Risk Vs. Return Scatterplot For 59 Global Asset Class ETFs

Published: June 6, 2013

What's the best way to visualize risk vs. return for global asset classes?


We're fans of the tried-and-true risk vs. return scatterplot, using standard deviation and total return. This allows us to quickly focus on portfolios (or asset classes, in this case) that appear in the prized top-left quadrant. To verify the worthiness of the scatterplot, we have also calculated two other risk-adjusted return metrics, shown at the end of this article. These are 1) the Modigliani-Modigliani measure and 2) alpha, using global equities (NASDAQ:ACWI) as the benchmark. We prefer the Modigliani risk-adjusted, easy-to-read percentages over the unitless Sharpe ratio. Thankfully, the asset classes appearing in the top left quadrant of the risk vs. return scatterplot also rank highly using Modigliani and Alpha.

Sign up for a FREE Subscription now to continue reading this article.