SRI Risk Parity Optimized

The chart shows the growth of an initial investment of $10,000 in SRI Risk Parity Optimized, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

Based on dividend-adjusted daily data since Jun 24, 2016, SRI Risk Parity Optimized's average daily return is +0.08%, while the average monthly return is +1.64%. At this rate, an investment would double in approximately 3.6 years.

Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +14.9%, while the worst month was Mar 2020 at -16.0%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.

On a daily basis, SRI Risk Parity Optimized closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +9.6%, while the worst single day was Mar 16, 2020 at -12.5%.

SRI Risk Parity Optimized has an annualized alpha of 5.60%, beta of 1.07, and R² of 0.91 versus S&P 500 Index. Calculated based on daily prices since June 24, 2016.

• This portfolio captured 129.89% of S&P 500 Index gains and 102.39% of its losses — amplifying both gains and losses, but participating more in upside than downside.
• This portfolio generated an annualized alpha of 5.60% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
• With beta of 1.07 and R² of 0.91, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.

SRI Risk Parity Optimized has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

SRI Risk Parity Optimized ranks 56 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

SRI Risk Parity Optimized Sharpe ratios as of Apr 15, 2026 (values are recalculated daily):

• 1-Year: 2.38
• 5-Year: 0.75
• All Time: 0.98

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 2.14 to 2.98, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of SRI Risk Parity Optimized compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

SRI Risk Parity Optimized provided a 1.01% dividend yield over the last twelve months.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the SRI Risk Parity Optimized. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the SRI Risk Parity Optimized was 35.56%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.

The current SRI Risk Parity Optimized drawdown is 0.25%.

The chart below shows the rolling one-month volatility.