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True PEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

True PEA

Last updated Sep 21, 2024

Asset Allocation

PE500.PA 66.67%NVO 33.33%EquityEquity
PositionCategory/SectorWeight
NVO
Novo Nordisk A/S		Healthcare
33.33%
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		Large Cap Blend Equities
66.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in True PEA, 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

100.00%150.00%200.00%AprilMayJuneJulyAugustSeptember
204.06%
100.78%
True PEA
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 20, 2019, corresponding to the inception date of PE500.PA

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%2.37%8.95%32.00%13.81%11.08%
True PEA22.65%-1.64%6.49%35.86%22.41%N/A
Portfolio components:
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		20.87%0.79%9.70%32.28%14.89%N/A
NVO
Novo Nordisk A/S		24.36%-6.91%-0.60%40.91%36.16%18.33%

Monthly Returns

The table below presents the monthly returns of True PEA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.36%4.04%5.09%-1.84%3.93%5.57%-1.94%2.38%22.65%
20234.73%-0.59%6.18%2.89%-0.71%4.52%1.82%4.46%-3.65%0.28%7.58%3.39%34.93%
2022-7.99%-0.53%5.88%-4.21%-2.62%-4.97%7.03%-4.70%-7.23%6.79%7.05%0.45%-6.65%
20210.28%2.67%0.83%6.59%2.69%3.78%5.19%4.81%-4.01%8.81%-0.79%4.38%40.63%
20202.34%-8.19%-4.23%8.60%3.66%1.16%3.27%6.24%-0.86%-4.61%8.60%3.66%19.68%
2019-1.79%6.67%-0.44%1.14%1.11%3.49%3.19%2.68%16.95%

Expense Ratio

True PEA has an expense ratio of 0.17%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR
Expense ratio chart for PE500.PA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of True PEA is 79, placing it in the top 21% 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 True PEA is 7979
True PEA
The Sharpe Ratio Rank of True PEA is 7777Sharpe Ratio Rank
The Sortino Ratio Rank of True PEA is 7979Sortino Ratio Rank
The Omega Ratio Rank of True PEA is 7777Omega Ratio Rank
The Calmar Ratio Rank of True PEA is 8888Calmar Ratio Rank
The Martin Ratio Rank of True PEA is 7474Martin 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.

True PEA
Sharpe ratio
The chart of Sharpe ratio for True PEA, currently valued at 2.53, compared to the broader market-1.000.001.002.003.004.005.002.53
Sortino ratio
The chart of Sortino ratio for True PEA, currently valued at 3.51, compared to the broader market-2.000.002.004.006.003.51
Omega ratio
The chart of Omega ratio for True PEA, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.801.46
Calmar ratio
The chart of Calmar ratio for True PEA, currently valued at 3.85, compared to the broader market0.002.004.006.008.0010.003.85
Martin ratio
The chart of Martin ratio for True PEA, currently valued at 15.26, compared to the broader market0.0010.0020.0030.0040.0015.26
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		2.823.921.522.9216.18
NVO
Novo Nordisk A/S		1.341.991.252.207.44

Sharpe Ratio

The current True PEA Sharpe ratio is 2.53. 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 1.91 to 2.59, 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 True PEA 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.53
2.32
True PEA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

True PEA granted a 0.27% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
True PEA0.27%0.12%0.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Portfolio components:
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVO
Novo Nordisk A/S		0.80%0.36%0.42%0.00%0.00%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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-2.98%
-0.19%
True PEA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the True PEA. 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 True PEA was 29.65%, occurring on Mar 23, 2020. Recovery took 85 trading sessions.

The current True PEA drawdown is 3.00%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.65%Feb 18, 202025Mar 23, 202085Jul 21, 2020110
-20.09%Dec 17, 2021201Sep 26, 2022129Mar 27, 2023330
-9.56%Jul 16, 202417Aug 7, 2024———
-9.37%Oct 13, 202014Oct 30, 202022Dec 1, 202036
-7.57%Sep 12, 202316Oct 3, 202330Nov 14, 202346

Volatility

Volatility Chart

The current True PEA volatility is 4.92%, 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%7.00%AprilMayJuneJulyAugustSeptember
4.92%
4.31%
True PEA
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.
NVOPE500.PA
NVO1.000.24
PE500.PA0.241.00
The correlation results are calculated based on daily price changes starting from May 21, 2019