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Europe Top 15
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


NOV.DE 6.67%ASML.AS 6.67%NESN.SW 6.67%AZN.L 6.67%SHELL.AS 6.67%MC.PA 6.67%NOVN.SW 6.67%SAP.DE 6.67%ROG.SW 6.67%HSBA.L 6.67%TTE.PA 6.67%SIE.DE 6.67%UNA.AS 6.67%SU.PA 6.67%OR.PA 6.67%EquityEquity

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Europe Top 15, 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.


500.00%1,000.00%1,500.00%2,000.00%NovemberDecember2025FebruaryMarchApril
1,458.29%
380.01%
Europe Top 15
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 19, 2001, corresponding to the inception date of NOV.DE

Returns By Period

As of Apr 26, 2025, the Europe Top 15 returned -9.02% Year-To-Date and 12.08% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-6.06%-3.27%-4.87%9.44%14.30%10.11%
Europe Top 15-9.02%-6.16%-21.40%-26.41%14.61%12.08%
NOV.DE
Novo Nordisk A/S
-27.95%-12.99%-44.77%-49.45%15.36%13.16%
ASML.AS
ASML Holding NV
-4.27%-5.02%-5.95%-24.33%18.97%20.57%
NESN.SW
Nestlé S.A.
29.57%6.65%10.07%6.34%2.22%5.74%
AZN.L
AstraZeneca plc
7.24%-4.35%-6.62%-6.08%8.72%10.33%
SHELL.AS
Shell plc
6.68%-10.00%0.74%-6.19%17.90%5.67%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-12.55%-10.00%-14.19%-30.43%10.71%14.24%
NOVN.SW
Novartis AG
17.97%1.53%1.72%17.34%10.05%6.64%
SAP.DE
SAP SE
13.06%3.38%16.52%54.18%20.87%15.31%
ROG.SW
Roche Holding AG
15.61%-4.69%0.75%36.24%0.88%4.31%
HSBA.L
HSBC Holdings plc
16.50%-3.82%30.90%42.96%23.04%6.61%
TTE.PA
TotalEnergies SE
11.61%-7.72%-5.21%-13.38%18.53%6.96%
SIE.DE
Siemens Aktiengesellschaft
22.54%-2.67%23.48%29.03%27.93%12.28%
UNA.AS
Unilever PLC
10.80%8.18%2.82%26.34%8.58%6.71%
SU.PA
Schneider Electric S.E.
-0.76%0.78%-5.38%10.76%25.49%15.27%
OR.PA
L'Oréal S.A.
20.13%15.36%10.75%-7.66%11.34%9.84%
*Annualized

Monthly Returns

The table below presents the monthly returns of Europe Top 15, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.08%2.39%-11.46%-2.65%-9.02%
20246.69%4.72%5.13%-2.19%4.34%4.10%-5.63%3.81%-8.29%-7.35%-3.04%-8.72%-8.07%
20238.04%-1.28%9.58%4.37%-2.66%2.39%0.23%2.69%-4.14%0.59%8.09%4.50%36.28%
2022-8.98%-1.31%3.80%-4.22%-2.05%-5.59%7.65%-7.83%-6.84%7.55%15.30%1.33%-4.07%
2021-0.41%1.97%3.13%7.04%4.96%2.24%5.49%3.95%-5.03%8.59%-2.05%5.43%40.48%
2020-1.16%-6.33%-1.50%5.45%4.22%4.61%1.20%3.71%0.07%-5.86%12.01%6.55%23.72%
20194.97%4.96%5.15%1.71%-3.02%8.59%-2.96%1.10%1.78%4.96%2.43%4.51%39.22%
20184.97%-5.75%7.21%2.22%-0.36%-0.59%5.59%-1.38%-1.17%-7.59%1.51%-2.84%0.74%
20171.95%0.78%4.24%6.34%5.75%-1.26%1.53%3.48%3.79%2.56%0.66%1.74%36.20%
2016-4.00%-1.90%4.91%2.18%0.83%-2.01%5.99%-5.60%-2.19%-6.24%-3.10%6.06%-5.95%
20150.98%5.01%1.92%4.99%-0.63%-4.37%4.59%-6.85%-3.05%4.34%-0.33%0.30%6.21%
2014-1.66%10.63%-1.05%2.67%-0.78%2.77%-3.23%0.58%-0.91%-2.68%2.21%-3.94%3.85%

Expense Ratio

Europe Top 15 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.


The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Europe Top 15 is 0, meaning it’s performing worse than 100% of other 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 Europe Top 15 is 00
Overall Rank
The Sharpe Ratio Rank of Europe Top 15 is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of Europe Top 15 is 00
Sortino Ratio Rank
The Omega Ratio Rank of Europe Top 15 is 00
Omega Ratio Rank
The Calmar Ratio Rank of Europe Top 15 is 00
Calmar Ratio Rank
The Martin Ratio Rank of Europe Top 15 is 11
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.


The chart of Sharpe ratio for Portfolio, currently valued at -1.08, compared to the broader market-4.00-2.000.002.00
Portfolio: -1.08
^GSPC: 0.46
The chart of Sortino ratio for Portfolio, currently valued at -1.43, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: -1.43
^GSPC: 0.77
The chart of Omega ratio for Portfolio, currently valued at 0.82, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 0.82
^GSPC: 1.11
The chart of Calmar ratio for Portfolio, currently valued at -0.68, compared to the broader market0.002.004.006.00
Portfolio: -0.68
^GSPC: 0.47
The chart of Martin ratio for Portfolio, currently valued at -1.42, compared to the broader market0.005.0010.0015.0020.00
Portfolio: -1.42
^GSPC: 1.94

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NOV.DE
Novo Nordisk A/S
-1.24-1.840.76-0.85-1.68
ASML.AS
ASML Holding NV
-0.55-0.540.93-0.53-0.86
NESN.SW
Nestlé S.A.
0.310.641.080.180.50
AZN.L
AstraZeneca plc
-0.29-0.220.97-0.26-0.48
SHELL.AS
Shell plc
-0.22-0.150.98-0.23-0.59
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-0.90-1.290.85-0.67-1.54
NOVN.SW
Novartis AG
0.881.251.190.992.13
SAP.DE
SAP SE
1.922.791.352.7712.04
ROG.SW
Roche Holding AG
1.492.001.290.884.45
HSBA.L
HSBC Holdings plc
1.441.791.291.657.99
TTE.PA
TotalEnergies SE
-0.59-0.670.91-0.53-1.02
SIE.DE
Siemens Aktiengesellschaft
0.831.371.171.063.38
UNA.AS
Unilever PLC
1.251.811.250.473.18
SU.PA
Schneider Electric S.E.
0.280.591.080.341.07
OR.PA
L'Oréal S.A.
-0.34-0.330.96-0.29-0.45

The current Europe Top 15 Sharpe ratio is -1.08. 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 0.39 to 0.88, 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 Europe Top 15 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-1.08
0.46
Europe Top 15
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Europe Top 15 provided a 2.96% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.96%2.86%2.79%2.78%2.36%2.59%2.90%3.50%3.07%3.27%3.38%3.10%
NOV.DE
Novo Nordisk A/S
0.38%0.21%0.14%0.16%0.17%0.27%0.28%3.65%0.31%0.49%0.17%0.23%
ASML.AS
ASML Holding NV
1.38%0.92%0.87%1.28%0.47%0.64%1.19%1.02%0.83%0.98%0.85%0.68%
NESN.SW
Nestlé S.A.
3.56%4.01%3.03%2.61%2.16%2.59%2.34%2.94%2.74%3.08%2.95%2.95%
AZN.L
AstraZeneca plc
2.36%2.23%2.21%1.98%2.33%2.95%2.87%3.44%4.28%4.50%3.95%3.73%
SHELL.AS
Shell plc
4.43%4.21%3.86%3.56%3.61%5.72%6.43%6.24%5.96%6.55%8.08%5.12%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
2.61%2.05%1.70%1.76%0.96%0.90%1.50%2.09%1.71%1.98%2.28%3.58%
NOVN.SW
Novartis AG
3.78%3.72%3.77%3.91%3.94%3.72%3.27%3.98%3.98%4.35%3.58%3.17%
SAP.DE
SAP SE
0.90%0.93%1.47%2.54%1.48%1.47%1.25%1.61%1.34%1.39%1.50%1.72%
ROG.SW
Roche Holding AG
3.70%3.76%3.89%3.20%2.40%2.91%2.77%3.41%3.33%3.48%2.89%2.89%
HSBA.L
HSBC Holdings plc
6.15%6.10%6.80%4.11%3.54%0.00%6.79%5.83%5.18%5.79%6.12%4.88%
TTE.PA
TotalEnergies SE
5.99%5.73%4.64%6.26%5.92%7.59%3.94%5.46%5.36%5.01%5.91%5.69%
SIE.DE
Siemens Aktiengesellschaft
2.51%2.49%2.50%3.09%2.29%3.32%3.62%4.21%3.44%3.32%4.07%3.55%
UNA.AS
Unilever PLC
3.20%3.16%3.89%3.64%3.63%3.31%3.16%3.21%2.95%3.23%2.92%3.46%
SU.PA
Schneider Electric S.E.
1.61%1.45%1.73%2.22%1.51%2.16%2.57%3.68%2.88%3.03%3.65%3.09%
OR.PA
L'Oréal S.A.
1.76%1.93%1.33%1.44%0.96%1.24%1.46%1.76%1.78%1.79%1.74%1.79%

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%NovemberDecember2025FebruaryMarchApril
-34.07%
-10.07%
Europe Top 15
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Europe Top 15. 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 Europe Top 15 was 47.47%, occurring on Mar 9, 2009. Recovery took 395 trading sessions.

The current Europe Top 15 drawdown is 34.07%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.47%Dec 11, 2007317Mar 9, 2009395Sep 21, 2010712
-40.14%Jun 26, 2024203Apr 9, 2025
-29.16%Mar 20, 2002256Mar 12, 2003137Sep 19, 2003393
-27.03%Nov 19, 2021220Sep 26, 202274Jan 9, 2023294
-25.23%Jan 20, 202043Mar 18, 202053Jun 3, 202096

Volatility

Volatility Chart

The current Europe Top 15 volatility is 12.50%, 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%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
12.50%
14.23%
Europe Top 15
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets
2.004.006.008.0010.0012.0014.00
Effective Assets: 15.00

The portfolio contains 15 assets, with an effective number of assets of 15.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCNOV.DEAZN.LUNA.ASROG.SWNESN.SWHSBA.LASML.ASNOVN.SWSHELL.ASSAP.DETTE.PASU.PAOR.PASIE.DEMC.PAPortfolio
^GSPC1.000.210.280.260.230.210.400.420.250.360.420.400.420.380.470.430.48
NOV.DE0.211.000.330.260.320.280.210.240.340.210.300.240.290.310.280.290.62
AZN.L0.280.331.000.370.460.370.380.320.500.340.350.350.350.410.380.390.56
UNA.AS0.260.260.371.000.380.500.340.310.410.350.380.390.380.530.390.450.53
ROG.SW0.230.320.460.381.000.540.310.330.630.350.390.370.370.410.380.400.59
NESN.SW0.210.280.370.500.541.000.310.310.570.350.380.380.370.510.380.440.57
HSBA.L0.400.210.380.340.310.311.000.410.340.490.420.510.500.420.510.510.56
ASML.AS0.420.240.320.310.330.310.411.000.330.380.560.410.530.460.560.540.65
NOVN.SW0.250.340.500.410.630.570.340.331.000.380.410.400.380.450.410.420.61
SHELL.AS0.360.210.340.350.350.350.490.380.381.000.420.820.450.420.520.470.58
SAP.DE0.420.300.350.380.390.380.420.560.410.421.000.470.550.540.620.570.69
TTE.PA0.400.240.350.390.370.380.510.410.400.820.471.000.530.500.580.540.64
SU.PA0.420.290.350.380.370.370.500.530.380.450.550.531.000.550.690.630.71
OR.PA0.380.310.410.530.410.510.420.460.450.420.540.500.551.000.570.660.70
SIE.DE0.470.280.380.390.380.380.510.560.410.520.620.580.690.571.000.640.73
MC.PA0.430.290.390.450.400.440.510.540.420.470.570.540.630.660.641.000.75
Portfolio0.480.620.560.530.590.570.560.650.610.580.690.640.710.700.730.751.00
The correlation results are calculated based on daily price changes starting from Nov 20, 2001