Europe

Asset Allocation

Position	Category/Sector	Target Weight
ASML ASML Holding N.V.	Technology	8.33%
DSY.PA Dassault Systèmes SE	Technology	8.33%
RMS.PA Hermès International Société en commandite par actions	Consumer Cyclical	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%
AI.PA L'Air Liquide S.A.	Basic Materials	8.33%
SAN.PA Sanofi	Healthcare	8.33%
SOF.BR Sofina Société Anonyme	Financial Services	8.33%
ACKB.BR Ackermans & Van Haaren NV	Industrials	8.33%
UL The Unilever Group	Consumer Defensive	8.33%
TTE TotalEnergies SE	Energy	8.33%
EL.PA EssilorLuxottica Société anonyme	Healthcare	8.33%

Benchmark Against

Benchmark

S&P 500 Index

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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 Every 3 months.

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Returns By Period

As of Jun 6, 2026, the Europe returned -0.13% Year-To-Date and 14.22% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Europe	0.58%	0.32%	-0.13%	0.08%	4.92%	8.61%	6.62%	14.22%
Portfolio components:
ACKB.BR Ackermans & Van Haaren NV	0.34%	-9.14%	13.88%	15.54%	20.21%	24.04%	15.50%	10.66%
AI.PA L'Air Liquide S.A.	1.10%	4.40%	14.47%	14.64%	3.09%	13.14%	10.31%	13.70%
ASML ASML Holding N.V.	6.54%	9.86%	64.06%	56.76%	134.10%	36.05%	21.93%	34.75%
DSY.PA Dassault Systèmes SE	6.05%	2.99%	-15.28%	-13.29%	-35.61%	-18.47%	-11.82%	4.62%
EL.PA EssilorLuxottica Société anonyme	3.94%	1.31%	-33.92%	-40.63%	-25.95%	6.61%	5.14%	5.88%
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	2.99%	-1.19%	-26.16%	-23.50%	5.10%	-12.29%	-5.20%	14.84%
OR.PA L'Oréal S.A.	0.23%	0.67%	1.98%	1.17%	1.07%	1.52%	0.39%	10.21%
RMS.PA Hermès International Société en commandite par actions	1.29%	-6.13%	-25.54%	-26.38%	-29.78%	-2.65%	6.40%	18.44%
SAN.PA Sanofi	4.08%	3.02%	-3.55%	-5.31%	-6.96%	-0.07%	0.98%	4.97%
SOF.BR Sofina Société Anonyme	0.85%	-0.31%	-11.56%	-8.73%	-12.57%	6.69%	-8.07%	7.82%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jul 16, 2007, Europe 's average daily return is +0.05%, while the average monthly return is +1.07%. At this rate, an investment would double in approximately 5.4 years.

Historically, 62% of months were positive and 38% were negative. The best month was Sep 2010 with a return of +17.2%, while the worst month was Oct 2008 at -19.6%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.

On a daily basis, Europe closed higher 54% of trading days. The best single day was Nov 24, 2008 with a return of +10.5%, while the worst single day was Mar 12, 2020 at -8.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.04%	2.40%	-10.31%	4.13%	0.72%	0.64%							-0.13%
2025	8.71%	1.07%	-0.42%	2.82%	2.14%	1.32%	-3.74%	4.10%	1.54%	1.81%	1.03%	-0.36%	21.41%
2024	0.79%	2.54%	2.02%	-2.61%	3.16%	-3.03%	2.12%	3.67%	2.53%	-9.73%	-3.24%	0.32%	-2.29%
2023	8.17%	-1.49%	5.42%	4.57%	-4.68%	4.06%	2.85%	-4.93%	-5.41%	-1.15%	9.39%	5.16%	22.54%
2022	-6.86%	-4.35%	0.30%	-6.49%	-0.99%	-9.35%	8.58%	-7.65%	-8.85%	8.47%	15.07%	-0.32%	-14.72%
2021	-2.40%	3.25%	5.08%	6.04%	5.81%	2.68%	3.39%	0.58%	-5.58%	6.95%	0.13%	4.65%	34.23%

Benchmark Metrics

Europe has an annualized alpha of 7.15%, beta of 0.62, and R2 of 0.40 versus S&P 500 Index. Calculated based on daily prices since July 16, 2007.

This portfolio captured 101.23% of S&P 500 Index gains but only 86.91% of its losses - a favorable profile for investors.
Beta of 0.62 may look defensive, but with R2 of 0.40 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.40 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 7.15%

Beta: 0.62

R²: 0.40

Upside Capture: 101.23%

Downside Capture: 86.91%

Expense Ratio

Europe has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Return for Risk

Risk / Return Rank

Europe ranks 6 for risk / return — in the bottom 6% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Europe and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.32	1.94	-1.62
Sortino ratioReturn per unit of downside risk	0.57	2.63	-2.05
Omega ratioGain probability vs. loss probability	1.07	1.35	-0.29
Calmar ratioReturn relative to maximum drawdown	0.41	2.59	-2.18
Martin ratioReturn relative to average drawdown	1.04	11.84	-10.80
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ACKB.BR Ackermans & Van Haaren NV	68	0.94	1.52	1.18	1.35	3.39
AI.PA L'Air Liquide S.A.	43	0.13	0.32	1.04	0.15	0.30
ASML ASML Holding N.V.	95	3.24	3.63	1.45	7.56	20.33
DSY.PA Dassault Systèmes SE	10	-0.96	-1.15	0.81	-0.74	-1.27
EL.PA EssilorLuxottica Société anonyme	15	-0.80	-1.13	0.87	-0.53	-1.11
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	44	0.11	0.42	1.05	0.12	0.24
OR.PA L'Oréal S.A.	39	-0.00	0.19	1.02	-0.00	-0.01
RMS.PA Hermès International Société en commandite par actions	6	-1.03	-1.46	0.83	-0.86	-1.59
SAN.PA Sanofi	30	-0.23	-0.15	0.98	-0.33	-0.66
SOF.BR Sofina Société Anonyme	25	-0.45	-0.47	0.94	-0.40	-0.76

Sharpe Ratio

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.

Europe Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 0.32
5-Year: 0.35
10-Year: 0.80
All Time: 0.60

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 1.64 to 2.53, 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 Europe compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Europe provided a 2.44% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.44%	2.64%	2.50%	2.02%	2.33%	3.50%	2.22%	2.09%	2.11%	1.99%	2.09%	2.11%
Portfolio components:
ACKB.BR Ackermans & Van Haaren NV	1.75%	1.64%	1.78%	1.95%	1.72%	1.39%	1.89%	1.66%	1.67%	1.41%	1.48%	1.35%
AI.PA L'Air Liquide S.A.	2.04%	2.06%	1.85%	1.67%	1.99%	1.79%	2.01%	1.91%	2.44%	2.25%	2.40%	2.46%
ASML ASML Holding N.V.	0.50%	0.97%	0.97%	0.86%	1.27%	0.50%	0.50%	1.40%	0.94%	0.64%	0.92%	0.73%
DSY.PA Dassault Systèmes SE	1.34%	1.09%	0.69%	0.47%	0.51%	0.21%	0.42%	0.44%	0.56%	0.60%	0.65%	0.58%
EL.PA EssilorLuxottica Société anonyme	2.27%	1.46%	1.68%	1.78%	1.48%	0.58%	0.90%	1.50%	1.39%	1.30%	1.03%	0.89%
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	2.74%	2.02%	2.05%	1.70%	1.76%	0.96%	0.90%	1.50%	2.09%	1.71%	1.98%	2.28%
OR.PA L'Oréal S.A.	1.94%	1.91%	1.93%	1.33%	1.44%	0.96%	1.24%	1.46%	1.76%	1.78%	1.79%	1.74%
RMS.PA Hermès International Société en commandite par actions	1.14%	1.23%	1.08%	0.68%	0.55%	0.30%	0.52%	0.68%	1.34%	0.84%	0.86%	0.95%
SAN.PA Sanofi	5.39%	4.74%	4.01%	3.97%	3.71%	3.61%	4.00%	3.43%	4.00%	4.12%	3.81%	3.63%
SOF.BR Sofina Société Anonyme	1.68%	1.41%	1.53%	1.44%	1.52%	0.70%	1.05%	1.45%	1.61%	1.95%	1.96%	2.21%

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 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 48.03%, occurring on Mar 9, 2009. Recovery took 397 trading sessions.

The current Europe drawdown is 6.38%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-48.03%Mar 2009	1y 2mo	1y 6mo	2y 9moDec 2007 - Sep 2010
Bear market2022	-33.13%Sep 2022	8mo 23d	6mo 19d	1y 3moJan 2022 - Apr 2023
COVID crash2020	-28.03%Mar 2020	1mo 28d	2mo 19d	4mo 17dJan 2020 - Jun 2020
2011 correction2011	-19.18%Oct 2011	2mo 8d	6mo 2d	8mo 10dJul 2011 - Apr 2012
2016 correction2016	-16.88%Jan 2016	5mo 10d	6mo 27d	1y 2dAug 2015 - Aug 2016

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 12 assets, with an effective number of assets of 12.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.84	1.70	1.56	1.54	1.49

The portfolio has a diversification ratio of 1.49, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Europe correlation to the S&P 500 Index

Europe has a 0.51 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.47
Correlation (5Y) Calculated over the trailing 5-year period	0.55
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Jul 16, 2007	0.58

Benchmark Correlations

Correlation vs. S&P 500 Index. ASML has the highest benchmark correlation at 0.66, while TTE has the lowest at 0.19.

0.19

0.35

0.35

0.37

0.38

0.39

0.40

0.40

0.43

0.45

0.47

ASML

0.66

Portfolio Correlations

Correlation vs. Europe . MC.PA has the highest portfolio correlation at 0.82, while TTE has the lowest at 0.34.

TTE

0.34

0.55

0.59

0.63

0.69

0.69

0.70

0.72

0.72

0.77

0.77

0.82

Asset Correlations Table

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

	TTE	ASML	UL	SAN.PA	DSY.PA	RMS.PA	ACKB.BR	SOF.BR	EL.PA	OR.PA	AI.PA	MC.PA
TTE	1.00	0.14	0.11	0.15	0.12	0.14	0.22	0.18	0.17	0.17	0.21	0.20
ASML	0.14	1.00	0.34	0.28	0.39	0.35	0.35	0.35	0.34	0.36	0.39	0.42
UL	0.11	0.34	1.00	0.42	0.33	0.33	0.33	0.32	0.40	0.52	0.44	0.41
SAN.PA	0.15	0.28	0.42	1.00	0.41	0.36	0.42	0.41	0.50	0.53	0.56	0.48
DSY.PA	0.12	0.39	0.33	0.41	1.00	0.49	0.47	0.51	0.49	0.54	0.54	0.55
RMS.PA	0.14	0.35	0.33	0.36	0.49	1.00	0.44	0.49	0.52	0.56	0.52	0.68
ACKB.BR	0.22	0.35	0.33	0.42	0.47	0.44	1.00	0.60	0.47	0.48	0.56	0.55
SOF.BR	0.18	0.35	0.32	0.41	0.51	0.49	0.60	1.00	0.47	0.50	0.55	0.54
EL.PA	0.17	0.34	0.40	0.50	0.49	0.52	0.47	0.47	1.00	0.59	0.59	0.59
OR.PA	0.17	0.36	0.52	0.53	0.54	0.56	0.48	0.50	0.59	1.00	0.64	0.68
AI.PA	0.21	0.39	0.44	0.56	0.54	0.52	0.56	0.55	0.59	0.64	1.00	0.65
MC.PA	0.20	0.42	0.41	0.48	0.55	0.68	0.55	0.54	0.59	0.68	0.65	1.00

The correlation results are calculated based on daily price changes starting from Jul 16, 2007

Diversification Analysis

Find what Europe is missing

See which holdings overlap, where Europe is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification