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Europe

Last updated Feb 24, 2024

1. Europe: VGK

Asset Allocation


VGK 100%EquityEquity
PositionCategory/SectorWeight
VGK
Vanguard FTSE Europe ETF
Europe Equities

100%

S&P 500

Performance

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


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
10.38%
15.51%
Europe
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 10, 2005, corresponding to the inception date of VGK

Returns

As of Feb 24, 2024, the Europe returned 1.55% Year-To-Date and 4.27% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
Europe1.55%3.35%10.38%13.94%7.61%4.32%
VGK
Vanguard FTSE Europe ETF
1.55%3.35%10.38%13.94%7.61%4.32%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.23%
20232.90%-4.05%-4.49%-3.09%9.76%5.40%

Sharpe Ratio

The current Europe Sharpe ratio is 0.86. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.86

The Sharpe ratio of Europe is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.00SeptemberOctoberNovemberDecember2024February
0.86
2.23
Europe
Benchmark (^GSPC)
Portfolio components

Dividend yield

Europe granted a 3.10% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Europe3.10%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
VGK
Vanguard FTSE Europe ETF
3.10%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%

Expense Ratio

The Europe has an expense ratio of 0.08% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.08%
0.00%2.15%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
Europe
0.86
VGK
Vanguard FTSE Europe ETF
0.86

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February00
Europe
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 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 Europe was 63.61%, occurring on Mar 9, 2009. Recovery took 1281 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-63.61%Nov 1, 2007339Mar 9, 20091281Apr 9, 20141620
-37.24%Jan 29, 2018538Mar 18, 2020175Nov 24, 2020713
-32.74%Sep 3, 2021268Sep 27, 2022352Feb 22, 2024620
-24.94%Jul 7, 2014405Feb 11, 2016317May 16, 2017722
-14.06%May 11, 200623Jun 13, 200679Oct 4, 2006102

Volatility Chart

The current Europe volatility is 3.61%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
3.61%
3.90%
Europe
Benchmark (^GSPC)
Portfolio components
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