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ESG Screened Portfolio (40/60)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

ESG Screened Portfolio (40/60)

Last updated Apr 8, 2025

Asset Allocation

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

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.

10.00%20.00%30.00%40.00%50.00%NovemberDecember2025FebruaryMarchApril
6.95%
21.11%
ESG Screened Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 2, 2023, corresponding to the inception date of EGUS

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-13.93%-12.27%-11.13%-2.73%13.04%9.21%
ESG Screened Portfolio (40/60)-4.33%-5.86%-5.63%0.95%N/AN/A
Portfolio components:
XVV
iShares ESG Screened S&P 500 ETF		-14.71%-12.79%-11.30%-2.10%N/AN/A
XJH
iShares ESG Screened S&P Mid-Cap ETF		-16.10%-12.82%-15.51%-11.85%N/AN/A
XJR
iShares ESG Screened S&P Small-Cap ETF		-18.09%-13.07%-16.61%-9.94%N/AN/A
EGUS
Ishares ESG Aware MSCI USA Growth ETF		-20.17%-14.35%-12.96%-3.90%N/AN/A
EVUS
Ishares ESG Aware MSCI USA Value ETF		-7.80%-10.47%-10.14%-1.77%N/AN/A
ESGD
iShares ESG Aware MSCI EAFE ETF		-3.59%-12.90%-9.97%-4.31%9.26%N/A
ESGE
iShares ESG Aware MSCI EM ETF		-6.29%-11.98%-15.58%-1.10%4.35%N/A
EAGG
iShares ESG Aware US Aggregate Bond ETF		2.43%0.21%0.51%5.50%-0.74%N/A
SUSC
iShares ESG Aware USD Corporate Bond ETF		1.07%-0.86%-0.87%4.54%0.52%N/A
SHY
iShares 1-3 Year Treasury Bond ETF		1.86%0.72%2.35%5.72%1.08%1.39%
TLT
iShares 20+ Year Treasury Bond ETF		4.18%0.29%-3.03%2.64%-9.05%-1.08%
HYXF
iShares ESG Advanced High Yield Corporate Bond ETF		-1.21%-3.21%-0.73%6.30%4.43%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of ESG Screened Portfolio (40/60), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.77%0.66%-1.85%-4.85%-4.33%
2024-0.41%1.09%1.86%-3.19%2.97%1.15%2.58%1.63%1.82%-2.48%2.63%-2.64%6.96%
2023-4.21%2.40%0.57%-1.31%2.46%1.40%-1.76%-3.66%-2.41%6.66%4.88%4.51%

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.

HYXF
iShares ESG Advanced High Yield Corporate Bond ETF
Expense ratio chart for HYXF: current value is 0.35%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HYXF: 0.35%
ESGE
iShares ESG Aware MSCI EM ETF
Expense ratio chart for ESGE: current value is 0.25%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
ESGE: 0.25%
ESGD
iShares ESG Aware MSCI EAFE ETF
Expense ratio chart for ESGD: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
ESGD: 0.20%
EGUS
Ishares ESG Aware MSCI USA Growth ETF
Expense ratio chart for EGUS: current value is 0.18%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EGUS: 0.18%
EVUS
Ishares ESG Aware MSCI USA Value ETF
Expense ratio chart for EVUS: current value is 0.18%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EVUS: 0.18%
SUSC
iShares ESG Aware USD Corporate Bond ETF
Expense ratio chart for SUSC: current value is 0.18%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SUSC: 0.18%
SHY
iShares 1-3 Year Treasury Bond ETF
Expense ratio chart for SHY: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SHY: 0.15%
TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
TLT: 0.15%
XJH
iShares ESG Screened S&P Mid-Cap ETF
Expense ratio chart for XJH: current value is 0.12%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XJH: 0.12%
XJR
iShares ESG Screened S&P Small-Cap ETF
Expense ratio chart for XJR: current value is 0.12%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XJR: 0.12%
EAGG
iShares ESG Aware US Aggregate Bond ETF
Expense ratio chart for EAGG: current value is 0.10%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EAGG: 0.10%
XVV
iShares ESG Screened S&P 500 ETF
Expense ratio chart for XVV: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XVV: 0.08%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ESG Screened Portfolio (40/60) is 62, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of ESG Screened Portfolio (40/60) is 6262
Overall Rank
The Sharpe Ratio Rank of ESG Screened Portfolio (40/60) is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of ESG Screened Portfolio (40/60) is 5959
Sortino Ratio Rank
The Omega Ratio Rank of ESG Screened Portfolio (40/60) is 5858
Omega Ratio Rank
The Calmar Ratio Rank of ESG Screened Portfolio (40/60) is 6565
Calmar Ratio Rank
The Martin Ratio Rank of ESG Screened Portfolio (40/60) is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at 0.12, compared to the broader market-4.00-2.000.002.00
Portfolio: 0.12
^GSPC: -0.10
The chart of Sortino ratio for Portfolio, currently valued at 0.21, compared to the broader market-6.00-4.00-2.000.002.00
Portfolio: 0.21
^GSPC: -0.03
The chart of Omega ratio for Portfolio, currently valued at 1.03, compared to the broader market0.400.600.801.001.201.40
Portfolio: 1.03
^GSPC: 1.00
The chart of Calmar ratio for Portfolio, currently valued at 0.13, compared to the broader market0.001.002.003.004.00
Portfolio: 0.13
^GSPC: -0.09
The chart of Martin ratio for Portfolio, currently valued at 0.56, compared to the broader market0.005.0010.0015.00
Portfolio: 0.56
^GSPC: -0.47
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XVV
iShares ESG Screened S&P 500 ETF		-0.070.021.00-0.06-0.30
XJH
iShares ESG Screened S&P Mid-Cap ETF		-0.59-0.690.91-0.49-1.87
XJR
iShares ESG Screened S&P Small-Cap ETF		-0.44-0.480.94-0.38-1.39
EGUS
Ishares ESG Aware MSCI USA Growth ETF		-0.12-0.011.00-0.11-0.43
EVUS
Ishares ESG Aware MSCI USA Value ETF		-0.09-0.031.00-0.08-0.36
ESGD
iShares ESG Aware MSCI EAFE ETF		-0.25-0.230.97-0.30-0.87
ESGE
iShares ESG Aware MSCI EM ETF		-0.050.051.01-0.06-0.17
EAGG
iShares ESG Aware US Aggregate Bond ETF		0.921.331.161.012.39
SUSC
iShares ESG Aware USD Corporate Bond ETF		0.731.061.130.862.13
SHY
iShares 1-3 Year Treasury Bond ETF		3.325.511.745.7316.26
TLT
iShares 20+ Year Treasury Bond ETF		0.090.221.020.080.17
HYXF
iShares ESG Advanced High Yield Corporate Bond ETF		1.191.601.221.688.37

The current ESG Screened Portfolio (40/60) Sharpe ratio is 0.19. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from -0.16 to 0.37, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of ESG Screened Portfolio (40/60) with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.12
-0.10
ESG Screened Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ESG Screened Portfolio (40/60) provided a 3.42% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio3.42%3.35%2.91%2.15%1.54%1.52%2.24%1.74%1.21%0.50%0.28%0.27%
Portfolio components:
XVV
iShares ESG Screened S&P 500 ETF		1.25%1.05%1.25%1.57%0.81%0.31%0.00%0.00%0.00%0.00%0.00%0.00%
XJH
iShares ESG Screened S&P Mid-Cap ETF		1.51%1.24%1.38%1.45%1.04%0.36%0.00%0.00%0.00%0.00%0.00%0.00%
XJR
iShares ESG Screened S&P Small-Cap ETF		2.39%1.96%0.92%1.29%2.00%0.58%0.00%0.00%0.00%0.00%0.00%0.00%
EGUS
Ishares ESG Aware MSCI USA Growth ETF		0.31%0.25%0.36%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EVUS
Ishares ESG Aware MSCI USA Value ETF		2.04%1.99%2.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ESGD
iShares ESG Aware MSCI EAFE ETF		3.35%3.23%3.02%2.59%2.75%1.63%2.57%2.69%2.65%0.09%0.00%0.00%
ESGE
iShares ESG Aware MSCI EM ETF		2.57%2.40%2.65%2.68%2.66%1.31%2.59%2.18%1.86%0.27%0.00%0.00%
EAGG
iShares ESG Aware US Aggregate Bond ETF		3.90%3.93%3.24%2.07%1.09%1.82%3.17%0.61%0.00%0.00%0.00%0.00%
SUSC
iShares ESG Aware USD Corporate Bond ETF		4.41%4.34%3.83%2.97%2.21%2.20%3.08%3.88%1.70%0.00%0.00%0.00%
SHY
iShares 1-3 Year Treasury Bond ETF		3.95%3.92%2.99%1.30%0.24%0.94%2.12%1.72%0.98%0.71%0.54%0.36%
TLT
iShares 20+ Year Treasury Bond ETF		4.18%4.30%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%
HYXF
iShares ESG Advanced High Yield Corporate Bond ETF		6.53%6.40%5.93%5.37%4.22%4.96%5.29%6.14%5.85%3.15%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.

-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-7.42%
-17.61%
ESG Screened Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

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 8.34%, occurring on Oct 27, 2023. Recovery took 32 trading sessions.

The current ESG Screened Portfolio (40/60) drawdown is 6.50%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.34%Jul 20, 202371Oct 27, 202332Dec 13, 2023103
-7.42%Dec 9, 202481Apr 7, 2025———
-4.82%Feb 3, 202324Mar 9, 202368Jun 15, 202392
-3.81%Mar 28, 202416Apr 19, 202418May 15, 202434
-2.99%Jul 17, 202416Aug 7, 20247Aug 16, 202423

Volatility

Volatility Chart

The current ESG Screened Portfolio (40/60) volatility is 3.75%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
3.75%
9.24%
ESG Screened Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
SHYTLTEAGGESGEEGUSSUSCEVUSXJRXVVXJHESGDHYXF
SHY1.000.680.830.120.050.770.050.080.060.060.170.42
TLT0.681.000.940.100.080.910.130.150.110.130.190.48
EAGG0.830.941.000.170.100.950.150.180.140.160.250.53
ESGE0.120.100.171.000.560.230.510.520.600.560.750.48
EGUS0.050.080.100.561.000.200.550.550.940.620.610.55
SUSC0.770.910.950.230.201.000.250.270.250.250.340.63
EVUS0.050.130.150.510.550.251.000.820.740.870.680.55
XJR0.080.150.180.520.550.270.821.000.690.940.670.59
XVV0.060.110.140.600.940.250.740.691.000.760.690.59
XJH0.060.130.160.560.620.250.870.940.761.000.710.61
ESGD0.170.190.250.750.610.340.680.670.690.711.000.63
HYXF0.420.480.530.480.550.630.550.590.590.610.631.00
The correlation results are calculated based on daily price changes starting from Feb 3, 2023
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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