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EUROPE

Last updated Mar 2, 2024

Asset Allocation


SIE.DE 20%BMW.DE 20%NVO 20%IBE.MC 20%RMS.PA 20%EquityEquity
PositionCategory/SectorWeight
SIE.DE
Siemens Aktiengesellschaft
Industrials

20%

BMW.DE
Bayerische Motoren Werke Aktiengesellschaft
Consumer Cyclical

20%

NVO
Novo Nordisk A/S
Healthcare

20%

IBE.MC
Iberdrola S.A.
Utilities

20%

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

20%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in EUROPE, 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%2,000.00%4,000.00%6,000.00%8,000.00%10,000.00%OctoberNovemberDecember2024FebruaryMarch
10,316.47%
971.07%
EUROPE
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 1, 1994, corresponding to the inception date of SIE.DE

Returns

As of Mar 2, 2024, the EUROPE returned 7.95% Year-To-Date and 14.39% 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%
EUROPE7.95%8.84%21.20%32.33%23.87%14.45%
SIE.DE
Siemens Aktiengesellschaft
7.42%12.09%35.10%28.82%17.63%8.81%
BMW.DE
Bayerische Motoren Werke Aktiengesellschaft
6.66%12.28%16.33%19.32%13.01%5.13%
NVO
Novo Nordisk A/S
20.09%9.26%31.24%73.03%39.00%19.31%
IBE.MC
Iberdrola S.A.
-12.16%-4.75%-0.69%3.36%9.72%8.33%
RMS.PA
Hermès International Société en commandite par actions
17.94%14.49%22.93%36.01%31.38%23.14%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.07%8.97%
2023-4.28%-5.27%-1.94%13.15%5.73%

Sharpe Ratio

The current EUROPE Sharpe ratio is 2.06. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.06

The Sharpe ratio of EUROPE lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00OctoberNovemberDecember2024FebruaryMarch
2.06
2.44
EUROPE
Benchmark (^GSPC)
Portfolio components

Dividend yield

EUROPE granted a 2.99% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
EUROPE2.99%3.01%2.79%1.60%2.01%2.44%2.90%2.08%1.97%1.67%2.72%2.60%
SIE.DE
Siemens Aktiengesellschaft
2.59%2.50%3.09%2.29%3.32%3.62%4.21%3.44%3.32%4.07%3.55%3.35%
BMW.DE
Bayerische Motoren Werke Aktiengesellschaft
7.74%8.43%6.96%2.15%3.46%4.79%5.66%4.03%3.61%2.97%2.90%2.93%
NVO
Novo Nordisk A/S
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IBE.MC
Iberdrola S.A.
4.03%3.42%3.34%3.28%2.77%3.10%3.76%2.07%2.04%0.37%6.25%5.75%
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%

Expense Ratio

The EUROPE 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
EUROPE
2.06
SIE.DE
Siemens Aktiengesellschaft
1.10
BMW.DE
Bayerische Motoren Werke Aktiengesellschaft
1.02
NVO
Novo Nordisk A/S
2.49
IBE.MC
Iberdrola S.A.
0.18
RMS.PA
Hermès International Société en commandite par actions
1.38

Asset Correlations Table

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

NVORMS.PAIBE.MCBMW.DESIE.DE
NVO1.000.200.220.200.23
RMS.PA0.201.000.330.370.40
IBE.MC0.220.331.000.380.41
BMW.DE0.200.370.381.000.56
SIE.DE0.230.400.410.561.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
EUROPE
Benchmark (^GSPC)
Portfolio components

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 51.29%, occurring on Mar 9, 2009. Recovery took 362 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-51.29%May 20, 2008208Mar 9, 2009362Aug 3, 2010570
-30.38%Feb 7, 2001162Sep 21, 2001123Mar 15, 2002285
-29.14%Nov 22, 2021221Sep 27, 202272Jan 6, 2023293
-29.08%Jul 26, 2011259Jul 24, 2012130Jan 24, 2013389
-28.81%Jan 20, 202044Mar 19, 202052Jun 2, 202096

Volatility Chart

The current EUROPE volatility is 3.17%, 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%6.00%7.00%OctoberNovemberDecember2024FebruaryMarch
3.17%
3.47%
EUROPE
Benchmark (^GSPC)
Portfolio components
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