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Europe

Last updated Sep 21, 2023

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
ASML
ASML Holding N.V.
Technology8.33%
DSY.PA
Dassault Systèmes SE
Technology8.33%
RMS.PA
Hermès International Société en commandite par actions
Consumer Cyclical8.33%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
Consumer Cyclical8.33%
OR.PA
L'Oréal S.A.
Consumer Defensive8.33%
AI.PA
L'Air Liquide S.A.
Basic Materials8.33%
SAN.PA
Sanofi
Healthcare8.33%
SOF.BR
Sofina Société Anonyme
Financial Services8.33%
ACKB.BR
Ackermans & Van Haaren NV
Industrials8.33%
UL
The Unilever Group
Consumer Defensive8.33%
TTE
TotalEnergies SE
Energy8.33%
EL.PA
EssilorLuxottica Société anonyme
Healthcare8.33%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
3.21%
10.86%
Europe
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the Europe returned 11.17% Year-To-Date and 11.63% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.27%9.72%
Europe -2.72%1.72%11.17%31.90%11.62%11.71%
ASML
ASML Holding N.V.
-11.63%-10.72%8.76%30.96%26.14%20.46%
DSY.PA
Dassault Systèmes SE
-3.82%-7.69%5.27%5.06%4.96%11.36%
RMS.PA
Hermès International Société en commandite par actions
-2.16%3.03%30.21%61.11%25.02%19.10%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-8.36%-10.97%8.76%25.85%18.13%17.79%
OR.PA
L'Oréal S.A.
1.69%2.96%24.15%33.58%13.74%11.19%
AI.PA
L'Air Liquide S.A.
-0.92%7.39%24.22%46.84%11.98%8.53%
SAN.PA
Sanofi
2.43%10.57%19.37%47.52%8.65%4.72%
SOF.BR
Sofina Société Anonyme
-3.44%1.94%-1.65%21.00%1.99%9.22%
ACKB.BR
Ackermans & Van Haaren NV
-9.74%-2.97%-8.61%9.47%-1.79%5.32%
UL
The Unilever Group
0.16%1.17%3.36%15.30%1.47%5.46%
TTE
TotalEnergies SE
5.99%17.87%9.77%46.79%7.02%6.81%
EL.PA
EssilorLuxottica Société anonyme
-2.39%7.90%5.06%33.52%6.59%6.66%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

ASMLULTTEACKB.BRSOF.BRRMS.PADSY.PAEL.PASAN.PAOR.PAAI.PAMC.PA
ASML1.000.300.350.230.240.270.350.230.250.310.320.36
UL0.301.000.390.250.240.250.230.300.340.430.370.34
TTE0.350.391.000.330.290.270.270.280.340.370.420.40
ACKB.BR0.230.250.331.000.480.340.340.370.330.370.430.43
SOF.BR0.240.240.290.481.000.370.370.370.310.380.430.42
RMS.PA0.270.250.270.340.371.000.390.390.300.450.410.55
DSY.PA0.350.230.270.340.370.391.000.350.340.440.430.48
EL.PA0.230.300.280.370.370.390.351.000.380.460.440.44
SAN.PA0.250.340.340.330.310.300.340.381.000.480.490.44
OR.PA0.310.430.370.370.380.450.440.460.481.000.570.60
AI.PA0.320.370.420.430.430.410.430.440.490.571.000.58
MC.PA0.360.340.400.430.420.550.480.440.440.600.581.00

Sharpe Ratio

The current Europe Sharpe ratio is 1.96. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.96

The Sharpe ratio of Europe is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00AprilMayJuneJulyAugustSeptember
1.96
1.24
Europe
Benchmark (^GSPC)
Portfolio components

Dividend yield

Europe granted a 2.08% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Europe 2.08%2.10%1.80%2.27%1.97%2.37%2.26%2.43%2.53%2.89%2.73%4.65%
ASML
ASML Holding N.V.
1.03%1.19%0.50%0.56%1.22%0.97%0.68%0.98%0.78%0.72%0.68%21.46%
DSY.PA
Dassault Systèmes SE
0.60%0.51%0.22%0.43%0.45%0.57%0.61%0.67%0.61%0.86%0.94%0.89%
RMS.PA
Hermès International Société en commandite par actions
0.69%0.56%0.30%0.53%0.70%0.87%0.87%0.90%1.00%0.98%1.03%0.97%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
1.63%1.78%0.99%0.93%1.57%2.23%1.86%2.20%2.58%4.15%2.72%2.57%
OR.PA
L'Oréal S.A.
1.46%1.46%0.99%1.29%1.54%1.89%1.95%1.99%1.97%2.06%2.12%2.28%
AI.PA
L'Air Liquide S.A.
1.82%2.03%1.86%2.13%2.06%2.70%2.55%2.78%2.93%2.75%3.04%3.06%
SAN.PA
Sanofi
3.43%3.84%3.88%4.46%3.96%4.82%5.20%4.97%4.93%5.19%5.22%5.58%
SOF.BR
Sofina Société Anonyme
1.13%1.08%0.50%0.75%1.05%1.18%1.45%1.53%1.81%2.08%2.12%2.48%
ACKB.BR
Ackermans & Van Haaren NV
1.50%1.22%1.00%1.37%1.22%1.25%1.06%1.18%1.11%1.39%1.66%2.27%
UL
The Unilever Group
3.60%3.71%4.03%3.39%3.63%4.12%3.44%4.33%3.97%4.97%4.69%4.54%
TTE
TotalEnergies SE
6.24%6.38%6.71%10.52%4.69%6.34%5.98%6.51%7.73%8.36%7.21%8.47%
EL.PA
EssilorLuxottica Société anonyme
1.84%1.51%0.60%0.94%1.58%1.49%1.42%1.14%0.99%1.14%1.29%1.28%

Expense Ratio

The 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

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
ASML
ASML Holding N.V.
0.68
DSY.PA
Dassault Systèmes SE
0.05
RMS.PA
Hermès International Société en commandite par actions
2.20
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
0.89
OR.PA
L'Oréal S.A.
1.19
AI.PA
L'Air Liquide S.A.
2.19
SAN.PA
Sanofi
1.96
SOF.BR
Sofina Société Anonyme
0.37
ACKB.BR
Ackermans & Van Haaren NV
0.77
UL
The Unilever Group
0.98
TTE
TotalEnergies SE
1.66
EL.PA
EssilorLuxottica Société anonyme
1.13

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-7.25%
-8.22%
Europe
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Europe . A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Europe is 48.21%, recorded on Mar 9, 2009. It took 397 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.21%Jun 2, 2008199Mar 9, 2009397Sep 21, 2010596
-33.31%Jan 6, 2022188Sep 27, 2022146Apr 21, 2023334
-29.07%May 20, 2002211Mar 12, 200368Jun 17, 2003279
-28.32%Jul 11, 2000311Sep 21, 2001117Mar 7, 2002428
-27.56%Jan 20, 202043Mar 18, 202056Jun 5, 202099

Volatility Chart

The current Europe volatility is 3.79%, 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%AprilMayJuneJulyAugustSeptember
3.79%
3.27%
Europe
Benchmark (^GSPC)
Portfolio components