Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ASML ASML Holding N.V. | Technology | 7.37% |
HESAY Hermes International SA | Consumer Cyclical | 18.27% |
IBE.MC Iberdrola S.A. | Utilities | 49.70% |
OR.PA L'Oréal S.A. | Consumer Defensive | 7.69% |
SU.PA Schneider Electric S.E. | Industrials | 16.97% |
Performance
Performance Chart
The chart shows the growth of an initial investment of €10,000 in PEA2 optimized, 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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The earliest data available for this chart is Aug 28, 2009, corresponding to the inception date of HESAY
Returns By Period
As of Apr 4, 2026, the PEA2 optimized returned 3.83% Year-To-Date and 19.78% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.52% | -1.70% | -2.14% | -0.90% | 23.19% | 14.66% | 10.81% | 12.14% |
Portfolio PEA2 optimized | 0.21% | 0.07% | 3.83% | 10.04% | 25.29% | 18.10% | 16.60% | 19.78% |
| Portfolio components: | ||||||||
HESAY Hermes International SA | -0.18% | -12.56% | -20.92% | -22.81% | -25.13% | -2.81% | 12.56% | 19.36% |
ASML ASML Holding N.V. | -2.73% | 2.55% | 25.46% | 30.23% | 108.87% | 23.93% | 17.30% | 30.37% |
OR.PA L'Oréal S.A. | 0.29% | -3.42% | -2.29% | -4.87% | 4.29% | -3.31% | 3.55% | 10.42% |
IBE.MC Iberdrola S.A. | 1.44% | 5.96% | 11.76% | 27.50% | 40.03% | 26.88% | 18.00% | 18.11% |
SU.PA Schneider Electric S.E. | -1.58% | -5.29% | 0.53% | -5.43% | 26.86% | 18.08% | 14.60% | 18.82% |
Monthly Returns
Based on dividend-adjusted daily data since Aug 31, 2009, PEA2 optimized's average daily return is +0.07%, while the average monthly return is +1.42%. At this rate, your investment would double in approximately 4.1 years.
Historically, 62% of months were positive and 38% were negative. The best month was Oct 2010 with a return of +17.3%, while the worst month was Sep 2021 at -11.6%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, PEA2 optimized closed higher 54% of trading days. The best single day was Oct 7, 2010 with a return of +16.5%, while the worst single day was Mar 12, 2020 at -12.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.50% | 5.88% | -8.46% | 2.51% | 3.83% | ||||||||
| 2025 | 6.51% | 0.09% | -1.30% | 3.40% | 2.99% | 0.26% | -2.87% | 0.97% | 3.54% | 6.23% | 0.76% | 0.92% | 23.24% |
| 2024 | -0.60% | 4.53% | 4.19% | -0.95% | 4.32% | -0.60% | -0.35% | 4.04% | 4.75% | -4.35% | -0.20% | 1.68% | 17.21% |
| 2023 | 8.16% | 0.57% | 5.91% | 2.77% | -0.94% | 4.09% | -1.65% | -3.90% | -4.38% | -1.10% | 9.61% | 4.85% | 25.42% |
| 2022 | -6.95% | -2.72% | 0.98% | 1.24% | -1.64% | -9.19% | 14.73% | -4.83% | -6.42% | 7.51% | 9.87% | -3.25% | -3.48% |
| 2021 | -1.64% | -0.27% | 5.34% | 3.98% | 1.57% | -0.60% | 3.60% | 3.21% | -11.63% | 13.67% | 3.07% | 2.92% | 23.58% |
Benchmark Metrics
PEA2 optimized has an annualized alpha of 10.42%, beta of 0.54, and R² of 0.26 versus S&P 500 Index. Calculated based on daily prices since August 31, 2009.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (84.13%) than losses (50.24%) — typical of diversified or defensive assets.
- Beta of 0.54 may look defensive, but with R² of 0.26 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 0.26 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 10.42%
- Beta
- 0.54
- R²
- 0.26
- Upside Capture
- 84.13%
- Downside Capture
- 50.24%
Expense Ratio
PEA2 optimized 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.
Return for Risk
Risk / Return Rank
PEA2 optimized ranks 56 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.34 | 0.43 | +0.91 |
Sortino ratioReturn per unit of downside risk | 1.74 | 0.73 | +1.01 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.12 | +0.13 |
Calmar ratioReturn relative to maximum drawdown | 2.41 | 0.64 | +1.77 |
Martin ratioReturn relative to average drawdown | 9.38 | 2.67 | +6.72 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
HESAY Hermes International SA | 6 | -1.01 | -1.42 | 0.83 | -0.80 | -1.72 |
ASML ASML Holding N.V. | 89 | 2.03 | 2.62 | 1.34 | 5.33 | 13.25 |
OR.PA L'Oréal S.A. | 43 | 0.09 | 0.31 | 1.04 | 0.57 | 1.15 |
IBE.MC Iberdrola S.A. | 93 | 2.27 | 2.82 | 1.44 | 6.83 | 16.43 |
SU.PA Schneider Electric S.E. | 57 | 0.37 | 0.72 | 1.09 | 1.62 | 4.09 |
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Dividends
Dividend yield
PEA2 optimized provided a 2.42% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.42% | 2.45% | 2.78% | 2.68% | 2.73% | 2.44% | 2.28% | 2.68% | 3.30% | 3.36% | 2.30% | 2.36% |
| Portfolio components: | ||||||||||||
HESAY Hermes International SA | 1.63% | 1.18% | 1.13% | 0.67% | 0.57% | 0.31% | 0.46% | 0.68% | 0.91% | 1.55% | 1.81% | 2.54% |
ASML ASML Holding N.V. | 0.71% | 0.97% | 0.97% | 0.86% | 1.27% | 0.50% | 0.50% | 1.40% | 0.94% | 0.64% | 0.92% | 0.73% |
OR.PA L'Oréal S.A. | 1.95% | 1.91% | 1.93% | 1.33% | 1.44% | 0.96% | 1.24% | 1.46% | 1.76% | 1.78% | 1.79% | 1.74% |
IBE.MC Iberdrola S.A. | 3.29% | 3.49% | 4.23% | 4.22% | 4.11% | 4.05% | 3.42% | 3.82% | 4.65% | 4.83% | 2.52% | 2.20% |
SU.PA Schneider Electric S.E. | 1.65% | 1.66% | 1.45% | 1.73% | 2.22% | 1.51% | 2.16% | 2.57% | 3.68% | 2.88% | 3.03% | 3.65% |
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 PEA2 optimized. 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 PEA2 optimized was 28.05%, occurring on Jul 25, 2012. Recovery took 106 trading sessions.
The current PEA2 optimized drawdown is 6.77%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.05% | Jul 4, 2011 | 276 | Jul 25, 2012 | 106 | Dec 20, 2012 | 382 |
| -26.25% | Feb 20, 2020 | 18 | Mar 16, 2020 | 77 | Jul 2, 2020 | 95 |
| -20.89% | Jan 5, 2022 | 120 | Jun 22, 2022 | 124 | Dec 13, 2022 | 244 |
| -14.07% | Aug 6, 2015 | 135 | Feb 12, 2016 | 115 | Jul 25, 2016 | 250 |
| -13.84% | Apr 21, 2010 | 52 | Jul 1, 2010 | 70 | Oct 7, 2010 | 122 |
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 5 assets, with an effective number of assets of 3.12, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | HESAY | IBE.MC | ASML | OR.PA | SU.PA | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.34 | 0.26 | 0.60 | 0.31 | 0.39 | 0.47 |
| HESAY | 0.34 | 1.00 | 0.15 | 0.33 | 0.37 | 0.31 | 0.52 |
| IBE.MC | 0.26 | 0.15 | 1.00 | 0.22 | 0.41 | 0.42 | 0.80 |
| ASML | 0.60 | 0.33 | 0.22 | 1.00 | 0.30 | 0.41 | 0.51 |
| OR.PA | 0.31 | 0.37 | 0.41 | 0.30 | 1.00 | 0.51 | 0.62 |
| SU.PA | 0.39 | 0.31 | 0.42 | 0.41 | 0.51 | 1.00 | 0.73 |
| Portfolio | 0.47 | 0.52 | 0.80 | 0.51 | 0.62 | 0.73 | 1.00 |