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The MPT Statistics Table can be used in three ways: 1.)view this table in its current format, 2.) reorganize this table by selecting any single criteria in the drop down menu (at the top of the table) and then click the "Sort by" button, 3.) view more information about a specific fund by clicking on the fund name.

For definitions of Modern Portfolio Theory (MPT) Statistics, please refer to the definitions section at the bottom of this page.

MPT Statistics (09/30/17)
Domestic Equity FundsAlpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
American Trust Allegiance-5.16-5.191.141.120.500.8382.6882.3412.6111.74
Appleseed Fund-0.161.090.510.500.260.6045.0843.129.329.03
Ariel Appreciation-5.58-2.681.191.120.480.9586.3186.3714.1013.48
Ariel Focus Fund-6.73-4.271.151.130.340.8871.9274.6213.5612.52
Ariel Fund-2.651.570.980.940.561.0085.2984.5715.3114.44
Azzad Ethical Income Fund          
Azzad Ethical Mid Cap Fund-4.67-2.840.900.920.410.8477.3878.7711.1611.67
Calvert Capital Accumulation A-4.32-3.330.890.910.450.8280.8584.0510.7611.14
Calvert Capital Accumulation B          
Calvert Capital Accumulation C-5.03-4.040.880.910.370.7480.7383.9010.7511.12
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Calvert Large Cap Growth A          
Calvert Large Cap Growth B          
Calvert Large Cap Growth C          
Calvert Mid Cap Value A          
Calvert Mid Cap Value C          
Calvert New Vision Small Cap A          
Calvert New Vision Small Cap B          
Calvert New Vision Small Cap C          
Calvert Small Cap Value A1.952.570.790.820.931.1288.0788.2512.1612.27
Calvert Small Cap Value C1.191.770.790.820.871.0588.0288.2012.1612.28
Calvert Social Index A-0.96-0.641.051.040.941.3898.0697.4910.559.97
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Calvert Social Index B          
Calvert Social Index C-1.70-1.441.051.040.861.2998.0397.4310.549.98
CNI Charter Socially Responsible Equity N-6.26-4.691.051.040.350.8478.9181.5011.8010.97
CSIF Enhanced Equity Portfolio A          
CSIF Enhanced Equity Portfolio B          
CSIF Enhanced Equity Portfolio C          
CSIF Equity Portfolio A0.23-0.180.880.901.011.3588.1488.449.339.12
CSIF Equity Portfolio B          
CSIF Equity Portfolio C-0.52-0.920.880.900.921.2688.1088.419.339.13
Domini Social Equity A-5.15-3.691.031.060.471.0090.3491.1410.8410.57
Domini Social Equity Fund-5.08-3.681.031.060.481.0190.3291.1610.7910.55
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Domini Social Equity R-4.82-3.401.031.060.501.0490.1891.0410.8110.56
Dreyfus Premier Third Century A-3.42-2.321.011.030.661.1795.5595.5210.3310.02
Dreyfus Premier Third Century B          
Dreyfus Premier Third Century C-4.12-3.061.011.030.591.0995.4595.3610.3010.03
Dreyfus Premier Third Century T          
Dreyfus Premier Third Century Z-3.23-2.141.011.030.681.1995.5895.5510.3510.05
Dreyfus Socially Resp Growth S-3.32-2.201.011.030.671.1995.4595.4410.3610.06
Epiphany FFV Fund A          
Epiphany FFV Fund C          
Epiphany FFV Fund N-3.46-2.900.991.010.641.0793.4990.9510.2310.12
Eventide Gilead Fund-3.670.831.351.190.611.1466.2254.2416.7315.51
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Firsthand Alternative Energy Fund-0.2812.300.290.50-0.170.6013.5918.4815.3620.33
Flex-funds Total Return Utilities-0.653.550.170.320.130.714.3217.9310.7710.58
Gabelli SRI Fund Inc A-1.47-2.960.900.950.811.0187.2785.639.649.74
Gabelli SRI Fund Inc AAA-1.51-2.990.910.950.811.0187.3585.739.679.75
Gabelli SRI Fund Inc C-2.18-3.660.900.950.730.9387.2485.579.619.71
Green Century Equity-0.84-0.571.021.020.941.3796.6796.4810.399.84
Integrity Growth & Income Fund-4.44-3.300.920.980.491.0089.9088.149.719.97
LKCM Aquinas Growth Fund          
LKCM Aquinas Small Cap Fund          
LKCM Aquinas Value Fund-5.07-4.721.121.110.510.9088.1886.9911.9311.36
MMA Praxis Core Stock A          
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
MMA Praxis Core Stock B          
MMA Praxis Growth Index A0.18-0.231.031.011.031.3993.5393.5710.619.95
MMA Praxis Growth Index B          
MMA Praxis Small Cap Fund A-4.73-5.130.920.930.400.4891.6288.3013.8813.85
MMA Praxis Small Cap Fund B          
MMA Praxis Value Index A-2.86-1.350.970.980.681.2287.1688.6710.389.87
MMA Praxis Value Index B          
Neuberger Berman Socially Responsive Inv-1.23-0.430.971.010.871.3492.3789.5410.0210.15
Neuberger Berman Socially Responsive Tr-1.39-0.580.961.010.851.3292.4789.5610.0010.14
New Alternatives Fund-2.57-0.480.840.940.360.8125.9034.3916.6715.43
New Covenant Growth Fund3.655.130.720.700.711.1470.3768.0410.499.97
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Parnassus Equity Income-0.130.710.830.900.981.4791.0289.878.698.99
Parnassus Fund-0.91-0.641.091.100.831.2175.8674.4312.5512.19
Parnassus Mid-Cap Fund2.222.490.770.741.171.4586.2985.309.088.99
Parnassus Small Cap Fund          
Parnassus Workplace Fund3.953.681.010.961.291.7077.0078.9111.5010.25
Pax World Growth-2.16-1.981.071.030.821.2097.2894.0610.7810.14
Pax World Growth R          
Pax World Small Cap Fund-0.403.780.650.670.721.2989.8487.489.8210.01
Pax World Small Cap Fund R          
Pax World Women's Equity Fund-1.45-1.410.880.890.811.1889.2385.819.269.14
Sentinel Sustainable Core Opportunities Fund A-1.73-0.940.980.970.841.3297.0096.399.959.40
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Sentinel Sustainable Growth Opp Fund A          
Spectra Green Fund Class N-0.84-1.630.981.010.891.1987.0887.1410.4610.25
Utopia Core Conservative          
Utopia Core Fund          
Utopia Growth Fund          
Utopia Yield Income Fund          
Vanguard FTSE Social Index Fd-0.010.951.061.041.031.5597.3096.3910.7010.12
Walden Social Equity Fund-0.92-1.490.960.960.921.2596.2995.659.709.37
Winslow Green Growth Fund          
Winslow Green Solutions          
International/Global FundsAlpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
American Trust Energy Alternatives Fund          
Calvert Global Alternative Energy A3.677.000.360.450.050.4921.9929.8915.0514.45
Calvert Global Alternative Energy C2.716.020.360.45-0.010.4221.4929.4315.0814.43
Calvert International Opportunities A3.723.480.900.870.711.0083.9584.6912.0711.16
Calvert International Opportunities C2.832.580.900.870.630.9283.9884.7712.0511.16
Calvert World Values Intl Equity A-2.17-1.700.880.890.210.5492.7592.8311.2510.87
Calvert World Values Intl Equity B          
Calvert World Values Intl Equity C-2.96-2.520.880.890.130.4693.0692.9811.2810.88
DFA Emerging Mkts Soc Core Eq Port0.230.330.960.990.330.3197.5797.4215.2714.51
Domini European PacAsia Social Equity A2.682.450.890.930.640.9390.8492.1711.5411.46
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Domini European PacAsia Social Equity Fund2.672.460.900.930.640.9390.9892.2811.5811.45
Domini European Social Equity A          
Domini European Social Equity Fund          
Domini PacAsia Social Equity A          
Domini PacAsia Social Equity Fund          
Guinness Atkinson Alternative Energy Fund-6.664.000.430.58-0.520.1820.3622.0318.7921.92
MMA Praxis International A          
MMA Praxis International B          
Pax World Global Green5.305.040.790.810.831.0870.6670.9811.5311.38
Pax World Global Green R          
Pax World International Fund          
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Pax World International Fund R          
Portfolio 214.563.400.740.750.861.0385.1583.189.909.73
Balanced FundsAlpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Calvert Aggresive Allocation A-2.38-2.271.441.450.901.2389.4488.959.058.83
Calvert Aggresive Allocation C-3.32-3.301.451.450.781.1089.3888.969.108.86
Calvert Conservative Allocation A0.52-0.110.580.641.291.4387.5386.633.683.92
Calvert Conservative Allocation C-0.34-1.010.590.641.051.1887.2586.323.703.92
Calvert Moderate Allocation A-1.43-1.661.101.110.961.2591.4491.676.786.64
Calvert Moderate Allocation C-2.20-2.441.101.110.841.1291.4891.666.816.67
CSIF Balanced Portfolio A-2.89-2.101.101.060.751.1895.1694.086.656.27
CSIF Balanced Portfolio B          
CSIF Balanced Portfolio C-3.66-2.871.101.060.621.0495.1794.126.656.27
Green Century Balanced Fund-3.27-2.491.221.250.701.1285.4885.087.817.81
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Legg Mason Partners Social Awareness A-1.28-1.390.660.680.801.1793.1994.006.836.60
Legg Mason Partners Social Awareness B-2.16-2.380.660.680.661.0192.9293.876.856.61
Legg Mason Partners Social Awareness C-2.04-2.130.670.680.681.0593.2894.086.866.62
New Covenant Balanced Growth Fund-0.280.140.950.940.861.2291.3690.476.175.97
New Covenant Balanced Income Fund-0.49-0.700.610.611.051.3094.8791.973.673.66
Pax World Balanced Fund-2.09-1.841.041.060.861.2195.3192.826.266.30
Pax World Balanced R          
Walden Social Balanced Fund-1.39-1.661.131.151.001.2794.7793.346.886.83
Fixed Income FundsAlpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Access Cap Strat Community Inv Fd0.930.760.670.851.120.7583.2476.891.611.95
CRA Qualified Investment Fund-0.12-0.630.740.820.760.3690.5290.912.212.43
CRA Qualified Investment Fund Retail-0.01-0.560.750.830.800.4089.5790.682.222.48
CSIF Bond Portfolio A0.370.060.951.060.930.6486.8589.272.883.18
CSIF Bond Portfolio B          
CSIF Bond Portfolio C-0.49-0.780.931.050.620.3786.4689.042.853.17
Domini Social Bond Fund-0.47-0.540.740.640.730.5188.4284.362.942.71
DWS GNMA Fund S0.540.110.400.790.760.3139.3141.731.392.47
LKCM Aquinas Fixed Income          
MMA Praxis Intermediate Income A-0.20-0.040.890.880.770.6499.1498.782.522.51
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
MMA Praxis Intermediate Income B          
New Covenant Income Fund0.290.060.660.690.980.6795.1295.831.911.99
Parnassus Fixed Income0.05-0.340.860.890.860.5197.2094.982.472.57
Pax World High Yield Bond Fund-2.63-1.510.970.930.450.8190.4690.695.885.08
PIMCO Low Duration Fund III Admin0.450.160.140.290.770.5014.6935.501.021.37
PIMCO Total Return III Admin0.12-0.180.961.040.780.5474.9381.123.143.29
Institutional FundsAlpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Calvert Global Alternative Energy I4.077.470.360.450.080.5221.9629.7214.9714.39
Calvert International Opportunities I4.153.930.900.870.751.0584.2984.9912.0611.15
Calvert Large Cap Growth I          
Calvert Mid Cap Value I          
Calvert New Vision Small Cap I          
Calvert Social Index I-0.60-0.211.051.040.981.4298.0097.4210.579.99
Calvert World Values Intl Equity I-1.72-1.160.880.890.250.5992.7492.7511.2610.87
CNI Charter Socially Responsible Equity I-6.12-4.501.051.040.360.8679.2681.5911.7810.97
CRA Qualified Investment Fund I0.30-0.210.750.820.950.5489.4690.292.222.45
CSIF Balanced Portfolio I-2.49-1.671.101.060.811.2595.1094.096.646.27
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
CSIF Bond Portfolio I0.800.560.941.061.090.8087.9489.802.843.16
CSIF Equity Portfolio I0.670.300.880.901.061.4188.0388.369.329.11
Domini Institutional Social Equity Fund-4.73-3.301.021.060.511.0590.2791.1110.7710.54
Dreyfus Premier Third Century I-3.09-2.001.011.030.701.2195.5195.4510.3210.03
Dreyfus Socially Resp Growth I-3.06-1.941.011.030.701.2195.4495.4310.3510.05
Gabelli SRI Fund Inc I-1.25-2.700.900.940.841.0487.5685.929.609.69
MMA Praxis Core Stock I          
MMA Praxis Growth Index I0.580.241.031.011.071.4493.4293.4310.629.93
MMA Praxis Intermediate Income I0.150.340.890.880.910.7998.9098.642.532.51
MMA Praxis International I          
MMA Praxis Small Cap Fund I-4.17-4.840.920.950.450.5391.6691.4013.9013.99
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
MMA Praxis Value Index I-2.45-0.960.980.990.721.2787.1688.6510.449.96
Pax World Balanced I-1.87-1.621.041.060.891.2595.3392.756.276.31
Pax World Global Green I5.555.270.790.820.851.1070.7071.0911.5411.41
Pax World Growth I-1.88-1.711.061.030.841.2397.2994.0610.7710.13
Pax World International Fund I          
Pax World Small Cap Fund I-0.144.020.650.670.751.3289.7387.439.8310.03
Pax World Women's Equity Fund I-1.22-1.170.880.890.841.2089.1785.799.279.14
PIMCO Low Duration Fund III I0.700.410.140.291.020.6914.7435.521.021.37
PIMCO Total Return III I0.380.080.961.040.860.6274.8981.103.143.29
Portfolio 21 I4.843.690.740.750.891.0685.1283.189.919.73
Sentinel Sustainable Core Opportunities Fund I-1.45-0.670.980.970.871.3697.0196.409.969.41
 Alpha
3YR
Alpha
5YR
Beta
3YR
Beta
5YR
Sharpe
3YR
Sharpe
5YR
R. Sq.
3YR
R. Sq.
5YR
Stdv.
3YR
Stdv.
5YR
Sentinel Sustainable Growth Opp Fund I          
TIAA CREF Inst Social Choice Equity Retail-1.54-0.931.011.030.871.3497.3596.8010.229.94
TIAA-CREF Inst Social Choice Equity Retire-1.51-0.911.011.030.871.3497.3196.7810.209.94
Vanguard FTSE Social Index I0.121.061.061.041.051.5697.2996.4110.6810.11
Winslow Green Growth I          

Definitions of Modern Portfolio Theory Statistics

Alpha
A measure of risk adjusted performance used to quantify the difference between the security's actual performance and the performance anticipated in light of the security's risk (beta) and the market's (relative market index) behavior. In short, alpha tells us how much better, or worse, a security did relative to what it was expected to do based on its risk posture. A positive alpha indicates a security's return has been more than commensurate with its risk posture. Higher numbers are better than lower.

Beta
A measure of a security's volatility in relation to the equity market as measured by the market index relative to each security's investment category. This statistic reflects only the market-related portion of a security's risk, and so is a narrower measure than standard deviation, which reflects total risk (market related and unique.) In general, the volatility of the relative market index is considered to be 1.00, so beta of 1.50 would indicate a volatility level 50% greater than that of the market. Since this statistic is relative to the market, betas for securities with little or no correlation to the market are less significant. You may wish to consider R-Squared as a measure of more significance of this statistic.

R - Squared
A measure of a security's diversification in relation to the market, this statistic indicates the percentage of a security's risk which cannot be eliminated through further diversification. In precise percentage terms, this figure indicates just how closely a security's performance variation paralleled the market over the same time period. Lower figures indicate less correlation with the market, and hence lower significance of the beta statistic. A relative market index is used as a proxy for the market when measuring R-Squared.

Sharpe ratio
A measure of risk-adjusted performance calculated by dividing the excess return of a portfolio above the risk-free rate by its standard deviation. Higher values are desirable and indicate greater return per unit of risk.

Standard deviation (Stdv.)
A statistical measure of the month-to-month ups and downs of a security's returns. Money-market securities, which have stable asset values, have standard deviations of zero. Volatile, aggressive-growth portfolios can have standard deviations of 6 percent or more.

 

 
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