2017 Gameboard
Morningstar's Gameboard of asset class returns over the last 20 years.

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Peer Group Performances
Morningstar Category Averages - Returns to 31 December 2017

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Full report available here also includes one-year returns for each of the past five calendar years, plus standard deviations (volatility) of returns in each asset class. The latter 'risk' measure is often overlooked by investors who consider their portfolios only in terms of returns.