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

Conservative ESG-integrated Portfolio (40/60)

Last updated Apr 18, 2025

Asset Allocation

EAGG 25%SUSC 12%TLT 9%SHY 8%HYXF 6%SUSL 5%IWM 5%ESGD 5%USXF 4%DSI 4%PABU 4%PABD 4%LCTU 3%LDEM 3%EFRA 3%BondBondEquityEquity
PositionCategory/SectorTarget Weight
DSI
iShares MSCI KLD 400 Social ETF		Large Cap Growth Equities
4%
EAGG
iShares ESG Aware US Aggregate Bond ETF		Total Bond Market
25%
EFRA
iShares Environmental Infrastructure and Industrials ETF		Energy Equities
3%
ESGD
iShares ESG Aware MSCI EAFE ETF		Foreign Large Cap Equities
5%
HYXF
iShares ESG Advanced High Yield Corporate Bond ETF		High Yield Bonds
6%
IWM
iShares Russell 2000 ETF		Small Cap Growth Equities
5%
LCTU
BlackRock U.S. Carbon Transition Readiness ETF		Actively Managed, ESG, Sustainable
3%
LDEM
iShares ESG MSCI EM Leaders ETF		Emerging Markets Equities
3%
PABD
iShares Paris-Aligned Climate MSCI World Ex USA ETF		Foreign Large Cap Equities
4%
PABU
iShares Paris-Aligned Climate MSCI USA ETF		Large Cap Growth Equities
4%
SHY
iShares 1-3 Year Treasury Bond ETF		Government Bonds
8%
SUSC
iShares ESG Aware USD Corporate Bond ETF		Corporate Bonds
12%
SUSL
iShares ESG MSCI USA Leaders ETF		Large Cap Growth Equities
5%
TLT
iShares 20+ Year Treasury Bond ETF		Government Bonds
9%
USXF
iShares ESG Advanced MSCI USA ETF		Large Cap Growth Equities
4%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Conservative ESG-integrated 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.

5.00%10.00%15.00%20.00%25.00%NovemberDecember2025FebruaryMarchApril
5.89%
9.15%
Conservative ESG-integrated Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 19, 2024, corresponding to the inception date of PABD

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-10.18%-5.91%-9.57%5.19%12.98%9.68%
Conservative ESG-integrated Portfolio (40/60)-1.89%-2.70%-3.96%5.86%N/AN/A
Portfolio components:
USXF
iShares ESG Advanced MSCI USA ETF		-11.07%-6.60%-12.69%5.39%N/AN/A
DSI
iShares MSCI KLD 400 Social ETF		-12.10%-6.45%-11.74%2.49%13.76%11.13%
PABU
iShares Paris-Aligned Climate MSCI USA ETF		-13.00%-6.05%-11.19%5.68%N/AN/A
SUSL
iShares ESG MSCI USA Leaders ETF		-11.36%-5.62%-10.99%3.23%14.26%N/A
LCTU
BlackRock U.S. Carbon Transition Readiness ETF		-10.60%-5.95%-9.73%5.63%N/AN/A
IWM
iShares Russell 2000 ETF		-15.42%-8.23%-17.10%-2.27%10.25%5.42%
ESGD
iShares ESG Aware MSCI EAFE ETF		6.71%-3.90%0.51%9.65%10.97%N/A
PABD
iShares Paris-Aligned Climate MSCI World Ex USA ETF		6.71%-2.57%-0.44%10.83%N/AN/A
LDEM
iShares ESG MSCI EM Leaders ETF		4.03%-5.81%-2.85%15.03%5.32%N/A
EFRA
iShares Environmental Infrastructure and Industrials ETF		-0.72%-1.70%-7.05%6.10%N/AN/A
EAGG
iShares ESG Aware US Aggregate Bond ETF		2.02%-0.28%0.27%6.26%-1.06%N/A
SUSC
iShares ESG Aware USD Corporate Bond ETF		1.02%-0.94%-1.00%6.03%-0.16%N/A
SHY
iShares 1-3 Year Treasury Bond ETF		1.93%0.78%2.29%6.05%1.08%1.39%
TLT
iShares 20+ Year Treasury Bond ETF		1.27%-3.16%-4.70%2.13%-9.85%-1.41%
HYXF
iShares ESG Advanced High Yield Corporate Bond ETF		0.44%-0.87%0.60%9.56%3.92%N/A
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.39%0.82%-1.81%-2.26%-1.89%
20240.85%1.11%1.80%-3.35%2.96%1.12%2.66%1.69%1.86%-2.47%2.58%-2.88%7.93%

Expense Ratio

Conservative ESG-integrated 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.

EFRA
iShares Environmental Infrastructure and Industrials ETF
Expense ratio chart for EFRA: current value is 0.47%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EFRA: 0.47%
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%
DSI
iShares MSCI KLD 400 Social ETF
Expense ratio chart for DSI: 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%
DSI: 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%
IWM
iShares Russell 2000 ETF
Expense ratio chart for IWM: current value is 0.19%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IWM: 0.19%
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%
LDEM
iShares ESG MSCI EM Leaders ETF
Expense ratio chart for LDEM: current value is 0.16%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
LDEM: 0.16%
LCTU
BlackRock U.S. Carbon Transition Readiness ETF
Expense ratio chart for LCTU: 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%
LCTU: 0.15%
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%
PABD
iShares Paris-Aligned Climate MSCI World Ex USA ETF
Expense ratio chart for PABD: 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%
PABD: 0.12%
USXF
iShares ESG Advanced MSCI USA ETF
Expense ratio chart for USXF: 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%
USXF: 0.10%
PABU
iShares Paris-Aligned Climate MSCI USA ETF
Expense ratio chart for PABU: 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%
PABU: 0.10%
SUSL
iShares ESG MSCI USA Leaders ETF
Expense ratio chart for SUSL: 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%
SUSL: 0.10%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Conservative ESG-integrated Portfolio (40/60) is 71, 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 Conservative ESG-integrated Portfolio (40/60) is 7171
Overall Rank
The Sharpe Ratio Rank of Conservative ESG-integrated Portfolio (40/60) is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of Conservative ESG-integrated Portfolio (40/60) is 7272
Sortino Ratio Rank
The Omega Ratio Rank of Conservative ESG-integrated Portfolio (40/60) is 6868
Omega Ratio Rank
The Calmar Ratio Rank of Conservative ESG-integrated Portfolio (40/60) is 7575
Calmar Ratio Rank
The Martin Ratio Rank of Conservative ESG-integrated Portfolio (40/60) is 7171
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 0.66, compared to the broader market-4.00-2.000.002.00
Portfolio: 0.66
^GSPC: 0.24
The chart of Sortino ratio for Portfolio, currently valued at 1.01, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 1.01
^GSPC: 0.47
The chart of Omega ratio for Portfolio, currently valued at 1.13, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.13
^GSPC: 1.07
The chart of Calmar ratio for Portfolio, currently valued at 0.71, compared to the broader market0.001.002.003.004.005.006.00
Portfolio: 0.71
^GSPC: 0.24
The chart of Martin ratio for Portfolio, currently valued at 2.90, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 2.90
^GSPC: 1.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
USXF
iShares ESG Advanced MSCI USA ETF		0.180.411.050.190.76
DSI
iShares MSCI KLD 400 Social ETF		0.090.271.040.090.35
PABU
iShares Paris-Aligned Climate MSCI USA ETF		0.240.471.070.230.98
SUSL
iShares ESG MSCI USA Leaders ETF		0.130.321.040.130.51
LCTU
BlackRock U.S. Carbon Transition Readiness ETF		0.260.501.070.261.13
IWM
iShares Russell 2000 ETF		-0.14-0.031.00-0.12-0.41
ESGD
iShares ESG Aware MSCI EAFE ETF		0.560.891.120.702.05
PABD
iShares Paris-Aligned Climate MSCI World Ex USA ETF		0.641.021.130.812.26
LDEM
iShares ESG MSCI EM Leaders ETF		0.771.221.150.952.49
EFRA
iShares Environmental Infrastructure and Industrials ETF		0.380.671.080.381.26
EAGG
iShares ESG Aware US Aggregate Bond ETF		1.261.851.221.383.25
SUSC
iShares ESG Aware USD Corporate Bond ETF		1.081.561.191.343.27
SHY
iShares 1-3 Year Treasury Bond ETF		3.786.661.866.3318.20
TLT
iShares 20+ Year Treasury Bond ETF		0.230.411.050.220.44
HYXF
iShares ESG Advanced High Yield Corporate Bond ETF		1.682.401.352.1111.68

The current Conservative ESG-integrated Portfolio (40/60) Sharpe ratio is 0.71. 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 0.21 to 0.77, 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 Conservative ESG-integrated 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 Ratio0.000.501.001.502.00Jan 26Feb 02Feb 09Feb 16Feb 23Mar 02Mar 09Mar 16Mar 23Mar 30Apr 06Apr 13
0.66
0.24
Conservative ESG-integrated Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Conservative ESG-integrated Portfolio (40/60) provided a 3.35% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio3.35%3.33%2.79%2.17%1.38%1.56%2.16%1.63%1.10%0.63%0.41%0.38%
Portfolio components:
USXF
iShares ESG Advanced MSCI USA ETF		1.12%1.00%1.21%1.39%0.85%0.58%0.00%0.00%0.00%0.00%0.00%0.00%
DSI
iShares MSCI KLD 400 Social ETF		1.20%1.03%1.19%1.39%0.99%1.22%1.40%1.63%1.28%1.92%1.46%1.26%
PABU
iShares Paris-Aligned Climate MSCI USA ETF		1.12%1.01%1.06%1.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SUSL
iShares ESG MSCI USA Leaders ETF		1.25%1.10%1.27%1.57%1.12%1.38%1.12%0.00%0.00%0.00%0.00%0.00%
LCTU
BlackRock U.S. Carbon Transition Readiness ETF		1.40%1.27%1.46%1.62%2.20%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IWM
iShares Russell 2000 ETF		1.32%1.15%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%
ESGD
iShares ESG Aware MSCI EAFE ETF		3.03%3.23%3.02%2.59%2.75%1.63%2.57%2.69%2.65%0.09%0.00%0.00%
PABD
iShares Paris-Aligned Climate MSCI World Ex USA ETF		2.69%2.87%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LDEM
iShares ESG MSCI EM Leaders ETF		2.54%2.64%3.20%4.93%1.82%1.89%0.00%0.00%0.00%0.00%0.00%0.00%
EFRA
iShares Environmental Infrastructure and Industrials ETF		3.82%3.79%1.85%0.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EAGG
iShares ESG Aware US Aggregate Bond ETF		3.91%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		3.94%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		4.30%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		6.42%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.

-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-5.29%
-14.02%
Conservative ESG-integrated Portfolio (40/60)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Conservative ESG-integrated 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 Conservative ESG-integrated Portfolio (40/60) was 8.37%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current Conservative ESG-integrated Portfolio (40/60) drawdown is 4.92%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.37%Dec 9, 202482Apr 8, 2025———
-4.04%Mar 28, 202416Apr 19, 202418May 15, 202434
-2.84%Jul 17, 202416Aug 7, 20247Aug 16, 202423
-2.76%Sep 30, 202425Nov 1, 202422Dec 4, 202447
-1.66%Feb 2, 20248Feb 13, 20247Feb 23, 202415

Volatility

Volatility Chart

The current Conservative ESG-integrated Portfolio (40/60) volatility is 5.59%, 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%12.00%14.00%NovemberDecember2025FebruaryMarchApril
5.59%
13.60%
Conservative ESG-integrated 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.
SHYTLTEAGGLDEMSUSCHYXFIWMUSXFESGDSUSLEFRAPABUPABDDSILCTU
SHY1.000.690.830.130.770.430.160.050.220.070.290.120.220.080.11
TLT0.691.000.940.110.920.460.190.110.230.130.320.140.270.140.14
EAGG0.830.941.000.170.950.520.240.150.300.160.370.180.320.170.18
LDEM0.130.110.171.000.240.430.510.520.680.510.520.500.690.530.52
SUSC0.770.920.950.241.000.590.330.220.390.240.460.260.410.250.27
HYXF0.430.460.520.430.591.000.650.550.610.580.680.590.630.580.60
IWM0.160.190.240.510.330.651.000.730.670.720.810.730.670.730.78
USXF0.050.110.150.520.220.550.731.000.640.940.630.910.660.950.92
ESGD0.220.230.300.680.390.610.670.641.000.650.770.640.950.650.68
SUSL0.070.130.160.510.240.580.720.940.651.000.640.960.660.990.96
EFRA0.290.320.370.520.460.680.810.630.770.641.000.640.760.650.69
PABU0.120.140.180.500.260.590.730.910.640.960.641.000.660.960.97
PABD0.220.270.320.690.410.630.670.660.950.660.760.661.000.670.69
DSI0.080.140.170.530.250.580.730.950.650.990.650.960.671.000.96
LCTU0.110.140.180.520.270.600.780.920.680.960.690.970.690.961.00
The correlation results are calculated based on daily price changes starting from Jan 22, 2024
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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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