Fr
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AI.PA L'Air Liquide S.A. | Basic Materials | 8.33% |
ASML.AS ASML Holding NV | Technology | 8.33% |
CA.PA Carrefour SA | Consumer Defensive | 8.33% |
DSY.PA Dassault Systèmes SE | Technology | 8.33% |
EL.PA EssilorLuxottica Société anonyme | Healthcare | 8.33% |
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne | Consumer Cyclical | 8.33% |
OR.PA L'Oréal S.A. | Consumer Defensive | 8.33% |
RI.PA Pernod Ricard SA | Consumer Defensive | 8.33% |
RMS.PA Hermès International Société en commandite par actions | Consumer Cyclical | 8.33% |
SAN.PA Sanofi | Healthcare | 8.33% |
SK.PA SEB SA | Consumer Cyclical | 8.33% |
TTE TotalEnergies SE | Energy | 8.33% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Fr, 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
The earliest data available for this chart is Jul 2, 1996, corresponding to the inception date of DSY.PA
Returns By Period
As of Jul 25, 2024, the Fr returned -3.26% Year-To-Date and 11.23% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| Fr | -4.72% | -3.30% | -4.72% | -2.28% | 10.81% | 10.99% |
| Portfolio components: | ||||||
RI.PA Pernod Ricard SA | -21.02% | -0.73% | -18.04% | -36.43% | -2.77% | 3.66% |
SAN.PA Sanofi | 11.15% | 9.04% | 10.19% | 2.65% | 8.43% | 4.10% |
RMS.PA Hermès International Société en commandite par actions | 3.40% | -7.41% | 2.62% | 3.12% | 24.88% | 20.37% |
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne | -11.76% | -8.85% | -14.85% | -21.91% | 11.78% | 17.65% |
DSY.PA Dassault Systèmes SE | -24.83% | -3.99% | -29.26% | -13.94% | 3.74% | 10.89% |
OR.PA L'Oréal S.A. | -13.14% | -8.96% | -10.56% | -4.59% | 10.18% | 10.92% |
AI.PA L'Air Liquide S.A. | 2.93% | 1.55% | 7.50% | 12.57% | 13.32% | 9.36% |
TTE TotalEnergies SE | 2.91% | 2.13% | 5.79% | 20.03% | 11.26% | 5.18% |
ASML.AS ASML Holding NV | 15.70% | -14.22% | 0.62% | 22.10% | 30.47% | 26.85% |
EL.PA EssilorLuxottica Société anonyme | 6.43% | -5.12% | 9.29% | 9.19% | 10.83% | 9.01% |
SK.PA SEB SA | -16.73% | -7.23% | -11.23% | -4.31% | -5.74% | 4.52% |
CA.PA Carrefour SA | -13.44% | 3.49% | -9.71% | -22.22% | -2.45% | -5.57% |
Monthly Returns
The table below presents the monthly returns of Fr, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.08% | 2.40% | 2.16% | -4.23% | 1.88% | -5.44% | -4.72% | ||||||
| 2023 | 11.28% | -0.10% | 6.37% | 3.90% | -5.77% | 5.37% | 1.98% | -4.57% | -7.42% | 0.96% | 8.62% | 4.51% | 25.97% |
| 2022 | -5.97% | -2.59% | 1.35% | -6.59% | -1.03% | -8.84% | 5.90% | -7.49% | -8.73% | 7.46% | 14.91% | -0.92% | -14.42% |
| 2021 | -1.28% | 3.13% | 4.09% | 6.41% | 5.83% | 0.75% | 1.47% | 0.86% | -5.41% | 7.36% | -0.76% | 3.85% | 28.78% |
| 2020 | -3.24% | -5.58% | -6.71% | 3.45% | 7.43% | 6.03% | 2.70% | 2.90% | -2.75% | -3.64% | 15.09% | 4.85% | 20.04% |
| 2019 | 6.23% | 4.95% | 0.97% | 5.12% | -4.79% | 9.03% | -2.40% | -0.98% | 1.92% | 3.16% | 1.71% | 2.55% | 30.21% |
| 2018 | 6.47% | -2.45% | 0.77% | 3.51% | 0.02% | -1.43% | 5.27% | -0.86% | 0.32% | -8.76% | -2.03% | -1.73% | -1.78% |
| 2017 | 1.95% | 0.68% | 5.48% | 5.45% | 5.66% | -1.61% | 2.38% | 0.20% | 2.50% | 3.61% | 0.29% | 0.74% | 30.63% |
| 2016 | -1.34% | -1.83% | 5.09% | 2.04% | 1.45% | -1.12% | 5.50% | -1.02% | 1.45% | -1.74% | -3.44% | 4.19% | 9.09% |
| 2015 | 0.59% | 4.72% | -1.36% | 7.75% | -0.24% | -3.01% | 4.83% | -8.26% | -1.06% | 8.79% | -3.83% | -3.76% | 3.79% |
| 2014 | -8.04% | 5.10% | 1.06% | 4.55% | 1.00% | 1.07% | -4.86% | 1.24% | -3.20% | -1.51% | 4.27% | -2.50% | -2.68% |
| 2013 | 6.51% | -2.52% | 0.55% | 5.22% | 2.87% | -4.55% | 7.39% | -2.25% | 7.22% | -0.48% | -0.22% | 1.24% | 22.02% |
Expense Ratio
Fr has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Fr is 3, indicating that it is in the bottom 3% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
RI.PA Pernod Ricard SA | -1.39 | -2.19 | 0.75 | -0.81 | -1.37 |
SAN.PA Sanofi | 0.35 | 0.56 | 1.11 | 0.41 | 0.84 |
RMS.PA Hermès International Société en commandite par actions | 0.17 | 0.41 | 1.05 | 0.18 | 0.47 |
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne | -0.68 | -0.90 | 0.90 | -0.62 | -1.34 |
DSY.PA Dassault Systèmes SE | -0.45 | -0.47 | 0.94 | -0.26 | -0.72 |
OR.PA L'Oréal S.A. | -0.20 | -0.13 | 0.98 | -0.26 | -0.66 |
AI.PA L'Air Liquide S.A. | 0.83 | 1.33 | 1.16 | 1.32 | 3.06 |
TTE TotalEnergies SE | 1.04 | 1.47 | 1.18 | 1.68 | 4.62 |
ASML.AS ASML Holding NV | 0.88 | 1.39 | 1.18 | 0.84 | 3.54 |
EL.PA EssilorLuxottica Société anonyme | 0.62 | 0.97 | 1.12 | 0.58 | 2.35 |
SK.PA SEB SA | -0.16 | -0.02 | 1.00 | -0.09 | -0.51 |
CA.PA Carrefour SA | -0.94 | -1.25 | 0.85 | -0.30 | -1.54 |
Dividends
Dividend yield
Fr granted a 2.61% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Fr | 2.61% | 2.14% | 2.30% | 1.75% | 1.99% | 1.87% | 2.16% | 2.02% | 2.01% | 2.02% | 2.21% | 2.01% |
| Portfolio components: | ||||||||||||
RI.PA Pernod Ricard SA | 3.96% | 2.94% | 2.24% | 1.48% | 1.70% | 1.96% | 1.65% | 1.53% | 1.83% | 1.71% | 1.78% | 1.98% |
SAN.PA Sanofi | 3.86% | 3.97% | 3.71% | 3.63% | 4.02% | 3.44% | 4.03% | 4.14% | 3.83% | 3.65% | 3.72% | 3.61% |
RMS.PA Hermès International Société en commandite par actions | 0.67% | 0.68% | 0.55% | 0.30% | 0.52% | 0.68% | 1.34% | 0.84% | 0.86% | 0.95% | 0.92% | 0.95% |
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne | 1.99% | 1.70% | 1.76% | 0.96% | 0.90% | 1.50% | 2.09% | 1.71% | 1.98% | 2.28% | 3.58% | 2.26% |
DSY.PA Dassault Systèmes SE | 0.68% | 0.47% | 0.51% | 0.21% | 0.42% | 0.44% | 0.56% | 0.60% | 0.65% | 0.58% | 0.82% | 0.89% |
OR.PA L'Oréal S.A. | 1.68% | 1.33% | 1.44% | 0.96% | 1.24% | 1.46% | 1.76% | 1.78% | 1.79% | 1.74% | 1.79% | 1.80% |
AI.PA L'Air Liquide S.A. | 1.77% | 1.67% | 1.99% | 1.79% | 2.01% | 1.91% | 2.44% | 2.25% | 2.40% | 2.46% | 2.25% | 2.43% |
TTE TotalEnergies SE | 4.86% | 4.67% | 6.21% | 6.10% | 8.97% | 3.64% | 4.75% | 4.29% | 4.47% | 5.06% | 5.21% | 4.31% |
ASML.AS ASML Holding NV | 0.76% | 0.87% | 1.28% | 0.47% | 0.64% | 1.19% | 1.02% | 0.83% | 0.98% | 0.85% | 0.68% | 0.78% |
EL.PA EssilorLuxottica Société anonyme | 2.05% | 1.78% | 1.48% | 0.58% | 0.90% | 1.50% | 1.39% | 1.30% | 1.03% | 0.89% | 1.01% | 1.14% |
SK.PA SEB SA | 2.80% | 2.17% | 3.13% | 1.56% | 0.96% | 1.62% | 1.77% | 1.11% | 1.20% | 1.52% | 2.26% | 2.01% |
CA.PA Carrefour SA | 6.30% | 3.38% | 3.32% | 2.98% | 1.64% | 3.08% | 3.09% | 3.88% | 3.06% | 2.55% | 2.45% | 2.01% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the Fr. 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 Fr was 49.51%, occurring on Mar 9, 2009. Recovery took 366 trading sessions.
The current Fr drawdown is 8.84%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.51% | May 20, 2008 | 208 | Mar 9, 2009 | 366 | Aug 9, 2010 | 574 |
| -33.05% | Jan 6, 2022 | 187 | Sep 26, 2022 | 134 | Apr 3, 2023 | 321 |
| -32.95% | Jul 11, 2000 | 311 | Sep 21, 2001 | 123 | Mar 15, 2002 | 434 |
| -27.12% | Jan 20, 2020 | 43 | Mar 18, 2020 | 77 | Jul 6, 2020 | 120 |
| -25.56% | Jul 1, 2002 | 181 | Mar 12, 2003 | 57 | Jun 2, 2003 | 238 |
Volatility
Volatility Chart
The current Fr volatility is 5.13%, 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.
Diversification
Asset Correlations Table
| TTE | SK.PA | ASML.AS | RI.PA | DSY.PA | SAN.PA | RMS.PA | EL.PA | CA.PA | AI.PA | OR.PA | MC.PA | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TTE | 1.00 | 0.26 | 0.27 | 0.27 | 0.27 | 0.34 | 0.27 | 0.28 | 0.38 | 0.42 | 0.36 | 0.40 |
| SK.PA | 0.26 | 1.00 | 0.31 | 0.32 | 0.35 | 0.29 | 0.36 | 0.34 | 0.33 | 0.38 | 0.36 | 0.42 |
| ASML.AS | 0.27 | 0.31 | 1.00 | 0.28 | 0.47 | 0.33 | 0.36 | 0.33 | 0.33 | 0.42 | 0.41 | 0.49 |
| RI.PA | 0.27 | 0.32 | 0.28 | 1.00 | 0.32 | 0.36 | 0.36 | 0.42 | 0.35 | 0.43 | 0.47 | 0.45 |
| DSY.PA | 0.27 | 0.35 | 0.47 | 0.32 | 1.00 | 0.34 | 0.39 | 0.35 | 0.34 | 0.43 | 0.44 | 0.47 |
| SAN.PA | 0.34 | 0.29 | 0.33 | 0.36 | 0.34 | 1.00 | 0.30 | 0.38 | 0.43 | 0.49 | 0.48 | 0.43 |
| RMS.PA | 0.27 | 0.36 | 0.36 | 0.36 | 0.39 | 0.30 | 1.00 | 0.40 | 0.33 | 0.42 | 0.45 | 0.55 |
| EL.PA | 0.28 | 0.34 | 0.33 | 0.42 | 0.35 | 0.38 | 0.40 | 1.00 | 0.35 | 0.44 | 0.46 | 0.44 |
| CA.PA | 0.38 | 0.33 | 0.33 | 0.35 | 0.34 | 0.43 | 0.33 | 0.35 | 1.00 | 0.49 | 0.48 | 0.48 |
| AI.PA | 0.42 | 0.38 | 0.42 | 0.43 | 0.43 | 0.49 | 0.42 | 0.44 | 0.49 | 1.00 | 0.57 | 0.57 |
| OR.PA | 0.36 | 0.36 | 0.41 | 0.47 | 0.44 | 0.48 | 0.45 | 0.46 | 0.48 | 0.57 | 1.00 | 0.60 |
| MC.PA | 0.40 | 0.42 | 0.49 | 0.45 | 0.47 | 0.43 | 0.55 | 0.44 | 0.48 | 0.57 | 0.60 | 1.00 |