Risk / return: asset classes, sectors and countries

What this data shows

Broad commodities has the highest annualised return (57.52%). Cash has the lowest annualised volatility (0.20%) among the covered proxies. These are historical outcomes, not forecasts.

Each dot is one ETF proxy. Further right means greater historical return volatility; higher means a greater annualised historical return. Volatility measures variability, not every kind of investment risk.

Risk and return data

What are annualised risk and return?

Annualised return expresses compounded historical growth as an annual rate. Annualised risk here means volatility: the sample standard deviation of periodic returns, scaled to a year. Neither measure predicts future performance, and volatility does not capture all sources of risk.

The horizontal dashed line is a dated three-month US Treasury par yield used as a USD risk-free reference. It is a current annual yield, not the cash return earned throughout the selected historical window, and is not subtracted from the plotted total returns.

Methodology and data coverage

We use named US-listed ETF proxies rather than calculating a bespoke index from every underlying constituent. Country ETFs represent their respective investable equity markets; sector ETFs represent US equity sectors. Asset-class proxies represent specific exposures, not every instrument in the category. ETFs and mutual funds are wrappers, so they are not separate economic asset classes here.

Returns use provider-adjusted closing prices in USD. Country results therefore reflect the US-listed ETF’s trading session, fees and currency exposure, not local-market closing times or local-currency national indices. Adjusted prices incorporate the provider’s split and distribution adjustments; historical corrections can revise previous results.

The existing regional bulk-price refresh includes these proxies in its US-market run. Charts use the latest successfully stored completed closes; they are not live intraday prices. Monthly ranking snapshots remain separate. Missing or stale histories are excluded and disclosed above. Comparing today’s proxy selection historically does not recreate historical constituent membership.

Default sampling matches the platform: 3M, YTD, 1Y and 2Y use daily observations; 5Y uses weekly observations; MAX uses monthly observations and appears with meaningful history beyond five years. You can change sampling frequency independently. Weekly observations end on Friday and monthly observations at month-end; incomplete periods are excluded.

All displayed peers use a common observation window. Missing values are not filled with zero returns. We require at least 20 daily, 8 weekly or 6 monthly common return observations before annualising or publishing correlations. Short periods at monthly frequency can therefore be unavailable. MAX uses the history shared by eligible proxies.

For n sampled returns r and annualisation factor A, annualised return = [∏(1 + r)]^(A/n) − 1. Annualised volatility = sample standard deviation(r) × √A, using n − 1 in the sample-variance denominator. A equals 252 for daily, 52 for weekly and 12 for monthly observations, matching the platform. Figures are shown as percentages.

The risk-free reference comes from the US Treasury’s official daily rate feed. Its date is displayed; an unavailable rate is not replaced with an assumed 4%. The yield reference can be older than the most recent price close.

Source: EOD Historical Data adjusted ETF prices; US Treasury for the reference yield. Historical comparisons are descriptive and do not establish an efficient frontier or recommend an investment.

Which proxies are included?

Explore more market intelligence

Explore the correlation matrix · Market performance rankings · Country valuations and returns · Sector intelligence · Calculation methodology · Volatility definition