PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EUR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Asset Allocation


ASML.AS 99.06%EquityEquity
PositionCategory/SectorWeight
ASML.AS
ASML Holding NV
Technology
99.06%

Transactions


DateTypeSymbolQuantityPrice
Jan 25, 2024BuyASML Holding NV12€813.40

1–1 of 1

Performance

Performance Chart

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


-20.00%-10.00%0.00%10.00%20.00%MayJuneJulyAugustSeptemberOctober
-19.74%
15.84%
EUR
Benchmark (^GSPC)
Portfolio components

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
EURN/A-14.33%-19.73%N/AN/AN/A
ASML.AS
ASML Holding NV
-3.11%-14.42%-19.85%19.96%23.53%24.29%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.14%9.11%2.34%-7.52%6.28%9.38%-10.67%-2.55%-7.41%-12.03%

Expense Ratio

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 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.


EUR
Sharpe ratio
No data
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ASML.AS
ASML Holding NV
0.280.621.090.300.78

Sharpe Ratio

There is not enough data available to calculate the Sharpe ratio for EUR. We calculate this metric based on the past 12 months of trading data. Please check back later for updated information.


Chart placeholderNot enough data

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.


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-34.74%
-0.54%
EUR
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the EUR. 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 EUR was 36.88%, occurring on Oct 17, 2024. The portfolio has not yet recovered.

The current EUR drawdown is 34.74%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.88%Jul 15, 202469Oct 17, 2024
-16.59%Mar 8, 202430Apr 22, 202432Jun 6, 202462
-5.08%Jun 13, 202410Jun 26, 20247Jul 5, 202417
-4.55%Feb 13, 20247Feb 21, 20241Feb 22, 20248
-1.95%Jan 26, 20244Jan 31, 20241Feb 1, 20245

Volatility

Volatility Chart

The current EUR volatility is 19.44%, 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.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
19.44%
2.71%
EUR
Benchmark (^GSPC)
Portfolio components