ESG Moderate 2024
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in ESG Moderate 2024, 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.
The earliest data available for this chart is Feb 24, 2021, corresponding to the inception date of IMFL
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.92% | -9.92% | 5.42% | 12.98% | 9.70% |
| ESG Moderate 2024 | -3.78% | -3.85% | -5.60% | 5.20% | N/A | N/A |
| Portfolio components: | ||||||
IMFL Invesco International Developed Dynamic Multifactor ETF | 6.84% | -1.74% | -0.30% | 4.33% | N/A | N/A |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | -5.19% | -3.83% | -4.46% | 1.09% | 13.81% | N/A |
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | -8.93% | -5.13% | -10.04% | 5.37% | 13.77% | N/A |
IQSI IQ Candriam ESG International Equity ETF | 6.17% | -3.41% | -0.70% | 9.27% | 11.42% | N/A |
NUEM Nuveen ESG Emerging Markets Equity ETF | -2.55% | -6.45% | -8.77% | 8.14% | 7.00% | N/A |
NULG Nuveen ESG Large-Cap Growth ETF | -12.29% | -6.24% | -10.52% | 4.95% | 15.80% | N/A |
BOND PIMCO Active Bond ETF | 1.57% | -1.30% | -0.02% | 6.79% | 0.07% | 1.63% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.25% | 0.37% | 2.18% | 4.84% | 2.52% | 1.75% |
SPAB SPDR Portfolio Aggregate Bond ETF | 2.13% | -0.54% | 0.31% | 6.74% | -0.87% | 1.31% |
GRNB VanEck Vectors Green Bond ETF | 1.43% | -0.68% | 0.18% | 6.48% | 0.35% | N/A |
WTMF WisdomTree Managed Futures Strategy Fund | -3.69% | -2.35% | -3.12% | -5.57% | 4.31% | 0.54% |
DGRW WisdomTree U.S. Dividend Growth Fund | -6.74% | -5.97% | -10.50% | 5.43% | 14.09% | 11.32% |
DGRS WisdomTree US Smallcap Quality Dividend Growth Fund | -16.63% | -10.24% | -17.87% | -6.18% | 12.97% | 6.11% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Monthly Returns
The table below presents the monthly returns of ESG Moderate 2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.91% | -0.02% | -2.81% | -2.83% | -3.78% | ||||||||
| 2024 | 0.22% | 2.49% | 2.39% | -3.08% | 3.23% | 1.62% | 1.46% | 1.88% | 1.42% | -1.74% | 3.46% | -3.09% | 10.44% |
| 2023 | 5.19% | -2.09% | 2.37% | 0.95% | -0.56% | 3.89% | 2.03% | -1.54% | -3.60% | -1.95% | 6.86% | 4.50% | 16.59% |
| 2022 | -4.28% | -2.25% | 0.68% | -5.14% | 0.41% | -5.01% | 4.88% | -3.39% | -6.43% | 4.65% | 5.61% | -2.77% | -13.16% |
| 2021 | -1.66% | 1.79% | 2.19% | 0.96% | 1.15% | 1.10% | 1.61% | -3.22% | 3.53% | -1.20% | 2.64% | 9.03% |
Expense Ratio
ESG Moderate 2024 has an expense ratio of 0.22%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of ESG Moderate 2024 is 54, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
IMFL Invesco International Developed Dynamic Multifactor ETF | 0.19 | 0.38 | 1.05 | 0.24 | 0.60 |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.00 | 0.13 | 1.02 | 0.00 | 0.01 |
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | 0.12 | 0.33 | 1.04 | 0.12 | 0.36 |
IQSI IQ Candriam ESG International Equity ETF | 0.46 | 0.77 | 1.11 | 0.56 | 1.53 |
NUEM Nuveen ESG Emerging Markets Equity ETF | 0.26 | 0.52 | 1.07 | 0.23 | 1.03 |
NULG Nuveen ESG Large-Cap Growth ETF | 0.15 | 0.38 | 1.05 | 0.16 | 0.56 |
BOND PIMCO Active Bond ETF | 1.19 | 1.75 | 1.22 | 0.59 | 3.22 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 19.64 | 241.98 | 140.71 | 428.13 | 3,929.98 |
SPAB SPDR Portfolio Aggregate Bond ETF | 1.24 | 1.83 | 1.22 | 0.55 | 3.00 |
GRNB VanEck Vectors Green Bond ETF | 1.54 | 2.33 | 1.29 | 0.71 | 5.14 |
WTMF WisdomTree Managed Futures Strategy Fund | -0.41 | -0.54 | 0.93 | -0.43 | -1.05 |
DGRW WisdomTree U.S. Dividend Growth Fund | 0.32 | 0.56 | 1.08 | 0.31 | 1.32 |
DGRS WisdomTree US Smallcap Quality Dividend Growth Fund | -0.31 | -0.31 | 0.96 | -0.25 | -0.77 |
USD=X USD Cash | — | — | — | — | — |
Dividends
Dividend yield
ESG Moderate 2024 provided a 2.63% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.63% | 2.61% | 2.60% | 2.08% | 2.49% | 1.89% | 1.82% | 2.22% | 1.27% | 1.06% | 1.16% | 1.04% |
| Portfolio components: | ||||||||||||
IMFL Invesco International Developed Dynamic Multifactor ETF | 3.18% | 3.56% | 3.85% | 3.36% | 3.95% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.04% | 1.22% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% | 0.00% |
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | 1.68% | 1.87% | 1.28% | 1.83% | 0.66% | 1.07% | 1.29% | 1.50% | 0.34% | 0.00% | 0.00% | 0.00% |
IQSI IQ Candriam ESG International Equity ETF | 2.58% | 2.79% | 2.98% | 2.89% | 2.75% | 1.65% | 0.06% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
NUEM Nuveen ESG Emerging Markets Equity ETF | 2.00% | 1.95% | 2.37% | 1.90% | 2.45% | 1.26% | 1.98% | 2.05% | 0.62% | 0.00% | 0.00% | 0.00% |
NULG Nuveen ESG Large-Cap Growth ETF | 0.18% | 0.16% | 0.43% | 0.40% | 5.08% | 2.69% | 1.10% | 3.73% | 0.61% | 0.00% | 0.00% | 0.00% |
BOND PIMCO Active Bond ETF | 5.09% | 5.02% | 4.78% | 3.44% | 2.58% | 2.66% | 3.38% | 3.47% | 2.87% | 2.85% | 4.14% | 4.13% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.77% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
SPAB SPDR Portfolio Aggregate Bond ETF | 3.88% | 3.86% | 3.34% | 2.59% | 2.11% | 2.43% | 2.92% | 2.96% | 2.67% | 2.63% | 2.59% | 2.43% |
GRNB VanEck Vectors Green Bond ETF | 3.94% | 3.83% | 3.17% | 2.60% | 1.97% | 2.24% | 1.79% | 1.21% | 1.09% | 0.00% | 0.00% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 3.71% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% | 0.00% |
DGRW WisdomTree U.S. Dividend Growth Fund | 1.68% | 1.55% | 1.74% | 2.15% | 1.78% | 1.91% | 2.20% | 2.42% | 1.71% | 2.13% | 2.18% | 1.79% |
DGRS WisdomTree US Smallcap Quality Dividend Growth Fund | 2.75% | 2.15% | 2.36% | 2.88% | 2.19% | 2.32% | 2.39% | 2.64% | 2.08% | 1.82% | 2.55% | 2.07% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the ESG Moderate 2024. 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 Moderate 2024 was 19.40%, occurring on Oct 14, 2022. Recovery took 304 trading sessions.
The current ESG Moderate 2024 drawdown is 6.10%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.4% | Nov 8, 2021 | 245 | Oct 14, 2022 | 304 | Dec 14, 2023 | 549 |
| -11.36% | Dec 5, 2024 | 89 | Apr 8, 2025 | — | — | — |
| -5.07% | Jul 17, 2024 | 16 | Aug 7, 2024 | 10 | Aug 21, 2024 | 26 |
| -4.22% | Mar 28, 2024 | 17 | Apr 19, 2024 | 18 | May 15, 2024 | 35 |
| -3.73% | Sep 7, 2021 | 20 | Oct 4, 2021 | 20 | Nov 1, 2021 | 40 |
Volatility
Volatility Chart
The current ESG Moderate 2024 volatility is 7.73%, 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.
Diversification
Asset Correlations Table
| USD=X | BIL | WTMF | SPAB | BOND | GRNB | NUEM | DGRS | OMFS | NULG | IMFL | DGRW | OMFL | IQSI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| USD=X | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| BIL | 0.00 | 1.00 | 0.03 | 0.08 | 0.08 | 0.07 | 0.03 | -0.02 | -0.01 | 0.01 | 0.01 | -0.00 | -0.01 | 0.00 |
| WTMF | 0.00 | 0.03 | 1.00 | 0.03 | 0.06 | 0.08 | 0.28 | 0.34 | 0.36 | 0.34 | 0.34 | 0.35 | 0.39 | 0.35 |
| SPAB | 0.00 | 0.08 | 0.03 | 1.00 | 0.93 | 0.88 | 0.14 | 0.13 | 0.13 | 0.19 | 0.22 | 0.19 | 0.16 | 0.23 |
| BOND | 0.00 | 0.08 | 0.06 | 0.93 | 1.00 | 0.84 | 0.15 | 0.17 | 0.16 | 0.20 | 0.26 | 0.22 | 0.19 | 0.27 |
| GRNB | 0.00 | 0.07 | 0.08 | 0.88 | 0.84 | 1.00 | 0.23 | 0.20 | 0.20 | 0.31 | 0.31 | 0.30 | 0.26 | 0.33 |
| NUEM | 0.00 | 0.03 | 0.28 | 0.14 | 0.15 | 0.23 | 1.00 | 0.50 | 0.52 | 0.58 | 0.67 | 0.53 | 0.55 | 0.70 |
| DGRS | 0.00 | -0.02 | 0.34 | 0.13 | 0.17 | 0.20 | 0.50 | 1.00 | 0.91 | 0.60 | 0.64 | 0.76 | 0.81 | 0.68 |
| OMFS | 0.00 | -0.01 | 0.36 | 0.13 | 0.16 | 0.20 | 0.52 | 0.91 | 1.00 | 0.66 | 0.65 | 0.73 | 0.85 | 0.68 |
| NULG | 0.00 | 0.01 | 0.34 | 0.19 | 0.20 | 0.31 | 0.58 | 0.60 | 0.66 | 1.00 | 0.64 | 0.82 | 0.80 | 0.71 |
| IMFL | 0.00 | 0.01 | 0.34 | 0.22 | 0.26 | 0.31 | 0.67 | 0.64 | 0.65 | 0.64 | 1.00 | 0.69 | 0.71 | 0.92 |
| DGRW | 0.00 | -0.00 | 0.35 | 0.19 | 0.22 | 0.30 | 0.53 | 0.76 | 0.73 | 0.82 | 0.69 | 1.00 | 0.86 | 0.76 |
| OMFL | 0.00 | -0.01 | 0.39 | 0.16 | 0.19 | 0.26 | 0.55 | 0.81 | 0.85 | 0.80 | 0.71 | 0.86 | 1.00 | 0.75 |
| IQSI | 0.00 | 0.00 | 0.35 | 0.23 | 0.27 | 0.33 | 0.70 | 0.68 | 0.68 | 0.71 | 0.92 | 0.76 | 0.75 | 1.00 |