The table below displays Risk vs. Return metrics for a list of 59 global asset classes. Each asset class is represented by an ETF proxy. The ETF ticker is listed to the right of the asset class description.
Modigliani (M2) is the Modigliani risk-adjusted performance, shown as an annual total return %. It is derived from the Sharpe ratio, but M2 is in units of percent return. M2 inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark portfolio (ACWI). Horizontal bar graphs are used to graph each value. Green bars represent positive values, and light red bars represent negative values. The maximum and minimum values of all the values in each column determines the scale of each bar. The same scale is applied to the bars in each column.
Alpha is another way to see risk-adjusted return, showing the extra return above the expected return given the asset class’s volatility (beta). Alpha > 0 shows performance above what is expected based on its beta vs. a benchmark (ACWI).
This report is provided “as is” for informational purposes only and is not intended for trading purposes or advice. Please consult a financial advisor for advice on your specific situation. Neither VizMetrics nor any of its information providers is liable for errors, omissions, or for any actions taken based on this information. This report is subject to the VizMetrics Terms of Service.
Barchart.com Inc., U.S. Federal Reserve, VizMetrics analysis
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