ESG Screened Portfolio (40/60)

Asset Allocation

Position	Category/Sector	Target Weight
EAGG iShares ESG Aware US Aggregate Bond ETF	Intermediate Core Bond, ESG	25%
SUSC iShares ESG Aware USD Corporate Bond ETF	Corporate Bonds	12%
ESGD iShares ESG Aware MSCI EAFE ETF	Foreign Large Cap Equities	10%
TLT iShares 20+ Year Treasury Bond ETF	Government Bonds, Long-Term Bond	9%
SHY iShares 1-3 Year Treasury Bond ETF	Government Bonds, Short-Term Bond	8%
XVV iShares ESG Screened S&P 500 ETF	S&P 500, ESG	7%
HYXF iShares ESG Advanced High Yield Corporate Bond ETF	High Yield Bonds	6%
XJR iShares ESG Screened S&P Small-Cap ETF	Small Cap Blend Equities	5%
EGUS Ishares ESG Aware MSCI USA Growth ETF	Large Cap Growth Equities	5%
EVUS Ishares ESG Aware MSCI USA Value ETF	Large Cap Value Equities	5%
ESGE iShares ESG Aware MSCI EM ETF	Emerging Markets Equities	5%
XJH iShares ESG Screened S&P Mid-Cap ETF	Mid Cap Blend Equities	3%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ESG Screened Portfolio (40/60), 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.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	1.65%	1.97%	10.35%	10.82%	26.39%	19.66%	12.33%	13.81%
Portfolio ESG Screened Portfolio (40/60)	0.61%	2.66%	6.14%	6.45%	14.69%	9.78%	—	—
Portfolio components:
EAGG iShares ESG Aware US Aggregate Bond ETF	0.06%	1.08%	0.54%	0.85%	4.91%	3.92%	0.08%	—
EGUS Ishares ESG Aware MSCI USA Growth ETF	2.63%	2.03%	10.66%	12.22%	31.41%	25.10%	—	—
ESGD iShares ESG Aware MSCI EAFE ETF	0.66%	3.97%	9.85%	10.51%	21.72%	15.36%	8.21%	—
ESGE iShares ESG Aware MSCI EM ETF	2.95%	8.60%	27.56%	30.80%	51.80%	22.81%	7.48%	—
EVUS Ishares ESG Aware MSCI USA Value ETF	0.59%	3.13%	11.09%	10.54%	22.90%	15.29%	—	—
HYXF iShares ESG Advanced High Yield Corporate Bond ETF	0.29%	1.24%	1.34%	1.95%	6.13%	8.59%	3.71%	5.12%
SHY iShares 1-3 Year Treasury Bond ETF	0.05%	0.36%	0.60%	0.79%	3.34%	4.16%	1.78%	1.65%
SUSC iShares ESG Aware USD Corporate Bond ETF	0.03%	1.23%	0.72%	1.11%	5.58%	5.11%	0.31%	—
TLT iShares 20+ Year Treasury Bond ETF	-0.06%	2.87%	0.21%	0.32%	3.82%	-1.84%	-6.36%	-1.78%
XJH iShares ESG Screened S&P Mid-Cap ETF	0.41%	5.84%	15.50%	14.25%	29.19%	15.17%	8.10%	—

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Feb 2, 2023, ESG Screened Portfolio (40/60)'s average daily return is +0.03%, while the average monthly return is +0.72%. At this rate, an investment would double in approximately 8.1 years.

Historically, 73% of months were positive and 27% were negative. The best month was Nov 2023 with a return of +6.7%, while the worst month was Feb 2023 at -3.9%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, ESG Screened Portfolio (40/60) closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +3.6%, while the worst single day was Apr 4, 2025 at -2.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.52%	1.73%	-3.76%	4.06%	2.09%	0.51%							6.14%
2025	1.69%	0.99%	-1.49%	0.06%	1.86%	2.84%	0.08%	1.90%	2.08%	0.93%	0.50%	0.09%	12.08%
2024	-0.49%	0.94%	1.83%	-3.17%	2.85%	1.04%	2.74%	1.60%	1.80%	-2.56%	2.45%	-2.72%	6.20%
2023		-3.88%	2.40%	0.55%	-1.32%	2.51%	1.38%	-1.79%	-3.66%	-2.48%	6.66%	4.98%	4.86%

Benchmark Metrics

ESG Screened Portfolio (40/60) has an annualized alpha of 0.47%, beta of 0.43, and R2 of 0.67 versus S&P 500 Index. Calculated based on daily prices since February 02, 2023.

This portfolio participated in 67.67% of S&P 500 Index downside but only 47.63% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.43 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 0.47%

Beta: 0.43

R²: 0.67

Upside Capture: 47.63%

Downside Capture: 67.67%

See how alpha, beta & R² have trended over time →

Expense Ratio

ESG Screened Portfolio (40/60) has an expense ratio of 0.16%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Top 10 holdings

HYXF

iShares ESG Advanced High Yield Corporate Bond ETF

ESGE

iShares ESG Aware MSCI EM ETF

ESGD

iShares ESG Aware MSCI EAFE ETF

EGUS

Ishares ESG Aware MSCI USA Growth ETF

EVUS

Ishares ESG Aware MSCI USA Value ETF

SUSC

iShares ESG Aware USD Corporate Bond ETF

SHY

iShares 1-3 Year Treasury Bond ETF

TLT

iShares 20+ Year Treasury Bond ETF

XJH

iShares ESG Screened S&P Mid-Cap ETF

XJR

iShares ESG Screened S&P Small-Cap ETF

Return for Risk

Risk / Return Rank

ESG Screened Portfolio (40/60) ranks 54 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for ESG Screened Portfolio (40/60) and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.04	2.14	-0.09
Sortino ratioReturn per unit of downside risk	2.95	2.89	+0.06
Omega ratioGain probability vs. loss probability	1.39	1.39	0.00
Calmar ratioReturn relative to maximum drawdown	2.72	2.91	-0.20
Martin ratioReturn relative to average drawdown	11.37	13.08	-1.71

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
EAGG iShares ESG Aware US Aggregate Bond ETF	39	1.33	2.00	1.23	1.79	5.28
EGUS Ishares ESG Aware MSCI USA Growth ETF	51	1.84	2.44	1.32	2.02	6.73
ESGD iShares ESG Aware MSCI EAFE ETF	43	1.38	2.01	1.25	1.87	6.97
ESGE iShares ESG Aware MSCI EM ETF	80	2.38	3.05	1.45	3.75	14.02
EVUS Ishares ESG Aware MSCI USA Value ETF	70	2.17	3.06	1.38	2.98	12.49
HYXF iShares ESG Advanced High Yield Corporate Bond ETF	54	1.61	2.43	1.30	2.40	10.72
SHY iShares 1-3 Year Treasury Bond ETF	87	2.53	4.14	1.52	3.78	15.00
SUSC iShares ESG Aware USD Corporate Bond ETF	39	1.29	1.92	1.23	1.95	5.94
TLT iShares 20+ Year Treasury Bond ETF	15	0.40	0.65	1.07	0.51	1.22
XJH iShares ESG Screened S&P Mid-Cap ETF	60	1.77	2.56	1.30	3.05	11.24

Sharpe Ratio

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. Learn how to interpret the Sharpe ratio.

The current ESG Screened Portfolio (40/60) Sharpe ratio is 2.04 as of Jun 16, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.55 to 2.44, 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 ESG Screened Portfolio (40/60) compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

ESG Screened Portfolio (40/60) provided a 3.52% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.52%	3.32%	3.35%	2.91%	2.15%	1.56%	1.52%	2.24%	1.67%	1.17%	0.50%	0.28%
Portfolio components:
EAGG iShares ESG Aware US Aggregate Bond ETF	4.00%	3.92%	3.93%	3.24%	2.07%	1.09%	1.82%	3.17%	0.61%	0.00%	0.00%	0.00%
EGUS Ishares ESG Aware MSCI USA Growth ETF	0.25%	0.22%	0.25%	0.36%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ESGD iShares ESG Aware MSCI EAFE ETF	4.92%	3.60%	3.23%	3.02%	2.59%	2.75%	1.63%	2.57%	2.69%	2.65%	0.09%	0.00%
ESGE iShares ESG Aware MSCI EM ETF	2.69%	2.50%	2.41%	2.64%	2.68%	2.66%	1.31%	2.59%	2.19%	1.86%	0.27%	0.00%
EVUS Ishares ESG Aware MSCI USA Value ETF	1.90%	1.62%	1.99%	2.31%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
HYXF iShares ESG Advanced High Yield Corporate Bond ETF	6.07%	6.19%	6.40%	5.93%	5.37%	4.56%	4.96%	5.29%	6.14%	5.85%	3.16%	0.00%
SHY iShares 1-3 Year Treasury Bond ETF	3.68%	3.81%	3.92%	2.99%	1.30%	0.26%	0.94%	2.12%	1.72%	0.98%	0.71%	0.54%
SUSC iShares ESG Aware USD Corporate Bond ETF	4.48%	4.37%	4.34%	3.83%	2.97%	2.21%	2.19%	3.07%	3.33%	1.33%	0.00%	0.00%
TLT iShares 20+ Year Treasury Bond ETF	4.57%	4.43%	4.30%	3.38%	2.67%	1.50%	1.50%	2.27%	2.63%	2.43%	2.60%	2.61%
XJH iShares ESG Screened S&P Mid-Cap ETF	1.31%	1.24%	1.24%	1.38%	1.45%	1.04%	0.36%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

Drawdowns Chart

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the ESG Screened Portfolio (40/60). 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 ESG Screened Portfolio (40/60) was 8.40%, occurring on Oct 27, 2023. Recovery took 32 trading sessions.

Related event	Drawdown	Fall	Recovery	Underwater
2023 pullback2023	-8.40%Oct 2023	3mo 9d	1mo 17d	4mo 26dJul 2023 - Dec 2023
2025 selloff2025	-7.57%Apr 2025	4mo	1mo 21d	5mo 21dDec 2024 - May 2025
2026 pullback2026	-5.43%Mar 2026	28d	21d	1mo 19dFeb 2026 - Apr 2026
2023 pullback2023	-4.83%Mar 2023	1mo 4d	3mo 8d	4mo 12dFeb 2023 - Jun 2023
2024 pullback2024	-3.72%Apr 2024	22d	26d	1mo 18dMar 2024 - May 2024

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 12 assets, with an effective number of assets of 8.28, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	All Time
Diversification Ratio	1.27	1.34	1.37

The portfolio has a diversification ratio of 1.37, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

ESG Screened Portfolio (40/60) correlation to the S&P 500 Index

ESG Screened Portfolio (40/60) has a 0.86 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.86
Correlation (3Y) Calculated over the trailing 3-year period	0.80
Correlation (All Time) Calculated using the full available price history since Feb 2, 2023	0.80

Benchmark Correlations

Correlation vs. S&P 500 Index. XVV has the highest benchmark correlation at 0.98, while SHY has the lowest at 0.10.

0.10

0.15

0.19

0.30

0.64

0.65

0.72

0.73

0.79

0.79

0.93

0.98

Portfolio Correlations

Correlation vs. ESG Screened Portfolio (40/60). HYXF has the highest portfolio correlation at 0.81, while SHY has the lowest at 0.46.

0.46

0.59

0.63

0.69

0.69

0.71

0.74

0.75

0.77

0.79

0.81

0.81

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	SHY	TLT	EAGG	ESGE	SUSC	EGUS	EVUS	XJR	XJH	ESGD	XVV	HYXF
SHY	1.00	0.66	0.82	0.14	0.76	0.06	0.10	0.12	0.10	0.22	0.10	0.41
TLT	0.66	1.00	0.93	0.14	0.91	0.10	0.18	0.19	0.18	0.24	0.15	0.46
EAGG	0.82	0.93	1.00	0.20	0.95	0.14	0.20	0.22	0.21	0.30	0.19	0.53
ESGE	0.14	0.14	0.20	1.00	0.26	0.60	0.54	0.54	0.57	0.74	0.63	0.49
SUSC	0.76	0.91	0.95	0.26	1.00	0.24	0.31	0.32	0.31	0.39	0.29	0.62
EGUS	0.06	0.10	0.14	0.60	0.24	1.00	0.56	0.56	0.62	0.61	0.94	0.57
EVUS	0.10	0.18	0.20	0.54	0.31	0.56	1.00	0.83	0.87	0.71	0.75	0.58
XJR	0.12	0.19	0.22	0.54	0.32	0.56	0.83	1.00	0.93	0.67	0.70	0.62
XJH	0.10	0.18	0.21	0.57	0.31	0.62	0.87	0.93	1.00	0.70	0.76	0.63
ESGD	0.22	0.24	0.30	0.74	0.39	0.61	0.71	0.67	0.70	1.00	0.70	0.64
XVV	0.10	0.15	0.19	0.63	0.29	0.94	0.75	0.70	0.76	0.70	1.00	0.63
HYXF	0.41	0.46	0.53	0.49	0.62	0.57	0.58	0.62	0.63	0.64	0.63	1.00

The correlation results are calculated based on daily price changes starting from Feb 2, 2023

Diversification Analysis

Find what ESG Screened Portfolio (40/60) is missing

See which holdings overlap, where ESG Screened Portfolio (40/60) is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification