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Pedro
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Risk-Adjusted Performance
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Pedro

Last updated Nov 13, 2024

Asset Allocation

BULP.L 35.59%EUR=X 5.99%JPY=X 5.8%CHF=X 4.26%SU.PA 8.13%TTE 8.09%AIL.DE 7.33%FLXI.DE 6.53%OR.PA 6.36%CAP.PA 6.34%AC.PA 3.16%SW.PA 2.42%CommodityCommodityCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
AC.PA
Accor S. A.		Consumer Cyclical
3.16%
AIL.DE
Air Liquide SA		Basic Materials
7.33%
BULP.L
WisdomTree Gold		Precious Metals
35.59%
CAP.PA
Capgemini SE		Technology
6.34%
CHF=X
USD/CHF
4.26%
EUR=X
USD/EUR
5.99%
FLXI.DE
Franklin FTSE India UCITS ETF		Asia Pacific Equities
6.53%
JPY=X
USD/JPY
5.80%
OR.PA
L'Oréal S.A.		Consumer Defensive
6.36%
SU.PA
Schneider Electric S.E.		Industrials
8.13%
SW.PA
Sodexo SA		Industrials
2.42%
TTE
TotalEnergies SE		Energy
8.09%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Pedro, 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%JuneJulyAugustSeptemberOctoberNovember
-2.06%
12.74%
Pedro
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 26, 2019, corresponding to the inception date of FLXI.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
Pedro8.62%-4.83%-2.06%14.75%9.25%N/A
Portfolio components:
OR.PA
L'Oréal S.A.		-28.64%-18.18%-29.68%-23.17%4.83%11.13%
AIL.DE
Air Liquide SA		-2.54%-9.65%-6.72%3.25%10.00%11.86%
SU.PA
Schneider Electric S.E.		28.27%-4.62%-0.05%44.25%21.44%17.26%
FLXI.DE
Franklin FTSE India UCITS ETF		12.78%-6.08%4.10%22.69%11.46%N/A
SW.PA
Sodexo SA		16.32%4.78%4.01%20.84%3.76%6.75%
TTE
TotalEnergies SE		-8.20%-12.54%-16.82%-7.63%7.66%6.04%
AC.PA
Accor S. A.		23.60%3.32%3.71%41.17%2.43%4.21%
BULP.L
WisdomTree Gold		23.99%-1.94%7.87%30.27%8.66%8.29%
CAP.PA
Capgemini SE		-14.80%-12.90%-21.97%-5.32%8.98%13.12%
CHF=X
USD/CHF		-0.03%-0.04%-0.03%-0.04%-0.01%-0.78%
JPY=X
USD/JPY		0.60%0.42%0.08%0.00%0.13%2.73%
EUR=X
USD/EUR		-0.01%-0.03%0.00%-0.01%0.00%1.58%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.38%2.46%3.73%0.82%1.86%-1.69%2.04%2.43%2.37%-1.91%8.62%
20236.62%-2.84%4.17%3.04%-2.28%1.90%0.99%-0.64%-2.66%1.80%5.63%2.91%19.67%
2022-1.25%-0.68%1.52%-3.02%-0.86%-5.61%2.21%-4.14%-3.72%3.08%8.57%-0.15%-4.75%
2021-1.71%-0.48%1.22%2.79%4.39%-2.50%1.96%1.26%-2.52%2.86%-1.47%3.72%9.57%
2020-0.55%-3.34%-5.49%4.39%2.79%4.96%5.59%2.26%-3.19%-3.48%7.12%4.78%15.90%
20190.26%-1.34%1.54%-0.32%2.03%-0.59%3.81%5.41%

Expense Ratio

Pedro has an expense ratio of 0.19%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

FLXI.DE
Franklin FTSE India UCITS ETF
Expense ratio chart for FLXI.DE: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
BULP.L
WisdomTree Gold
Expense ratio chart for BULP.L: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Pedro is 11, indicating that it is in the bottom 11% 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 Pedro is 1111
Combined Rank
The Sharpe Ratio Rank of Pedro is 88Sharpe Ratio Rank
The Sortino Ratio Rank of Pedro is 77Sortino Ratio Rank
The Omega Ratio Rank of Pedro is 99Omega Ratio Rank
The Calmar Ratio Rank of Pedro is 1919Calmar Ratio Rank
The Martin Ratio Rank of Pedro is 1010Martin 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.

Pedro
Sharpe ratio
The chart of Sharpe ratio for Pedro, currently valued at 1.18, compared to the broader market0.002.004.006.001.18
Sortino ratio
The chart of Sortino ratio for Pedro, currently valued at 1.64, compared to the broader market-2.000.002.004.006.001.64
Omega ratio
The chart of Omega ratio for Pedro, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.802.001.23
Calmar ratio
The chart of Calmar ratio for Pedro, currently valued at 1.58, compared to the broader market0.005.0010.0015.001.58
Martin ratio
The chart of Martin ratio for Pedro, currently valued at 5.34, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.34
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
OR.PA
L'Oréal S.A.		-1.04-1.440.81-0.81-2.04
AIL.DE
Air Liquide SA		0.060.221.030.080.20
SU.PA
Schneider Electric S.E.		1.271.791.252.156.90
FLXI.DE
Franklin FTSE India UCITS ETF		0.801.131.191.163.81
SW.PA
Sodexo SA		0.871.361.181.262.98
TTE
TotalEnergies SE		-0.21-0.160.98-0.21-0.54
AC.PA
Accor S. A.		0.941.461.190.902.56
BULP.L
WisdomTree Gold		2.112.721.422.7511.90
CAP.PA
Capgemini SE		-0.89-1.170.84-0.66-1.37
CHF=X
USD/CHF		-0.03-0.040.99-0.11-0.48
JPY=X
USD/JPY		0.060.131.020.300.53
EUR=X
USD/EUR		0.010.021.000.010.05

Sharpe Ratio

The current Pedro Sharpe ratio is 1.18. 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 2.07 to 2.97, 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 Pedro 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.18
2.90
Pedro
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Pedro provided a 1.31% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.31%1.01%1.08%0.93%1.30%0.98%1.27%1.09%1.15%1.21%1.21%1.16%
Portfolio components:
OR.PA
L'Oréal S.A.		2.01%1.33%1.44%0.96%1.24%1.46%1.76%1.78%1.79%1.74%1.79%1.80%
AIL.DE
Air Liquide SA		1.82%1.67%1.97%1.79%2.00%1.90%2.49%2.24%2.49%2.49%2.54%2.76%
SU.PA
Schneider Electric S.E.		1.47%1.73%2.22%1.51%2.16%2.57%3.68%2.88%3.03%3.65%3.09%2.95%
FLXI.DE
Franklin FTSE India UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SW.PA
Sodexo SA		10.44%3.11%2.68%2.60%4.19%2.60%3.07%2.14%2.01%2.00%1.99%2.16%
TTE
TotalEnergies SE		5.63%4.67%6.21%6.10%8.97%3.64%4.75%4.29%4.47%5.06%5.21%4.31%
AC.PA
Accor S. A.		2.74%3.03%0.00%0.00%0.00%2.51%2.83%2.44%2.82%2.37%2.14%2.22%
BULP.L
WisdomTree Gold		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CAP.PA
Capgemini SE		2.07%1.72%1.54%0.90%1.06%1.56%1.96%1.57%1.68%1.40%1.85%2.04%
CHF=X
USD/CHF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPY=X
USD/JPY		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EUR=X
USD/EUR		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.46%
-0.29%
Pedro
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Pedro. 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 Pedro was 21.07%, occurring on Mar 19, 2020. Recovery took 68 trading sessions.

The current Pedro drawdown is 6.46%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.07%Feb 24, 202019Mar 19, 202068Jun 23, 202087
-18.8%Jan 13, 2022183Sep 26, 202285Jan 23, 2023268
-7.57%Aug 6, 202061Oct 29, 20208Nov 10, 202069
-6.47%Sep 27, 202440Nov 12, 2024———
-6.02%Jul 14, 202371Oct 4, 202335Nov 14, 2023106

Volatility

Volatility Chart

The current Pedro volatility is 3.31%, 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%JuneJulyAugustSeptemberOctoberNovember
3.31%
3.86%
Pedro
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.
CHF=XJPY=XEUR=XBULP.LTTESW.PAFLXI.DEAC.PAOR.PACAP.PAAIL.DESU.PA
CHF=X1.00-0.010.01-0.030.030.010.030.02-0.020.01-0.00-0.00
JPY=X-0.011.000.03-0.060.03-0.02-0.010.01-0.00-0.020.01-0.02
EUR=X0.010.031.000.040.040.020.000.030.01-0.030.050.01
BULP.L-0.03-0.060.041.000.060.030.140.030.140.140.180.10
TTE0.030.030.040.061.000.290.290.390.240.240.290.31
SW.PA0.01-0.020.020.030.291.000.330.570.350.330.330.37
FLXI.DE0.03-0.010.000.140.290.331.000.370.370.460.410.47
AC.PA0.020.010.030.030.390.570.371.000.390.440.400.48
OR.PA-0.02-0.000.010.140.240.350.370.391.000.500.600.59
CAP.PA0.01-0.02-0.030.140.240.330.460.440.501.000.530.60
AIL.DE-0.000.010.050.180.290.330.410.400.600.531.000.64
SU.PA-0.00-0.020.010.100.310.370.470.480.590.600.641.00
The correlation results are calculated based on daily price changes starting from Jun 27, 2019