Asset Allocation
Find the right asset allocation for Conservative ESG-integrated Portfolio (40/60)
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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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.
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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 Conservative ESG-integrated Portfolio (40/60) | 0.68% | 2.27% | 5.27% | 5.60% | 13.67% | — | — | — |
| Portfolio components: | ||||||||
DSI iShares MSCI KLD 400 Social ETF | 1.78% | 2.10% | 11.83% | 12.35% | 29.36% | 20.81% | 13.33% | 15.60% |
EAGG iShares ESG Aware US Aggregate Bond ETF | 0.06% | 1.08% | 0.54% | 0.85% | 4.91% | 3.92% | 0.08% | — |
EFRA iShares Environmental Infrastructure and Industrials ETF | 0.72% | 2.38% | 5.58% | 5.15% | 10.97% | 10.23% | — | — |
ESGD iShares ESG Aware MSCI EAFE ETF | 0.66% | 3.97% | 9.85% | 10.51% | 21.72% | 15.36% | 8.21% | — |
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% |
IWM iShares Russell 2000 ETF | 0.82% | 6.39% | 20.19% | 17.83% | 42.91% | 17.97% | 6.41% | 11.40% |
LCTU BlackRock U.S. Carbon Transition Readiness ETF | 1.73% | 2.67% | 9.23% | 9.49% | 25.98% | 19.96% | 12.39% | — |
LDEM iShares ESG MSCI EM Leaders ETF | 2.52% | 3.00% | 8.26% | 9.66% | 24.07% | 13.85% | 2.60% | — |
PABD iShares Paris-Aligned Climate MSCI World Ex USA ETF | 0.75% | 4.79% | 8.37% | 9.38% | 20.80% | — | — | — |
PABU iShares Paris-Aligned Climate Optimized MSCI USA ETF | 1.98% | 1.91% | 6.81% | 7.83% | 20.95% | 18.02% | — | — |
Monthly Returns
Based on dividend-adjusted daily data since Jan 19, 2024, Conservative ESG-integrated Portfolio (40/60)'s average daily return is +0.04%, while the average monthly return is +0.84%. At this rate, an investment would double in approximately 6.9 years.
Historically, 83% of months were positive and 17% were negative. The best month was Apr 2026 with a return of +4.1%, while the worst month was Mar 2026 at -3.7%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 1 months.
On a daily basis, Conservative ESG-integrated Portfolio (40/60) closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +3.7%, 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 | 1.34% | 1.32% | -3.73% | 4.12% | 1.90% | 0.37% | 5.27% | ||||||
| 2025 | 1.36% | 0.99% | -1.63% | 0.38% | 2.15% | 2.90% | 0.20% | 1.80% | 2.10% | 1.12% | 0.18% | 0.09% | 12.18% |
| 2024 | 1.23% | 1.12% | 1.80% | -3.32% | 2.91% | 1.11% | 2.68% | 1.68% | 1.83% | -2.48% | 2.51% | -2.84% | 8.26% |
Benchmark Metrics
Conservative ESG-integrated Portfolio (40/60) has an annualized alpha of 1.90%, beta of 0.43, and R2 of 0.73 versus S&P 500 Index. Calculated based on daily prices since January 19, 2024.
- This portfolio participated in 52.79% of S&P 500 Index downside but only 47.20% 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
- 1.90%
- Beta
- 0.43
- R²
- 0.73
- Upside Capture
- 47.20%
- Downside Capture
- 52.79%
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.
Top 10 holdings
Return for Risk
Risk / Return Rank
Conservative ESG-integrated Portfolio (40/60) ranks 33 for risk / return — below 33% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Conservative ESG-integrated 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 | 1.92 | 2.14 | -0.22 |
| Sortino ratioReturn per unit of downside risk | 2.76 | 2.89 | -0.13 |
| Omega ratioGain probability vs. loss probability | 1.36 | 1.39 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.51 | 2.91 | -0.41 |
| Martin ratioReturn relative to average drawdown | 10.30 | 13.08 | -2.78 |
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 |
|---|---|---|---|---|---|---|
DSI iShares MSCI KLD 400 Social ETF | 68 | 2.17 | 2.93 | 1.39 | 2.67 | 11.05 |
EAGG iShares ESG Aware US Aggregate Bond ETF | 39 | 1.33 | 2.00 | 1.23 | 1.79 | 5.28 |
EFRA iShares Environmental Infrastructure and Industrials ETF | 22 | 0.76 | 1.17 | 1.14 | 0.98 | 2.69 |
ESGD iShares ESG Aware MSCI EAFE ETF | 43 | 1.38 | 2.01 | 1.25 | 1.87 | 6.97 |
HYXF iShares ESG Advanced High Yield Corporate Bond ETF | 54 | 1.61 | 2.43 | 1.30 | 2.40 | 10.72 |
IWM iShares Russell 2000 ETF | 76 | 2.20 | 2.99 | 1.36 | 3.91 | 13.84 |
LCTU BlackRock U.S. Carbon Transition Readiness ETF | 66 | 2.05 | 2.80 | 1.37 | 2.78 | 12.10 |
LDEM iShares ESG MSCI EM Leaders ETF | 39 | 1.28 | 1.81 | 1.25 | 1.83 | 5.76 |
PABD iShares Paris-Aligned Climate MSCI World Ex USA ETF | 38 | 1.31 | 1.91 | 1.23 | 1.66 | 6.21 |
PABU iShares Paris-Aligned Climate Optimized MSCI USA ETF | 40 | 1.50 | 2.05 | 1.27 | 1.57 | 5.37 |
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Dividends
Dividend yield
Conservative ESG-integrated Portfolio (40/60) provided a 3.55% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.55% | 3.34% | 3.33% | 2.79% | 2.17% | 1.40% | 1.56% | 2.16% | 1.56% | 1.05% | 0.61% | 0.41% |
| Portfolio components: | ||||||||||||
DSI iShares MSCI KLD 400 Social ETF | 1.04% | 0.92% | 1.03% | 1.19% | 1.39% | 0.99% | 1.22% | 1.40% | 1.63% | 1.28% | 1.51% | 1.46% |
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% |
EFRA iShares Environmental Infrastructure and Industrials ETF | 5.13% | 4.34% | 3.79% | 1.85% | 0.14% | 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% |
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% |
IWM iShares Russell 2000 ETF | 1.10% | 1.04% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% |
LCTU BlackRock U.S. Carbon Transition Readiness ETF | 1.15% | 1.02% | 1.27% | 1.46% | 1.63% | 2.20% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LDEM iShares ESG MSCI EM Leaders ETF | 3.83% | 3.26% | 2.64% | 3.20% | 4.93% | 1.82% | 1.89% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PABD iShares Paris-Aligned Climate MSCI World Ex USA ETF | 4.03% | 2.74% | 2.87% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PABU iShares Paris-Aligned Climate Optimized MSCI USA ETF | 1.09% | 0.90% | 1.00% | 1.06% | 1.00% | 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.
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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 7.88%, occurring on Apr 8, 2025. Recovery took 35 trading sessions.
The current Conservative ESG-integrated Portfolio (40/60) drawdown is 0.69%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -7.88%Apr 2025 | 4mo | 1mo 21d | 5mo 21dDec 2024 - May 2025 |
2026 pullback2026 | -5.48%Mar 2026 | 29d | 21d | 1mo 20dFeb 2026 - Apr 2026 |
2024 pullback2024 | -3.98%Apr 2024 | 22d | 26d | 1mo 18dMar 2024 - May 2024 |
2025 pullback2025 | -3.06%Nov 2025 | 22d | 1mo 16d | 2mo 8dOct 2025 - Jan 2026 |
2024 pullback2024 | -2.78%Nov 2024 | 1mo 2d | 1mo 3d | 2mo 5dSep 2024 - Dec 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 15 assets, with an effective number of assets of 8.96, 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 | All Time | |
|---|---|---|
Diversification Ratio | 1.26 | 1.33 |
The portfolio has a diversification ratio of 1.33, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Conservative ESG-integrated Portfolio (40/60) correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Jan 19, 2024 | 0.83 |
Benchmark Correlations
Correlation vs. S&P 500 Index. LCTU has the highest benchmark correlation at 0.99, while SHY has the lowest at 0.13.
Asset Correlations Table
Find what Conservative ESG-integrated Portfolio (40/60) is missing
See which holdings overlap, where Conservative ESG-integrated Portfolio (40/60) is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification