The Jantzi Social Index^® was backtested by State Street Global Advisors (SSgA) in Montreal for the period of December 1994 to December 1999. Jantzi-Sustainalytics provided SSgA with a portfolio of screened companies for each year tested. As no dates of approval for inclusion in the index were given, the portfolio had to be restated on a yearly basis with the new universe. It was therefore assumed that all companies were eligible for purchase on January 1st of every year but that the eligible universe also changed every year. Companies were only added when historical information was available. Rebalancing occurred monthly and market capitalization weighting was used. Because of lack of historical information, some smaller companies had to be excluded over certain time periods. See Statistical Review Disclaimer.

Value of $100 Invested

Explanation of Standard Deviation and the Sharpe Ratio

Standard deviation (or risk) is a statistical measure of the range that a stock's (or index's) return fluctuates within over a specific time period compared with its average return. If two stocks (or indexes) have the same average return, investors should prefer the one with the lower standard deviation.

However, since two stocks may have different average returns, the Sharpe Ratio is used to asses the risk associated with the investment on a relative basis. The Sharpe Ratio is a return-per-unit-of-risk measure. It is equal to the investment return minus the "risk free" rate, divided by the investment's standard deviation.

Note: The higher the Sharpe Ratio is the "better" the investment is because the risk-adjusted return of the investment is higher.