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Global Asset Classes, ranked by Sharpe

for period ending December 31, 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 average0.570.730.530.420.480.46 11.0%11.4%7.7%5.7%6.3%6.2%
 
ACWI (Global)ACWIInt'l Equity: Core1.861.150.930.770.88  18.7%20.4%14.6%11.1%11.8% 
U.S. Total Bond MarketAGGFixed Income: Aggregate-0.631.100.780.660.730.87 -1.8%4.6%3.5%2.9%2.8%4.0%
Alerian US MLPAMLPEquity: MLP1.830.240.060.000.09  39.0%-0.0%-4.3%-5.2%-1.4% 
T-Bill 1-3 MonthBILFixed Income: Cash-like-4.43-0.02-0.62-0.92-1.08  -0.1%0.8%1.0%0.7%0.5% 
U.S. Total Bond MarketBNDFixed Income: Aggregate-0.611.050.760.640.700.89 -1.9%4.8%3.6%3.0%2.8%4.0%
CHN PRC RenminbiCYBCurrency: CHN Renminbi0.950.870.750.320.37  4.2%5.1%4.9%2.3%2.1% 
AgricultureDBACommodities2.110.44-0.01-0.27-0.29  22.4%5.8%0.3%-2.9%-3.5% 
Industrial MetalsDBBCommodities1.630.790.530.340.16  29.0%13.8%8.7%5.2%2.0% 
OilDBOCommodities1.680.600.350.08-0.11  60.7%17.6%7.3%-1.9%-7.0% 
iShares MSCIEEMEquity: Emerging Mkts-0.320.570.540.340.330.24 -3.6%10.1%9.2%5.3%4.7%3.7%
Intl Dev CoreEFAInt'l Equity: Lg Cap1.160.790.620.480.580.24 11.5%13.5%9.6%6.8%7.9%3.5%
iSh EAFE GrowthEFGInt'l Equity: Lg Cap Gro1.121.180.930.690.740.34 11.0%18.6%13.4%9.4%9.8%5.2%
iSh EAFE ValueEFVInt'l Equity: Lg Cap Val0.960.430.320.250.390.13 11.1%7.7%5.3%3.6%5.6%1.4%
iShares EmergEMBFixed Income: Aggregate-0.340.480.380.460.50  -2.2%6.0%4.4%4.6%4.6% 
Emerg Mkt Hi YldEMHYFixed Income-0.280.360.260.43   -1.9%4.8%3.4%4.8%  
iSh MSCI Frontier 100FMInt'l Equity: Frontier1.980.700.570.30   24.3%12.9%10.0%4.5%  
AUStraliaFXACurrency: AUS Dollar-0.730.06-0.01-0.14-0.240.12 -6.2%1.0%0.5%-1.1%-2.4%1.5%
GBP UK PoundFXBCurrency: GBP Pound-0.220.150.10-0.32-0.24-0.29 -1.5%1.7%1.6%-2.3%-1.7%-2.1%
CAN Canada DollarFXCCurrency: CAN Dollar0.060.310.07-0.21-0.31-0.05 0.2%2.7%1.3%-1.2%-2.1%-0.2%
EUR EuroFXECurrency: EUR Euro-1.44-0.30-0.03-0.31-0.32-0.14 -7.8%-1.1%0.7%-1.7%-2.0%-1.0%
CHF Swiss FrancFXFCurrency: CHF Franc-0.520.110.03-0.06-0.120.11 -4.1%1.3%1.1%0.1%-0.6%1.4%
JPY Japan YenFXYCurrency: JPY Yen-2.18-0.61-0.22-0.06-0.57  -10.9%-2.2%-0.3%0.0%-4.4% 
Muni Hi YieldHYDFixed Income1.300.350.430.410.53  5.1%4.5%5.0%4.3%5.1% 
US Treas 7-10yrIEFFixed Income-0.670.710.510.410.410.65 -3.3%4.7%3.5%2.9%2.6%4.7%
US Corp Med 5-10yIGIBFixed Income-0.420.930.690.660.75  -1.5%7.4%4.9%4.0%3.9% 
Intl TreasIGOVFixed Income-1.690.130.270.030.05  -9.2%1.4%2.5%0.8%0.7% 
MktVectors Intl Hi YieldIHYFixed Income-0.590.500.470.47   -2.8%5.8%5.0%4.7%  
MktVectors Intermed MuniITMFixed Income0.070.680.640.510.58  0.2%4.6%4.1%3.3%3.4% 
US Large CoreIWBU.S. Equity: Lg / Mid2.211.341.080.951.170.68 26.3%26.0%18.2%14.7%16.4%10.6%
iSh RussellIWCU.S. Equity: Micro Cap1.020.810.540.520.720.40 18.7%20.6%11.4%10.2%13.5%7.2%
iSh Russ 1000 ValIWDU.S. Equity: Lg Cap Val1.830.890.650.620.900.47 24.9%17.4%11.0%9.6%12.8%7.3%
iSh Russ 1000 GroIWFU.S. Equity: Lg Cap Gro1.831.651.381.171.310.83 27.4%33.8%25.1%19.4%19.6%13.5%
iSh Russ 2000IWMU.S. Equity: Sm Cap1.230.860.600.580.760.48 14.5%19.9%11.9%10.7%13.2%8.7%
iSh Russ 2000 ValIWNU.S. Equity: Sm Cap Val1.880.740.450.500.680.40 28.0%17.8%8.9%9.3%11.9%7.1%
iSh Russell 2000IWOU.S. Equity: Sm Cap Gro0.250.900.710.620.790.53 2.5%21.1%14.5%11.7%14.2%10.0%
iSh US Mid GrowthIWPU.S. Equity: Mid Cap Gro0.921.241.030.861.040.65 12.6%27.2%19.6%14.7%16.4%11.5%
iSh US Mid CoreIWRU.S. Equity: Mid Cap1.831.070.810.730.960.59 22.4%23.1%14.9%12.1%14.7%10.1%
iSh US Mid ValueIWSU.S. Equity: Mid Cap Val1.970.880.600.580.850.50 28.1%19.4%11.0%9.8%13.2%8.6%
iSh Russell 3000IWVU.S. Equity: Lg Cap2.211.311.050.921.140.66 25.5%25.5%17.7%14.4%16.1%10.4%
iShares Real EstateIYRU.S. Real Estate2.230.950.700.610.750.35 38.7%18.6%11.8%9.6%11.1%6.2%
US Hi YieldJNKFixed Income1.190.770.560.540.67  4.0%7.8%5.2%4.6%5.1% 
US Mort BackedMBBFixed Income-1.061.240.700.630.69  -1.4%2.9%2.4%2.1%2.1% 
PwrSh Emerg Mkt Sov DebtPCYFixed Income: Aggregate-0.560.360.270.360.44  -4.3%4.8%3.5%4.1%4.6% 
PowerShares QQQQQQU.S. Equity: Lg Cap Gro1.961.811.491.241.390.92 27.4%38.1%28.4%22.3%22.9%16.9%
Intl Dev Sm CapSCZInt'l Equity: Small Cap0.940.790.640.610.71  10.1%15.3%11.0%9.5%10.7% 
iSh Treas 1-3ySHYFixed Income: Short-Term-1.600.980.420.430.430.87 -0.7%1.9%1.5%1.2%1.0%1.8%
S&P 500SPYU.S. Equity: Lg Cap2.341.381.110.981.190.68 28.7%26.0%18.4%14.8%16.5%10.6%
US Inflation ProtTIPFixed Income1.421.841.130.860.560.68 5.7%8.3%5.2%4.1%2.9%4.5%
iShares Treas 20y+ TLTFixed Income: Long-Term-0.330.620.520.360.380.48 -4.6%8.8%6.6%4.6%4.5%6.6%
USD US Dollar indxUUPCurrency: USD index1.120.04-0.200.100.18  5.7%0.9%-0.2%1.3%1.5% 
Vanguard Real EstateVNQU.S. Real Estate2.361.020.660.590.740.39 40.5%20.0%11.2%9.5%11.5%7.2%