VUSA-IITU-Europe

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

VUSA-IITU-Europe

Currency in USD · Last updated May 15, 2025

Asset Allocation

Position	Category/Sector	Target Weight
AZN AstraZeneca PLC	Healthcare	6.25%
BSP.DE BAE Systems plc	Industrials	6.25%
GSK GlaxoSmithKline plc	Healthcare	6.25%
IITU.L iShares S&P 500 USD Information Technology Sector UCITS	Technology Equities	15%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	Consumer Cyclical	6.25%
NVO Novo Nordisk A/S	Healthcare	6.25%
NVS Novartis AG	Healthcare	6.25%
OR.PA L'Oréal S.A.	Consumer Defensive	6.25%
SAP SAP SE	Technology	6.25%
VUSA.L Vanguard S&P 500 UCITS ETF	Large Cap Blend Equities	35%

Benchmark

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Dec 18, 2019, corresponding to the inception date of BSP.DE

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.19%	9.00%	-1.55%	12.31%	15.59%	10.78%
VUSA-IITU-Europe	5.24%	6.61%	3.41%	5.44%	17.84%	N/A
Portfolio components:
BSP.DE BAE Systems plc	60.36%	2.99%	33.77%	36.91%	34.60%	N/A
GSK GlaxoSmithKline plc	8.27%	2.66%	5.49%	-17.44%	1.42%	2.57%
NVO Novo Nordisk A/S	-23.92%	-2.50%	-38.78%	-50.58%	16.51%	10.77%
AZN AstraZeneca PLC	2.50%	-2.62%	2.86%	-12.29%	6.65%	10.08%
SAP SAP SE	18.18%	12.12%	26.51%	55.32%	22.33%	16.16%
NVS Novartis AG	11.78%	-4.08%	4.73%	5.28%	9.84%	6.02%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-9.15%	4.41%	-1.15%	-30.28%	11.85%	14.56%
VUSA.L Vanguard S&P 500 UCITS ETF	-0.22%	8.59%	-1.27%	13.72%	16.78%	14.32%
IITU.L iShares S&P 500 USD Information Technology Sector UCITS	-2.16%	15.58%	-0.06%	20.14%	23.25%	N/A
OR.PA L'Oréal S.A.	19.86%	6.66%	22.79%	-14.15%	11.32%	9.82%

*Annualized

Monthly Returns

The table below presents the monthly returns of VUSA-IITU-Europe, 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	3.95%	0.89%	-3.97%	1.90%	2.53%								5.24%
2024	3.47%	4.20%	3.33%	-2.24%	4.24%	2.72%	-0.58%	4.08%	-1.20%	-3.41%	0.74%	-2.06%	13.63%
2023	6.45%	-1.73%	7.92%	3.87%	-1.01%	5.22%	1.73%	-0.36%	-4.21%	-0.92%	8.08%	4.51%	32.71%
2022	-5.30%	-0.79%	3.57%	-5.24%	-1.47%	-5.06%	5.74%	-5.83%	-7.63%	6.58%	8.52%	-2.06%	-10.13%
2021	-1.44%	1.08%	2.88%	6.30%	3.16%	2.44%	2.94%	2.47%	-5.14%	6.70%	-1.36%	4.94%	27.26%
2020	0.70%	-8.42%	-6.24%	9.11%	3.56%	3.12%	3.78%	6.79%	-3.11%	-7.24%	12.23%	4.11%	17.25%
2019												1.65%	1.65%

Expense Ratio

VUSA-IITU-Europe has an expense ratio of 0.05%, 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.

IITU.L

iShares S&P 500 USD Information Technology Sector UCITS

VUSA.L

Vanguard S&P 500 UCITS ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of VUSA-IITU-Europe is 10, meaning it’s performing worse than 90% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
BSP.DE BAE Systems plc	1.03	1.67	1.20	1.52	3.28
GSK GlaxoSmithKline plc	-0.64	-0.85	0.89	-0.64	-1.17
NVO Novo Nordisk A/S	-1.19	-1.83	0.76	-0.85	-1.56
AZN AstraZeneca PLC	-0.53	-0.69	0.91	-0.51	-0.89
SAP SAP SE	1.88	2.50	1.32	2.62	10.72
NVS Novartis AG	0.27	0.59	1.08	0.33	0.70
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-0.85	-1.01	0.88	-0.58	-1.42
VUSA.L Vanguard S&P 500 UCITS ETF	0.79	1.05	1.15	0.64	2.46
IITU.L iShares S&P 500 USD Information Technology Sector UCITS	0.75	0.96	1.13	0.59	1.89
OR.PA L'Oréal S.A.	-0.50	-0.56	0.94	-0.42	-0.65

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

VUSA-IITU-Europe Sharpe ratios as of May 15, 2025 (values are recalculated daily):

1-Year: 0.37
5-Year: 1.21
All Time: 0.89

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.54 to 1.03, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of VUSA-IITU-Europe compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

VUSA-IITU-Europe provided a 1.70% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.70%	1.64%	1.54%	1.83%	1.70%	2.17%	1.54%	1.92%	1.80%	2.14%	2.54%	1.95%
Portfolio components:
BSP.DE BAE Systems plc	2.26%	3.13%	2.91%	3.66%	5.09%	8.81%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
GSK GlaxoSmithKline plc	4.34%	4.65%	3.75%	4.78%	4.94%	5.49%	4.28%	5.57%	5.72%	7.09%	5.96%	6.09%
NVO Novo Nordisk A/S	2.50%	1.68%	1.00%	1.20%	1.34%	1.86%	2.14%	2.47%	2.12%	3.93%	1.31%	1.96%
AZN AstraZeneca PLC	2.31%	2.27%	2.15%	2.14%	2.40%	2.80%	2.81%	3.61%	3.95%	5.01%	4.06%	3.98%
SAP SAP SE	1.71%	0.97%	1.41%	2.58%	1.56%	1.31%	1.27%	1.73%	1.18%	1.51%	1.50%	3.39%
NVS Novartis AG	3.80%	3.84%	3.44%	3.91%	4.08%	3.40%	2.87%	3.72%	3.50%	4.06%	3.51%	3.14%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	2.39%	2.14%	1.65%	1.78%	0.99%	1.64%	1.49%	2.21%	1.60%	2.10%	12.91%	2.40%
VUSA.L Vanguard S&P 500 UCITS ETF	1.08%	1.00%	1.24%	1.41%	1.04%	1.44%	1.50%	1.72%	1.61%	1.58%	1.73%	1.50%
IITU.L iShares S&P 500 USD Information Technology Sector UCITS	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
OR.PA L'Oréal S.A.	1.88%	1.93%	1.33%	1.44%	0.96%	1.24%	1.46%	1.76%	1.78%	1.79%	1.74%	1.79%

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 VUSA-IITU-Europe. 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 VUSA-IITU-Europe was 29.56%, occurring on Mar 23, 2020. Recovery took 81 trading sessions.

The current VUSA-IITU-Europe drawdown is 1.56%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-29.56%	Feb 13, 2020	28	Mar 23, 2020	81	Jul 15, 2020	109
-22.12%	Dec 31, 2021	191	Sep 26, 2022	132	Mar 30, 2023	323
-14.52%	Mar 4, 2025	25	Apr 7, 2025	—	—	—
-11.63%	Sep 3, 2020	42	Oct 30, 2020	20	Nov 27, 2020	62
-7.65%	Aug 30, 2024	95	Jan 13, 2025	35	Mar 3, 2025	130

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 10 assets, with an effective number of assets of 5.67, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	BSP.DE	NVO	AZN	GSK	NVS	IITU.L	OR.PA	LVMUY	SAP	VUSA.L	Portfolio
^GSPC	1.00	0.17	0.36	0.30	0.35	0.36	0.58	0.36	0.57	0.65	0.63	0.70
BSP.DE	0.17	1.00	0.14	0.17	0.23	0.22	0.20	0.24	0.15	0.19	0.27	0.40
NVO	0.36	0.14	1.00	0.46	0.39	0.40	0.21	0.28	0.28	0.34	0.21	0.47
AZN	0.30	0.17	0.46	1.00	0.57	0.55	0.13	0.31	0.27	0.32	0.19	0.45
GSK	0.35	0.23	0.39	0.57	1.00	0.56	0.13	0.31	0.29	0.33	0.22	0.46
NVS	0.36	0.22	0.40	0.55	0.56	1.00	0.12	0.29	0.30	0.37	0.21	0.45
IITU.L	0.58	0.20	0.21	0.13	0.13	0.12	1.00	0.43	0.38	0.44	0.88	0.79
OR.PA	0.36	0.24	0.28	0.31	0.31	0.29	0.43	1.00	0.55	0.42	0.50	0.66
LVMUY	0.57	0.15	0.28	0.27	0.29	0.30	0.38	0.55	1.00	0.55	0.45	0.63
SAP	0.65	0.19	0.34	0.32	0.33	0.37	0.44	0.42	0.55	1.00	0.46	0.65
VUSA.L	0.63	0.27	0.21	0.19	0.22	0.21	0.88	0.50	0.45	0.46	1.00	0.85
Portfolio	0.70	0.40	0.47	0.45	0.46	0.45	0.79	0.66	0.63	0.65	0.85	1.00

The correlation results are calculated based on daily price changes starting from Dec 19, 2019

Performance Analysis

Risk Analysis

Optimization

Factor Model

VUSA-IITU-Europe

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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