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Fr

Last updated Mar 2, 2024

Asset Allocation


RI.PA 8.33%SAN.PA 8.33%RMS.PA 8.33%MC.PA 8.33%DSY.PA 8.33%OR.PA 8.33%AI.PA 8.33%TTE 8.33%ASML.AS 8.33%EL.PA 8.33%SK.PA 8.33%CA.PA 8.33%EquityEquity
PositionCategory/SectorWeight
RI.PA
Pernod Ricard SA
Consumer Defensive

8.33%

SAN.PA
Sanofi
Healthcare

8.33%

RMS.PA
Hermès International Société en commandite par actions
Consumer Cyclical

8.33%

MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
Consumer Cyclical

8.33%

DSY.PA
Dassault Systèmes SE
Technology

8.33%

OR.PA
L'Oréal S.A.
Consumer Defensive

8.33%

AI.PA
L'Air Liquide S.A.
Basic Materials

8.33%

TTE
TotalEnergies SE
Energy

8.33%

ASML.AS
ASML Holding NV
Technology

8.33%

EL.PA
EssilorLuxottica Société anonyme
Healthcare

8.33%

SK.PA
SEB SA
Consumer Cyclical

8.33%

CA.PA
Carrefour SA
Consumer Defensive

8.33%

S&P 500

Performance

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


0.00%1,000.00%2,000.00%3,000.00%4,000.00%OctoberNovemberDecember2024FebruaryMarch
3,494.81%
662.62%
Fr
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 2, 1996, corresponding to the inception date of DSY.PA

Returns

As of Mar 2, 2024, the Fr returned 2.83% Year-To-Date and 12.30% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Fr2.83%2.76%9.95%16.57%14.35%12.30%
RI.PA
Pernod Ricard SA
-4.37%2.22%-12.34%-18.82%1.34%5.64%
SAN.PA
Sanofi
-4.77%-6.58%-11.20%3.54%6.13%2.79%
RMS.PA
Hermès International Société en commandite par actions
17.94%17.96%22.95%37.06%31.15%23.13%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
12.95%9.30%10.29%9.01%22.38%20.43%
DSY.PA
Dassault Systèmes SE
-5.36%-11.43%17.61%20.14%9.57%15.14%
OR.PA
L'Oréal S.A.
-3.99%-0.72%9.39%20.81%14.61%12.40%
AI.PA
L'Air Liquide S.A.
3.91%7.53%12.12%29.80%16.11%10.39%
TTE
TotalEnergies SE
-4.27%-1.04%3.42%8.46%8.82%5.48%
ASML.AS
ASML Holding NV
28.61%12.09%47.22%59.38%39.66%27.46%
EL.PA
EssilorLuxottica Société anonyme
6.51%8.27%13.77%25.94%13.16%8.87%
SK.PA
SEB SA
-3.31%-1.77%10.93%9.45%-3.34%6.68%
CA.PA
Carrefour SA
-9.25%-3.04%-10.90%-10.75%-1.23%-5.00%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.07%2.70%
2023-4.57%-7.42%0.96%8.62%4.52%

Sharpe Ratio

The current Fr Sharpe ratio is 1.09. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.09

The Sharpe ratio of Fr is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.09
2.44
Fr
Benchmark (^GSPC)
Portfolio components

Dividend yield

Fr granted a 2.13% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Fr2.13%2.14%2.30%1.75%1.99%1.87%2.12%2.02%2.01%2.02%2.21%2.01%
RI.PA
Pernod Ricard SA
3.01%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
4.08%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
0.56%0.68%0.55%0.30%0.52%0.68%0.85%0.84%0.86%0.95%0.92%0.95%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
1.48%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
0.49%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.
1.36%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.
1.58%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
4.88%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
0.68%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
1.63%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
2.20%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
3.65%3.38%3.32%2.98%1.64%3.08%3.09%3.88%3.06%2.55%2.45%2.01%

Expense Ratio

The 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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Fr
1.09
RI.PA
Pernod Ricard SA
-0.80
SAN.PA
Sanofi
0.10
RMS.PA
Hermès International Société en commandite par actions
1.38
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
0.29
DSY.PA
Dassault Systèmes SE
0.78
OR.PA
L'Oréal S.A.
0.98
AI.PA
L'Air Liquide S.A.
1.54
TTE
TotalEnergies SE
0.50
ASML.AS
ASML Holding NV
1.92
EL.PA
EssilorLuxottica Société anonyme
1.33
SK.PA
SEB SA
0.40
CA.PA
Carrefour SA
-0.57

Asset Correlations Table

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

TTESK.PAASML.ASRI.PARMS.PAEL.PADSY.PASAN.PACA.PAAI.PAOR.PAMC.PA
TTE1.000.250.270.270.270.280.270.340.380.420.360.40
SK.PA0.251.000.310.310.360.340.350.290.330.380.350.42
ASML.AS0.270.311.000.280.360.330.470.330.340.420.410.49
RI.PA0.270.310.281.000.360.420.320.360.350.430.470.44
RMS.PA0.270.360.360.361.000.390.390.300.330.410.450.55
EL.PA0.280.340.330.420.391.000.350.380.350.440.460.44
DSY.PA0.270.350.470.320.390.351.000.340.340.430.440.48
SAN.PA0.340.290.330.360.300.380.341.000.440.490.480.44
CA.PA0.380.330.340.350.330.350.340.441.000.490.480.48
AI.PA0.420.380.420.430.410.440.430.490.491.000.570.57
OR.PA0.360.350.410.470.450.460.440.480.480.571.000.60
MC.PA0.400.420.490.440.550.440.480.440.480.570.601.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-1.11%
0
Fr
Benchmark (^GSPC)
Portfolio components

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 49.53%, occurring on Mar 9, 2009. Recovery took 366 trading sessions.

The current Fr drawdown is 1.11%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.53%May 20, 2008208Mar 9, 2009366Aug 9, 2010574
-33.05%Jan 6, 2022187Sep 26, 2022134Apr 3, 2023321
-32.96%Jul 11, 2000311Sep 21, 2001123Mar 15, 2002434
-27.12%Jan 20, 202043Mar 18, 202077Jul 6, 2020120
-25.56%Jul 1, 2002181Mar 12, 200357Jun 2, 2003238

Volatility Chart

The current Fr volatility is 3.30%, 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%OctoberNovemberDecember2024FebruaryMarch
3.30%
3.47%
Fr
Benchmark (^GSPC)
Portfolio components
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