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a
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Risk-Adjusted Performance
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a

Currency in USD · Last updated May 19, 2025

a

Asset Allocation

GLD 50%PE500.PA 30%IBM 3%AAPL 3%ASML 2%2899.HK 2%ASCCY 2%AMZN 2%1810.HK 2%NVDA 2%GOOGL 2%CommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
1810.HK
Xiaomi Corp		Technology
2%
2899.HK
Zijin Mining Group Co Ltd-H		Basic Materials
2%
AAPL
Apple Inc		Technology
3%
AMZN
Amazon.com, Inc.		Consumer Cyclical
2%
ASCCY
Asics Corp ADR		Consumer Cyclical
2%
ASML
ASML Holding N.V.		Technology
2%
GLD
SPDR Gold Trust		Precious Metals, Gold
50%
GOOGL
Alphabet Inc Class A		Communication Services
2%
IBM
International Business Machines Corporation		Technology
3%
NVDA
NVIDIA Corporation		Technology
2%
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		Large Cap Blend Equities
30%

Performance

Performance Chart

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The earliest data available for this chart is May 20, 2019, corresponding to the inception date of PE500.PA

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.30%12.79%1.49%12.35%15.37%10.87%
a12.38%3.75%15.56%26.31%18.28%N/A
Portfolio components:
GLD
SPDR Gold Trust		21.52%-3.88%24.37%31.56%12.05%9.82%
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		-1.33%11.41%-1.36%9.78%15.28%N/A
IBM
International Business Machines Corporation		22.97%12.45%31.87%62.60%23.07%9.52%
ASML
ASML Holding N.V.		8.47%17.19%14.15%-18.38%20.10%22.22%
AAPL
Apple Inc		-15.43%7.39%-5.88%11.79%22.06%21.87%
2899.HK
Zijin Mining Group Co Ltd-H		21.79%0.07%17.43%-5.92%40.55%23.20%
ASCCY
Asics Corp ADR		14.78%12.74%30.33%72.43%57.11%21.94%
AMZN
Amazon.com, Inc.		-6.29%19.11%1.47%11.31%10.64%25.37%
1810.HK
Xiaomi Corp		46.39%20.82%81.58%155.37%31.06%N/A
NVDA
NVIDIA Corporation		0.84%33.41%-4.62%46.46%70.60%75.21%
GOOGL
Alphabet Inc Class A		-12.11%9.94%-3.43%-5.15%18.92%19.69%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20255.10%0.15%2.57%2.08%1.96%12.38%
20240.48%3.63%6.86%0.46%3.48%2.77%3.01%2.23%4.40%1.67%0.91%-0.70%33.15%
20237.53%-3.41%6.93%0.74%0.94%2.10%3.46%-0.69%-4.99%2.94%5.92%2.43%25.72%
2022-4.25%2.36%2.74%-6.01%-2.35%-4.13%2.90%-3.70%-6.52%1.75%8.29%-1.10%-10.58%
2021-1.83%-1.72%0.85%4.79%5.48%-2.05%2.12%1.69%-4.16%3.70%0.39%2.72%12.14%
20202.67%-4.11%-4.11%8.87%4.09%3.78%9.12%5.73%-4.32%-1.38%3.96%6.19%33.42%
2019-0.52%7.71%1.61%2.84%0.20%2.38%0.34%4.58%20.53%

Expense Ratio

a has an expense ratio of 0.28%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

GLD
SPDR Gold Trust
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 95, a is among the top 5% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of a is 9595
Overall Rank
The Sharpe Ratio Rank of a is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of a is 9494
Sortino Ratio Rank
The Omega Ratio Rank of a is 9595
Omega Ratio Rank
The Calmar Ratio Rank of a is 9696
Calmar Ratio Rank
The Martin Ratio Rank of a is 9696
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GLD
SPDR Gold Trust		1.872.811.364.4712.31
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF EUR		0.480.811.120.451.71
IBM
International Business Machines Corporation		2.223.001.443.6811.29
ASML
ASML Holding N.V.		-0.37-0.330.95-0.46-0.71
AAPL
Apple Inc		0.360.741.110.351.15
2899.HK
Zijin Mining Group Co Ltd-H		-0.110.261.04-0.00-0.01
ASCCY
Asics Corp ADR		1.471.981.282.516.77
AMZN
Amazon.com, Inc.		0.340.801.100.451.18
1810.HK
Xiaomi Corp		3.063.471.513.2218.98
NVDA
NVIDIA Corporation		0.721.011.130.741.81
GOOGL
Alphabet Inc Class A		-0.130.011.00-0.15-0.33

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.

a Sharpe ratios as of May 19, 2025 (values are recalculated daily):

  • 1-Year: 2.04
  • 5-Year: 1.56
  • All Time: 1.58

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 0.56 to 1.05, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of a compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

a provided a 0.16% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.16%0.18%0.23%0.26%0.22%0.30%0.40%0.46%0.34%0.33%0.39%0.33%
Portfolio components:
GLD
SPDR Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PE500.PA
Amundi ETF PEA S&P 500 UCITS ETF 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%
IBM
International Business Machines Corporation		2.51%3.03%4.05%4.68%4.74%5.17%4.79%5.46%3.84%3.31%3.63%2.65%
ASML
ASML Holding N.V.		0.93%0.97%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.77%
AAPL
Apple Inc		0.48%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
2899.HK
Zijin Mining Group Co Ltd-H		1.90%2.33%2.18%2.20%1.56%1.25%2.93%3.74%2.33%2.83%5.00%4.57%
ASCCY
Asics Corp ADR		0.00%0.00%1.38%1.33%0.93%4.56%6.67%6.76%5.79%4.18%3.94%3.01%
AMZN
Amazon.com, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
1810.HK
Xiaomi Corp		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVDA
NVIDIA Corporation		0.03%0.03%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
GOOGL
Alphabet Inc Class A		0.48%0.32%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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the a. 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 a was 20.00%, occurring on Oct 14, 2022. Recovery took 127 trading sessions.

The current a drawdown is 1.06%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20%Mar 31, 2022141Oct 14, 2022127Apr 13, 2023268
-19.16%Feb 20, 202022Mar 20, 202042May 20, 202064
-8.99%Feb 20, 202533Apr 7, 20259Apr 21, 202542
-7.82%Sep 3, 202016Sep 24, 202052Dec 7, 202068
-7.01%Jan 6, 202144Mar 8, 202127Apr 15, 202171

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 11 assets, with an effective number of assets of 2.90, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPC2899.HKGLDASCCY1810.HKIBMPE500.PAAMZNAAPLNVDAGOOGLASMLPortfolio
^GSPC1.000.090.080.150.110.570.600.670.720.690.730.710.57
2899.HK0.091.000.130.120.360.040.150.040.040.070.080.070.29
GLD0.080.131.000.070.050.020.070.080.050.060.090.130.70
ASCCY0.150.120.071.000.150.140.180.120.090.080.100.100.24
1810.HK0.110.360.050.151.000.040.190.080.070.090.070.150.26
IBM0.570.040.020.140.041.000.350.250.340.270.330.360.32
PE500.PA0.600.150.070.180.190.351.000.380.430.420.430.450.64
AMZN0.670.040.080.120.080.250.381.000.600.610.670.550.44
AAPL0.720.040.050.090.070.340.430.601.000.560.620.550.44
NVDA0.690.070.060.080.090.270.420.610.561.000.570.680.46
GOOGL0.730.080.090.100.070.330.430.670.620.571.000.550.46
ASML0.710.070.130.100.150.360.450.550.550.680.551.000.52
Portfolio0.570.290.700.240.260.320.640.440.440.460.460.521.00
The correlation results are calculated based on daily price changes starting from May 21, 2019