.2%-4.1%-3.3%
Muni Hi YieldHYDFixed Income-0.45-0.61-0.170.020.16  0.2%-3.0%-0.3%1.8%2.7% 
US Treas 7-10yrIEFFixed Income-0.68-1.12-0.29-0.27-0.060.17 -1.8%-6.6%-0.0%0.1%1.0%2.1%
US Corp Med 5-10yIGIBFixed Income-0.04-0.750.02-0.000.100.47 4.1%-3.8%2.4%2.0%2.1%3.8%
Intl TreasIGOVFixed Income-0.48-1.07-0.54-0.40-0.38  -1.8%-10.2%-3.7%-1.9%-2.1% 
MktVectors Intl Hi YieldIHYFixed Income0.42-0.53-0.010.060.08  8.2%-2.8%1.8%2.4%1.9% 
MktVectors Intermed MuniITMFixed Income-0.31-0.66-0.12-0.010.140.39 2.1%-2.3%1.4%2.0%2.4%3.5%
US Large CoreIWBU.S. Equity: Lg / Mid0.550.340.540.640.670.82 13.5%8.6%12.1%12.6%11.4%13.6%
iSh RussellIWCU.S. Equity: Micro Cap-0.48-0.120.130.200.240.48 -8.3%-1.7%2.8%4.3%4.5%9.7%
iSh Russ 1000 ValIWDU.S. Equity: Lg Cap Val-0.160.320.320.380.460.64 1.3%8.0%7.4%7.7%7.9%10.6%
iSh Russ 1000 GroIWFU.S. Equity: Lg Cap Gro1.030.330.680.800.780.93 26.1%8.7%16.2%16.9%14.5%16.2%
iSh Russ 2000IWMU.S. Equity: Sm Cap-0.23-0.020.200.270.310.55 -2.6%1.0%4.7%5.9%6.1%10.9%
iSh Russ 2000 ValIWNU.S. Equity: Sm Cap Val-0.320.220.200.220.290.49 -4.8%6.3%4.5%4.8%5.6%9.7%
iSh Russell 2000IWOU.S. Equity: Sm Cap Gro-0.16-0.260.180.290.320.58 -0.8%-4.4%4.1%6.5%6.2%11.6%
iSh US Mid GrowthIWPU.S. Equity: Mid Cap Gro0.31-0.050.410.510.520.77 9.8%0.3%9.9%11.2%9.9%14.2%
iSh US Mid CoreIWRU.S. Equity: Mid Cap-0.020.150.360.420.480.73 2.8%4.8%8.6%8.9%8.8%13.2%
iSh US Mid ValueIWSU.S. Equity: Mid Cap Val-0.190.260.290.310.410.65 -0.9%7.1%6.9%6.7%7.5%12.0%
iSh Russell 3000IWVU.S. Equity: Lg Cap0.490.320.520.610.640.80 12.5%8.1%11.6%12.1%11.0%13.4%
iShares Real EstateIYRU.S. Real Estate-0.220.070.130.220.350.53 -2.2%2.8%3.3%4.8%6.4%10.3%
US Hi YieldJNKFixed Income0.11-0.290.080.130.170.64 5.6%0.1%3.0%3.1%2.7%7.6%
US Mort BackedMBBFixed Income-0.54-0.93-0.42-0.38-0.150.16 -0.0%-4.3%-0.3%-0.0%0.8%1.7%
PwrSh Emerg Mkt Sov DebtPCYFixed Income: Aggregate0.31-0.50-0.09-0.080.090.42 8.7%-6.3%-0.3%0.1%2.0%5.6%
PowerShares QQQQQQU.S. Equity: Lg Cap Gro1.180.360.760.870.871.04 33.4%9.7%18.9%19.5%17.4%19.9%
Intl Dev Sm CapSCZInt'l Equity: Small Cap0.05-0.130.140.240.230.50 4.5%-0.7%3.5%5.2%4.2%9.1%
iSh Treas 1-3ySHYFixed Income: Short-Term-0.74-1.32-0.58-0.59-0.42-0.13 3.1%-0.5%1.1%0.9%0.8%0.9%
S&P 500SPYU.S. Equity: Lg Cap0.570.400.570.670.690.83 13.7%9.6%12.5%12.9%11.7%13.6%
US Inflation ProtTIPFixed Income-0.82-0.600.01-0.030.060.40 -0.0%-1.7%2.6%1.9%1.9%3.4%
iShares Treas 20y+ TLTFixed Income: Long-Term-0.61-1.12-0.23-0.200.030.12 -7.9%-15.1%-2.4%-1.6%1.1%1.8%
USD US Dollar indxUUPCurrency: USD index-0.190.370.10-0.010.290.01 3.3%6.0%3.1%2.0%3.3%0.9%
Vanguard Real EstateVNQU.S. Real Estate-0.260.070.150.200.350.54 -2.9%2.8%3.7%4.3%6.4%10.9%