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Europe
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ASML 8.33%DSY.PA 8.33%RMS.PA 8.33%MC.PA 8.33%OR.PA 8.33%AI.PA 8.33%SAN.PA 8.33%SOF.BR 8.33%ACKB.BR 8.33%UL 8.33%TTE 8.33%EL.PA 8.33%EquityEquity
PositionCategory/SectorWeight
ACKB.BR
Ackermans & Van Haaren NV
Industrials

8.33%

AI.PA
L'Air Liquide S.A.
Basic Materials

8.33%

ASML
ASML Holding N.V.
Technology

8.33%

DSY.PA
Dassault Systèmes SE
Technology

8.33%

EL.PA
EssilorLuxottica Société anonyme
Healthcare

8.33%

MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
Consumer Cyclical

8.33%

OR.PA
L'Oréal S.A.
Consumer Defensive

8.33%

RMS.PA
Hermès International Société en commandite par actions
Consumer Cyclical

8.33%

SAN.PA
Sanofi
Healthcare

8.33%

SOF.BR
Sofina Société Anonyme
Financial Services

8.33%

TTE
TotalEnergies SE
Energy

8.33%

UL
The Unilever Group
Consumer Defensive

8.33%

S&P 500

Performance

Performance Chart

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%2024FebruaryMarchAprilMayJune
3.79%
15.07%
Europe
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 2, 1996, corresponding to the inception date of DSY.PA

Returns By Period

As of Jun 19, 2024, the Europe returned 3.45% Year-To-Date and 12.22% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.04%3.47%15.07%24.43%13.22%10.85%
Europe 3.45%-3.38%3.79%9.67%13.63%12.22%
ASML
ASML Holding N.V.
40.77%14.75%43.07%48.31%39.52%27.78%
DSY.PA
Dassault Systèmes SE
-21.90%-7.08%-21.78%-14.89%3.77%11.60%
RMS.PA
Hermès International Société en commandite par actions
8.18%-8.72%4.50%6.98%26.09%20.96%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-4.15%-9.70%-5.20%-16.09%14.20%17.28%
OR.PA
L'Oréal S.A.
-2.24%-1.57%-1.76%7.93%11.87%11.96%
AI.PA
L'Air Liquide S.A.
-1.04%-4.67%-0.76%9.05%12.72%8.86%
SAN.PA
Sanofi
-1.23%-3.08%0.20%-5.20%5.03%2.34%
SOF.BR
Sofina Société Anonyme
-6.88%-6.11%-5.98%9.78%4.92%8.35%
ACKB.BR
Ackermans & Van Haaren NV
-0.19%-4.88%2.25%5.78%4.40%4.67%
UL
The Unilever Group
18.33%2.98%19.69%12.53%1.50%5.48%
TTE
TotalEnergies SE
-0.03%-9.06%0.38%18.88%10.12%4.34%
EL.PA
EssilorLuxottica Société anonyme
12.44%-2.55%12.04%21.13%12.94%8.72%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.70%2.48%2.03%-2.56%3.11%3.45%
20238.51%-1.50%5.16%4.76%-4.86%4.24%2.68%-4.78%-5.55%-1.14%9.34%5.41%22.89%
2022-6.87%-3.79%-0.39%-6.38%-0.82%-8.99%8.38%-7.74%-8.95%8.69%14.91%-0.61%-14.77%
2021-1.98%3.29%3.85%6.11%5.68%1.73%3.39%0.88%-5.82%6.96%0.03%4.39%31.58%
2020-0.98%-7.30%-6.58%5.36%8.43%3.16%2.85%3.68%-2.72%-4.97%16.69%4.91%21.96%
20194.27%3.18%2.04%5.75%-4.52%7.32%-1.55%0.01%3.73%3.14%1.27%3.10%30.84%
20186.25%-3.48%2.58%4.00%0.86%-0.19%4.83%0.24%-0.28%-8.39%-0.88%-2.34%2.34%
20171.89%2.26%6.35%4.61%4.73%-2.26%3.86%0.97%3.04%2.21%-0.06%0.31%31.40%
2016-2.14%-0.68%5.92%1.37%1.63%-0.75%3.89%-0.78%1.62%-2.98%-1.94%4.14%9.25%
20150.53%4.56%-2.35%6.23%1.45%-2.34%4.40%-7.25%-0.08%6.81%-4.59%-2.63%3.71%
2014-6.47%5.28%1.31%3.76%1.48%1.35%-4.18%1.43%-2.30%-2.10%3.50%-1.49%0.91%
20136.04%-2.48%1.20%4.55%2.28%-4.22%6.50%-2.27%6.53%0.56%-0.46%2.71%22.16%

Expense Ratio

Europe 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 rank of Europe is 13, indicating that it is in the bottom 13% 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 Europe is 1313
Europe
The Sharpe Ratio Rank of Europe is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of Europe is 1111Sortino Ratio Rank
The Omega Ratio Rank of Europe is 1111Omega Ratio Rank
The Calmar Ratio Rank of Europe is 2323Calmar Ratio Rank
The Martin Ratio Rank of Europe is 1212Martin 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.


Europe
Sharpe ratio
The chart of Sharpe ratio for Europe , currently valued at 0.76, compared to the broader market0.002.004.006.000.76
Sortino ratio
The chart of Sortino ratio for Europe , currently valued at 1.15, compared to the broader market-2.000.002.004.006.001.15
Omega ratio
The chart of Omega ratio for Europe , currently valued at 1.13, compared to the broader market0.801.001.201.401.601.801.13
Calmar ratio
The chart of Calmar ratio for Europe , currently valued at 0.81, compared to the broader market0.002.004.006.008.0010.000.81
Martin ratio
The chart of Martin ratio for Europe , currently valued at 2.19, compared to the broader market0.0010.0020.0030.0040.0050.002.19
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.006.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market-2.000.002.004.006.003.07
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.73, compared to the broader market0.002.004.006.008.0010.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0010.0020.0030.0040.0050.008.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ASML
ASML Holding N.V.
1.412.011.251.394.15
DSY.PA
Dassault Systèmes SE
-0.43-0.450.94-0.25-0.74
RMS.PA
Hermès International Société en commandite par actions
0.360.691.080.420.99
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-0.53-0.630.93-0.49-0.82
OR.PA
L'Oréal S.A.
0.420.721.090.561.37
AI.PA
L'Air Liquide S.A.
0.480.841.100.771.96
SAN.PA
Sanofi
-0.34-0.250.95-0.40-0.83
SOF.BR
Sofina Société Anonyme
0.520.931.110.211.39
ACKB.BR
Ackermans & Van Haaren NV
0.420.671.090.290.99
UL
The Unilever Group
0.851.471.170.671.74
TTE
TotalEnergies SE
1.121.541.191.606.08
EL.PA
EssilorLuxottica Société anonyme
1.101.581.191.053.60

Sharpe Ratio

The current Europe Sharpe ratio is 0.76. 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 1.38 to 2.37, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Europe 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 Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.76
2.17
Europe
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Europe granted a 2.09% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Europe 2.09%2.03%2.15%1.74%2.13%1.84%2.19%1.99%2.08%2.09%2.33%2.17%
ASML
ASML Holding N.V.
0.62%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.78%0.75%
DSY.PA
Dassault Systèmes SE
0.64%0.47%0.51%0.21%0.42%0.44%0.56%0.60%0.65%0.58%0.82%0.89%
RMS.PA
Hermès International Société en commandite par actions
0.64%0.68%0.55%0.30%0.52%0.68%1.34%0.84%0.86%0.95%0.92%0.95%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
1.83%1.70%1.76%0.96%0.90%1.50%2.09%1.71%1.98%2.28%3.58%2.26%
OR.PA
L'Oréal S.A.
1.49%1.33%1.44%0.96%1.24%1.46%1.76%1.78%1.79%1.74%1.79%1.80%
AI.PA
L'Air Liquide S.A.
1.79%1.67%1.99%1.79%2.01%1.91%2.44%2.25%2.40%2.46%2.25%2.43%
SAN.PA
Sanofi
4.25%3.97%3.71%3.63%4.02%3.44%4.03%4.14%3.83%3.65%3.72%3.61%
SOF.BR
Sofina Société Anonyme
1.57%1.44%1.52%0.70%1.05%1.45%1.61%1.95%1.96%2.21%2.50%2.50%
ACKB.BR
Ackermans & Van Haaren NV
2.10%1.95%1.72%1.39%1.89%1.66%1.67%1.41%1.48%1.35%1.67%1.96%
UL
The Unilever Group
3.27%3.83%3.61%3.77%3.07%3.18%3.49%2.82%3.44%3.06%3.72%3.39%
TTE
TotalEnergies SE
4.93%4.67%6.21%6.10%8.97%3.64%4.75%4.29%4.47%5.06%5.21%4.31%
EL.PA
EssilorLuxottica Société anonyme
1.91%1.78%1.48%0.58%0.90%1.50%1.39%1.30%1.03%0.89%1.01%1.14%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-4.16%
0
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 48.16%, occurring on Mar 9, 2009. Recovery took 398 trading sessions.

The current Europe drawdown is 4.16%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.16%Jun 2, 2008199Mar 9, 2009398Sep 21, 2010597
-33.27%Jan 6, 2022188Sep 27, 2022146Apr 21, 2023334
-29.04%May 20, 2002211Mar 12, 200368Jun 17, 2003279
-28.25%Jul 11, 2000311Sep 21, 2001117Mar 7, 2002428
-27.56%Jan 20, 202043Mar 18, 202056Jun 5, 202099

Volatility

Volatility Chart

The current Europe volatility is 4.99%, 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%2.50%3.00%3.50%4.00%4.50%5.00%2024FebruaryMarchAprilMayJune
4.99%
2.33%
Europe
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.

ASMLULTTEACKB.BRSOF.BRDSY.PASAN.PARMS.PAEL.PAOR.PAAI.PAMC.PA
ASML1.000.290.350.230.240.350.240.270.230.310.320.36
UL0.291.000.380.250.240.230.340.250.300.430.370.34
TTE0.350.381.000.330.290.270.340.270.280.360.420.40
ACKB.BR0.230.250.331.000.490.340.330.340.370.380.430.43
SOF.BR0.240.240.290.491.000.370.310.380.370.390.430.43
DSY.PA0.350.230.270.340.371.000.340.390.350.440.430.47
SAN.PA0.240.340.340.330.310.341.000.300.380.480.490.43
RMS.PA0.270.250.270.340.380.390.301.000.390.450.410.55
EL.PA0.230.300.280.370.370.350.380.391.000.460.440.44
OR.PA0.310.430.360.380.390.440.480.450.461.000.570.60
AI.PA0.320.370.420.430.430.430.490.410.440.571.000.57
MC.PA0.360.340.400.430.430.470.430.550.440.600.571.00
The correlation results are calculated based on daily price changes starting from Jul 3, 1996