EUROPE
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BMW.DE Bayerische Motoren Werke Aktiengesellschaft | Consumer Cyclical | 20% |
IBE.MC Iberdrola S.A. | Utilities | 20% |
NVO Novo Nordisk A/S | Healthcare | 20% |
RMS.PA Hermès International Société en commandite par actions | Consumer Cyclical | 20% |
SIE.DE Siemens Aktiengesellschaft | Industrials | 20% |
Performance
Performance Chart
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The earliest data available for this chart is Feb 1, 1994, corresponding to the inception date of SIE.DE
Returns By Period
As of May 10, 2025, the EUROPE returned 10.98% Year-To-Date and 14.23% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 3.72% | -5.60% | 8.55% | 14.11% | 10.45% |
| EUROPE | 10.98% | 15.70% | 10.55% | 0.61% | 23.28% | 14.23% |
| Portfolio components: | ||||||
SIE.DE Siemens Aktiengesellschaft | 25.55% | 24.09% | 25.56% | 24.14% | 25.36% | 12.84% |
BMW.DE Bayerische Motoren Werke Aktiengesellschaft | 9.03% | 28.83% | 23.72% | -13.16% | 16.14% | 2.10% |
NVO Novo Nordisk A/S | -22.31% | 1.04% | -37.66% | -47.86% | 17.37% | 10.79% |
IBE.MC Iberdrola S.A. | 28.69% | 12.63% | 25.15% | 41.00% | 17.17% | 14.29% |
RMS.PA Hermès International Société en commandite par actions | 15.97% | 14.43% | 25.78% | 12.28% | 30.34% | 22.80% |
Monthly Returns
The table below presents the monthly returns of EUROPE, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 5.73% | 5.20% | -5.21% | 3.18% | 2.01% | 10.98% | |||||||
| 2024 | -1.00% | 8.59% | 2.39% | -2.81% | 2.39% | -1.25% | -2.06% | 4.82% | 0.26% | -6.50% | -3.54% | -0.30% | 0.11% |
| 2023 | 9.90% | 0.24% | 8.93% | 4.15% | -2.23% | 5.87% | 0.34% | -4.25% | -5.27% | -1.94% | 13.14% | 5.72% | 38.10% |
| 2022 | -6.50% | -3.35% | -1.26% | -3.79% | 2.43% | -10.34% | 9.20% | -6.53% | -6.74% | 10.18% | 17.64% | 1.88% | -0.90% |
| 2021 | -1.14% | 1.58% | 4.84% | 5.20% | 4.99% | -0.21% | 1.96% | 2.00% | -5.94% | 10.07% | 1.06% | 2.41% | 29.31% |
| 2020 | -0.81% | -5.81% | -8.14% | 6.96% | 9.36% | 5.07% | 3.86% | 5.02% | 1.18% | -3.49% | 13.21% | 5.78% | 34.53% |
| 2019 | 4.28% | 2.34% | 1.67% | 5.10% | -5.53% | 7.23% | -3.75% | -0.81% | 2.59% | 5.23% | 3.92% | 1.89% | 26.09% |
| 2018 | 6.53% | -7.16% | 1.02% | 2.65% | -0.27% | -3.47% | 5.58% | -1.94% | -2.38% | -8.14% | 0.75% | 1.01% | -6.73% |
| 2017 | 0.93% | 1.77% | 4.64% | 4.90% | 5.15% | -0.70% | 0.30% | 3.76% | 1.40% | 2.46% | -0.40% | 1.74% | 28.99% |
| 2016 | -4.79% | -3.75% | 7.76% | 1.91% | -0.77% | -3.76% | 9.81% | -2.31% | -3.17% | -2.80% | -3.64% | 6.64% | -0.30% |
| 2015 | 1.01% | 3.34% | 2.73% | 2.76% | -0.15% | -2.84% | 3.44% | -6.79% | -3.09% | 8.11% | 0.43% | -0.99% | 7.38% |
| 2014 | -3.35% | 8.66% | 2.77% | 0.38% | 0.27% | 4.06% | -4.14% | -0.75% | -4.71% | -1.80% | 5.30% | -2.92% | 2.89% |
Expense Ratio
EUROPE 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of EUROPE is 6, meaning it’s performing worse than 94% 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.
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 | |
|---|---|---|---|---|---|
SIE.DE Siemens Aktiengesellschaft | 0.70 | 1.54 | 1.19 | 1.18 | 4.03 |
BMW.DE Bayerische Motoren Werke Aktiengesellschaft | -0.39 | -0.38 | 0.95 | -0.35 | -0.77 |
NVO Novo Nordisk A/S | -1.13 | -1.74 | 0.77 | -0.82 | -1.53 |
IBE.MC Iberdrola S.A. | 1.96 | 2.30 | 1.33 | 2.78 | 6.63 |
RMS.PA Hermès International Société en commandite par actions | 0.42 | 0.79 | 1.10 | 0.54 | 1.32 |
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Dividends
Dividend yield
EUROPE provided a 3.45% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.45% | 3.40% | 3.37% | 3.18% | 2.03% | 2.52% | 3.01% | 3.67% | 3.05% | 3.25% | 2.44% | 2.88% |
| Portfolio components: | ||||||||||||
SIE.DE Siemens Aktiengesellschaft | 2.43% | 2.49% | 2.50% | 3.09% | 2.29% | 3.32% | 3.62% | 4.21% | 3.44% | 3.32% | 4.07% | 3.55% |
BMW.DE Bayerische Motoren Werke Aktiengesellschaft | 7.53% | 7.60% | 8.43% | 6.96% | 2.15% | 3.46% | 4.79% | 5.66% | 4.03% | 3.61% | 2.97% | 2.90% |
NVO Novo Nordisk A/S | 2.45% | 1.68% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% |
IBE.MC Iberdrola S.A. | 3.76% | 4.16% | 4.22% | 4.11% | 4.05% | 3.42% | 3.82% | 4.65% | 4.83% | 4.51% | 1.74% | 5.06% |
RMS.PA Hermès International Société en commandite par actions | 1.06% | 1.08% | 0.68% | 0.55% | 0.30% | 0.52% | 0.68% | 1.34% | 0.84% | 0.86% | 2.09% | 0.92% |
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 EUROPE. 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 was 51.26%, occurring on Mar 9, 2009. Recovery took 362 trading sessions.
The current EUROPE drawdown is 3.65%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -51.26% | May 20, 2008 | 208 | Mar 9, 2009 | 362 | Aug 3, 2010 | 570 |
| -30.14% | Feb 7, 2001 | 162 | Sep 21, 2001 | 117 | Mar 7, 2002 | 279 |
| -28.94% | Nov 22, 2021 | 221 | Sep 27, 2022 | 72 | Jan 6, 2023 | 293 |
| -28.85% | Jul 26, 2011 | 259 | Jul 24, 2012 | 130 | Jan 24, 2013 | 389 |
| -28.79% | Jan 20, 2020 | 44 | Mar 19, 2020 | 52 | Jun 2, 2020 | 96 |
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 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | NVO | IBE.MC | RMS.PA | BMW.DE | SIE.DE | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.35 | 0.29 | 0.27 | 0.37 | 0.44 | 0.48 |
| NVO | 0.35 | 1.00 | 0.22 | 0.22 | 0.21 | 0.23 | 0.51 |
| IBE.MC | 0.29 | 0.22 | 1.00 | 0.35 | 0.39 | 0.43 | 0.63 |
| RMS.PA | 0.27 | 0.22 | 0.35 | 1.00 | 0.39 | 0.43 | 0.68 |
| BMW.DE | 0.37 | 0.21 | 0.39 | 0.39 | 1.00 | 0.57 | 0.73 |
| SIE.DE | 0.44 | 0.23 | 0.43 | 0.43 | 0.57 | 1.00 | 0.77 |
| Portfolio | 0.48 | 0.51 | 0.63 | 0.68 | 0.73 | 0.77 | 1.00 |