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3 Brit stocks on euronext amsterdam
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


REN.AS 33.33%SHELL.AS 33.33%UNA.AS 33.33%EquityEquity
PositionCategory/SectorWeight
REN.AS
Relx PLC
Industrials
33.33%
SHELL.AS
Shell plc
Energy
33.33%
UNA.AS
Unilever PLC
Consumer Defensive
33.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 3 Brit stocks on euronext amsterdam, 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 Quarterly


1,200.00%1,300.00%1,400.00%1,500.00%MayJuneJulyAugustSeptemberOctober
1,367.78%
1,488.10%
3 Brit stocks on euronext amsterdam
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 9, 1990, corresponding to the inception date of UNA.AS

Returns By Period

As of Oct 3, 2024, the 3 Brit stocks on euronext amsterdam returned 21.51% Year-To-Date and 10.52% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
19.70%1.08%9.56%34.99%14.15%11.26%
3 Brit stocks on euronext amsterdam21.51%-0.31%15.20%30.96%11.79%10.36%
REN.AS
Relx PLC
21.97%1.73%14.99%41.17%17.95%14.80%
SHELL.AS
Shell plc
6.08%-2.18%-1.69%13.56%7.76%4.49%
UNA.AS
Unilever PLC
36.16%-1.04%33.32%36.67%5.09%8.53%

Monthly Returns

The table below presents the monthly returns of 3 Brit stocks on euronext amsterdam, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.37%2.62%2.53%2.05%4.43%2.24%5.21%1.00%-1.57%21.51%
20233.77%2.23%1.46%6.61%-8.02%6.12%2.07%-1.49%1.73%-0.30%4.66%1.68%21.57%
20221.65%1.73%-0.54%-0.30%3.52%-8.25%6.11%-5.02%-4.99%7.61%7.05%-1.42%5.91%
20210.74%-1.33%3.04%2.26%1.70%1.59%3.58%-0.45%1.93%2.95%-3.49%4.19%17.74%
2020-0.98%-12.03%-9.67%0.59%0.00%1.87%-1.37%1.82%-3.46%-5.48%20.82%3.16%-7.90%
20193.49%2.69%0.14%4.60%0.71%3.30%-3.23%-0.48%0.43%-0.31%0.44%1.11%13.40%
20181.38%-7.87%2.74%5.11%0.57%-0.87%1.24%-0.27%-0.87%-5.37%1.67%-1.68%-4.81%
2017-0.72%6.36%3.83%3.80%7.95%-2.10%4.59%0.96%3.24%2.85%1.59%1.06%38.46%
2016-2.37%1.74%5.32%1.92%-0.08%4.63%0.17%-1.75%1.09%-4.87%-1.51%4.90%9.00%
20151.44%3.48%-4.08%3.64%-2.48%-3.27%5.78%-8.26%-0.87%9.62%-1.65%-3.16%-1.13%
2014-4.20%6.73%0.81%2.71%4.60%2.82%-2.14%0.38%-3.15%-2.64%2.91%-2.34%6.00%
20135.08%-3.71%5.47%1.89%-0.33%-2.50%8.21%-4.76%5.69%1.10%2.62%2.49%22.38%

Expense Ratio

3 Brit stocks on euronext amsterdam has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of 3 Brit stocks on euronext amsterdam is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of 3 Brit stocks on euronext amsterdam is 7878
3 Brit stocks on euronext amsterdam
The Sharpe Ratio Rank of 3 Brit stocks on euronext amsterdam is 6262Sharpe Ratio Rank
The Sortino Ratio Rank of 3 Brit stocks on euronext amsterdam is 7272Sortino Ratio Rank
The Omega Ratio Rank of 3 Brit stocks on euronext amsterdam is 6565Omega Ratio Rank
The Calmar Ratio Rank of 3 Brit stocks on euronext amsterdam is 9797Calmar Ratio Rank
The Martin Ratio Rank of 3 Brit stocks on euronext amsterdam is 9393Martin 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.


3 Brit stocks on euronext amsterdam
Sharpe ratio
The chart of Sharpe ratio for 3 Brit stocks on euronext amsterdam, currently valued at 2.65, compared to the broader market-1.000.001.002.003.004.005.002.65
Sortino ratio
The chart of Sortino ratio for 3 Brit stocks on euronext amsterdam, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for 3 Brit stocks on euronext amsterdam, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for 3 Brit stocks on euronext amsterdam, currently valued at 7.13, compared to the broader market0.002.004.006.008.0010.0012.007.13
Martin ratio
The chart of Martin ratio for 3 Brit stocks on euronext amsterdam, currently valued at 24.88, compared to the broader market0.0010.0020.0030.0040.0050.0024.88
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.64, compared to the broader market-1.000.001.002.003.004.005.002.64
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.52, compared to the broader market-2.000.002.004.006.003.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.48, compared to the broader market0.801.001.201.401.601.801.48
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.34, compared to the broader market0.002.004.006.008.0010.0012.002.34
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.17, compared to the broader market0.0010.0020.0030.0040.0050.0016.17

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
REN.AS
Relx PLC
2.453.261.424.9014.29
SHELL.AS
Shell plc
0.560.871.110.912.22
UNA.AS
Unilever PLC
2.534.141.510.5717.88

Sharpe Ratio

The current 3 Brit stocks on euronext amsterdam Sharpe ratio is 2.65. 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 2.13 to 2.86, 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 3 Brit stocks on euronext amsterdam 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.65
2.64
3 Brit stocks on euronext amsterdam
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

3 Brit stocks on euronext amsterdam granted a 2.99% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
3 Brit stocks on euronext amsterdam2.99%3.27%3.33%3.16%3.98%4.04%4.12%3.85%4.33%4.85%3.95%4.12%
REN.AS
Relx PLC
1.93%2.06%2.78%2.24%2.92%2.53%2.91%2.63%3.22%3.56%3.25%3.58%
SHELL.AS
Shell plc
4.08%3.86%3.56%3.61%5.72%6.43%6.24%5.96%6.55%8.08%5.12%5.18%
UNA.AS
Unilever PLC
2.96%3.89%3.64%3.63%3.31%3.16%3.21%2.95%3.23%2.92%3.46%3.59%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.05%
-0.92%
3 Brit stocks on euronext amsterdam
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 3 Brit stocks on euronext amsterdam. 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 3 Brit stocks on euronext amsterdam was 48.80%, occurring on Mar 3, 2009. Recovery took 909 trading sessions.

The current 3 Brit stocks on euronext amsterdam drawdown is 2.05%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.8%Dec 31, 2007300Mar 3, 2009909Sep 13, 20121209
-45.47%Apr 7, 1998491Mar 13, 20001988Dec 21, 20072479
-38.5%Jun 26, 2019191Mar 23, 2020349Aug 3, 2021540
-20%Jul 4, 2014396Jan 20, 201662Apr 19, 2016458
-16.56%Aug 3, 1990239Aug 19, 199149Nov 6, 1991288

Volatility

Volatility Chart

The current 3 Brit stocks on euronext amsterdam volatility is 3.32%, 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%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
3.32%
3.33%
3 Brit stocks on euronext amsterdam
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.

UNA.ASSHELL.ASREN.AS
UNA.AS1.000.320.36
SHELL.AS0.321.000.38
REN.AS0.360.381.00
The correlation results are calculated based on daily price changes starting from Jul 10, 1990