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Global Asset Classes, ranked by Sharpe

for period ending September 30, 2021
 
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 average1.060.540.430.400.500.46 19.9%7.3%6.9%5.4%6.6%6.3%
 
ACWI (Global)ACWIInt'l Equity: Core1.810.690.860.710.88  26.9%12.5%13.3%10.1%12.0% 
U.S. Total Bond MarketAGGFixed Income: Aggregate-0.301.190.540.750.760.87 -1.0%5.3%2.9%3.2%2.9%4.0%
Alerian US MLPAMLPEquity: MLP2.590.100.07-0.030.12  83.5%-6.1%-4.1%-6.3%-0.4% 
T-Bill 1-3 MonthBILFixed Income: Cash-like-3.600.01-0.68-0.93-1.06  -0.1%1.0%1.0%0.7%0.5% 
U.S. Total Bond MarketBNDFixed Income: Aggregate-0.311.100.520.710.740.89 -1.0%5.4%2.9%3.2%3.0%4.1%
CHN PRC RenminbiCYBCurrency: CHN Renminbi1.420.690.460.260.37  6.8%4.4%3.4%2.0%2.1% 
AgricultureDBACommodities2.320.37-0.07-0.34-0.34  29.7%5.1%-0.4%-3.7%-4.0% 
Industrial MetalsDBBCommodities1.880.480.500.220.12  36.7%8.2%8.4%3.2%1.3% 
OilDBOCommodities2.270.190.42-0.15-0.04  90.8%1.1%9.5%-9.1%-4.9% 
iShares MSCIEEMEquity: Emerging Mkts1.100.430.490.320.380.30 16.0%7.7%8.3%5.0%5.8%5.1%
Intl Dev CoreEFAInt'l Equity: Lg Cap1.480.440.570.410.590.26 25.4%7.5%8.6%5.7%8.1%4.0%
iSh EAFE GrowthEFGInt'l Equity: Lg Cap Gro1.300.700.760.610.730.35 19.9%11.5%10.9%8.4%9.9%5.5%
iSh EAFE ValueEFVInt'l Equity: Lg Cap Val1.420.190.350.190.410.16 29.8%2.8%5.6%2.5%5.9%2.0%
iShares EmergEMBFixed Income: Aggregate0.450.420.270.430.55  3.2%5.4%3.4%4.3%5.1% 
Emerg Mkt Hi YldEMHYFixed Income0.960.360.250.37   7.6%5.0%3.3%4.2%  
iSh MSCI Frontier 100FMInt'l Equity: Frontier4.060.520.52    35.4%9.4%8.8%   
AUStraliaFXACurrency: AUS Dollar0.10-0.05-0.15-0.25-0.180.15 0.6%-0.0%-0.8%-2.1%-1.8%2.0%
GBP UK PoundFXBCurrency: GBP Pound0.640.02-0.03-0.40-0.25-0.26 4.0%0.9%0.5%-2.9%-1.7%-1.8%
CAN Canada DollarFXCCurrency: CAN Dollar0.860.00-0.01-0.28-0.27-0.08 4.7%0.8%0.8%-1.8%-1.8%-0.4%
EUR EuroFXECurrency: EUR Euro-0.31-0.30-0.18-0.36-0.32-0.10 -2.2%-1.0%-0.3%-2.0%-2.1%-0.6%
CHF Swiss FrancFXFCurrency: CHF Franc-0.26-0.04-0.18-0.17-0.190.11 -2.3%0.6%-0.3%-0.8%-1.2%1.5%
JPY Japan YenFXYCurrency: JPY Yen-1.12-0.15-0.49-0.15-0.53  -5.8%0.1%-2.4%-0.7%-4.1% 
Muni Hi YieldHYDFixed Income1.770.280.260.420.52  8.4%3.9%3.4%4.5%5.0% 
US Treas 7-10yrIEFFixed Income-0.970.880.250.480.430.64 -4.7%6.0%2.3%3.3%2.7%4.7%
US Corp Med 5-10yIGIBFixed Income0.280.910.600.680.78  1.1%7.5%4.5%4.2%4.1% 
Intl TreasIGOVFixed Income-0.380.24-0.020.020.04  -2.9%2.4%0.7%0.7%0.6% 
MktVectors Intl Hi YieldIHYFixed Income0.910.460.450.40   6.4%5.5%4.8%4.0%  
MktVectors Intermed MuniITMFixed Income0.530.740.360.550.61  1.9%5.2%2.9%3.4%3.7% 
US Large CoreIWBU.S. Equity: Lg / Mid1.970.831.020.921.170.66 30.8%16.3%17.0%13.9%16.6%10.4%
iSh RussellIWCU.S. Equity: Micro Cap2.050.500.640.610.790.43 60.6%11.9%14.3%12.4%15.3%8.1%
iSh Russ 1000 ValIWDU.S. Equity: Lg Cap Val1.990.520.650.610.930.47 34.8%9.9%10.8%9.1%13.3%7.3%
iSh Russ 1000 GroIWFU.S. Equity: Lg Cap Gro1.591.031.271.121.290.81 27.1%21.7%22.6%18.3%19.4%13.1%
iSh Russ 2000IWMU.S. Equity: Sm Cap2.050.480.650.640.810.50 47.4%10.4%13.4%11.9%14.6%9.2%
iSh Russ 2000 ValIWNU.S. Equity: Sm Cap Val2.510.400.530.540.720.41 63.7%8.4%10.9%10.1%13.1%7.4%
iSh Russell 2000IWOU.S. Equity: Sm Cap Gro1.430.520.740.690.850.56 33.0%11.6%15.3%13.2%15.8%10.6%
iSh US Mid GrowthIWPU.S. Equity: Mid Cap Gro1.660.851.010.891.080.66 30.0%18.9%19.0%15.1%17.3%11.8%
iSh US Mid CoreIWRU.S. Equity: Mid Cap2.210.660.780.730.980.59 37.9%14.0%14.2%12.0%15.3%10.1%
iSh US Mid ValueIWSU.S. Equity: Mid Cap Val2.270.490.570.570.870.50 42.2%10.1%10.4%9.4%13.7%8.6%
iSh Russell 3000IWVU.S. Equity: Lg Cap2.020.800.990.901.140.65 31.8%15.8%16.7%13.7%16.4%10.3%
iShares Real EstateIYRU.S. Real Estate1.960.600.500.600.730.34 30.8%11.1%8.1%9.3%11.0%5.9%
US Hi YieldJNKFixed Income2.400.530.580.480.74  9.7%5.8%5.3%4.1%6.1% 
US Mort BackedMBBFixed Income-0.401.460.470.800.76  -0.5%3.8%2.1%2.4%2.2% 
PwrSh Emerg Mkt Sov DebtPCYFixed Income: Aggregate0.350.320.150.360.50  2.9%4.6%2.1%4.1%5.2% 
PowerShares QQQQQQU.S. Equity: Lg Cap Gro1.701.161.371.191.340.90 29.5%25.3%25.7%21.2%22.4%16.6%
Intl Dev Sm CapSCZInt'l Equity: Small Cap1.640.470.600.590.71  28.3%8.9%10.1%9.1%10.8% 
iSh Treas 1-3ySHYFixed Income: Short-Term-0.501.400.420.520.520.88 -0.1%2.5%1.5%1.3%1.0%1.9%
S&P 500SPYU.S. Equity: Lg Cap1.970.831.040.931.180.66 30.0%15.9%16.8%13.9%16.5%10.3%
US Inflation ProtTIPFixed Income1.161.470.810.770.560.62 4.9%7.2%4.1%3.7%3.0%4.3%
iShares Treas 20y+ TLTFixed Income: Long-Term-0.860.630.220.430.360.46 -10.3%9.2%3.1%5.5%4.3%6.4%
USD US Dollar indxUUPCurrency: USD index-0.01-0.020.000.180.17  -0.2%0.7%0.9%1.8%1.5% 
Vanguard Real EstateVNQU.S. Real Estate2.050.640.470.590.740.37 33.5%12.0%7.5%9.4%11.5%6.8%