PEA | PortfoliosLab

Asset Allocation

Position	Category/Sector	Target Weight
RI.PA Pernod Ricard SA	Consumer Defensive	10%
SAN.PA Sanofi	Healthcare	10%
RMS.PA Hermès International Société en commandite par actions	Consumer Cyclical	10%
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	Consumer Cyclical	10%
DSY.PA Dassault Systèmes SE	Technology	10%
OR.PA L'Oréal S.A.	Consumer Defensive	10%
AI.PA L'Air Liquide S.A.	Basic Materials	10%
TTE.PA TotalEnergies SE	Energy	10%
ASML.AS ASML Holding NV	Technology	10%
EL.PA EssilorLuxottica Société anonyme	Healthcare	10%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PEA, 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.

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Returns By Period

As of Jun 6, 2026, the PEA returned -0.96% Year-To-Date and 13.28% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio PEA	2.08%	1.41%	-0.96%	-1.66%	4.01%	3.00%	4.70%	13.28%
Portfolio components:
AI.PA L'Air Liquide S.A.	1.10%	4.40%	14.47%	14.64%	3.09%	13.14%	10.31%	13.70%
ASML.AS ASML Holding NV	0.97%	11.86%	61.28%	57.53%	130.51%	35.15%	21.82%	34.26%
DSY.PA Dassault Systèmes SE	6.05%	2.99%	-15.28%	-13.29%	-35.61%	-18.47%	-11.82%	4.62%
EL.PA EssilorLuxottica Société anonyme	3.94%	1.31%	-33.92%	-40.63%	-25.95%	6.61%	5.14%	5.88%
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	2.99%	-1.19%	-26.16%	-23.50%	5.10%	-12.29%	-5.20%	14.84%
OR.PA L'Oréal S.A.	0.23%	0.67%	1.98%	1.17%	1.07%	1.52%	0.39%	10.21%
RI.PA Pernod Ricard SA	0.44%	-5.44%	-17.35%	-18.93%	-25.27%	-27.85%	-17.56%	-2.04%
RMS.PA Hermès International Société en commandite par actions	1.29%	-6.13%	-25.54%	-26.38%	-29.78%	-2.65%	6.40%	18.44%
SAN.PA Sanofi	4.08%	3.02%	-3.55%	-5.31%	-6.96%	-0.07%	0.98%	4.97%
TTE.PA TotalEnergies SE	-0.15%	0.58%	39.06%	40.38%	59.79%	21.56%	20.08%	12.73%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 29, 2007, PEA's average daily return is +0.05%, while the average monthly return is +1.03%. At this rate, an investment would double in approximately 5.6 years.

Historically, 63% of months were positive and 37% were negative. The best month was Sep 2010 with a return of +17.2%, while the worst month was Jan 2009 at -16.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.

On a daily basis, PEA closed higher 53% of trading days. The best single day was Nov 24, 2008 with a return of +12.3%, while the worst single day was Oct 6, 2008 at -9.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.69%	0.27%	-8.68%	3.00%	1.12%	1.13%							-0.96%
2025	9.23%	0.39%	-2.95%	1.77%	0.63%	0.04%	-2.42%	4.67%	1.33%	2.80%	0.00%	-1.12%	14.69%
2024	0.90%	3.37%	1.59%	-4.01%	1.62%	-3.73%	-0.23%	3.74%	1.17%	-10.72%	-3.84%	1.27%	-9.41%
2023	9.79%	-1.81%	7.94%	4.26%	-4.10%	4.74%	1.05%	-4.89%	-6.26%	0.42%	7.90%	4.76%	24.62%
2022	-7.55%	-3.31%	1.13%	-6.19%	0.02%	-8.63%	8.75%	-7.72%	-7.35%	6.80%	15.56%	-1.69%	-12.58%
2021	-1.99%	4.03%	3.82%	6.63%	5.68%	1.65%	3.07%	0.84%	-4.60%	7.76%	0.40%	3.42%	34.52%

Benchmark Metrics

PEA has an annualized alpha of 6.89%, beta of 0.61, and R2 of 0.31 versus S&P 500 Index. Calculated based on daily prices since May 29, 2007.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (99.55%) than losses (89.06%) - typical of diversified or defensive assets.
Beta of 0.61 may look defensive, but with R2 of 0.31 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.31 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 6.89%

Beta: 0.61

R²: 0.31

Upside Capture: 99.55%

Downside Capture: 89.06%

Expense Ratio

PEA 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.

Return for Risk

Risk / Return Rank

PEA ranks 5 for risk / return — in the bottom 5% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for PEA and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.18	1.94	-1.75
Sortino ratioReturn per unit of downside risk	0.39	2.63	-2.24
Omega ratioGain probability vs. loss probability	1.04	1.35	-0.31
Calmar ratioReturn relative to maximum drawdown	0.25	2.59	-2.34
Martin ratioReturn relative to average drawdown	0.59	11.84	-11.26
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AI.PA L'Air Liquide S.A.	43	0.13	0.32	1.04	0.15	0.30
ASML.AS ASML Holding NV	95	3.28	3.69	1.47	8.19	20.88
DSY.PA Dassault Systèmes SE	10	-0.96	-1.15	0.81	-0.74	-1.27
EL.PA EssilorLuxottica Société anonyme	15	-0.80	-1.13	0.87	-0.53	-1.11
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	44	0.11	0.42	1.05	0.12	0.24
OR.PA L'Oréal S.A.	39	-0.00	0.19	1.02	-0.00	-0.01
RI.PA Pernod Ricard SA	10	-0.96	-1.32	0.85	-0.71	-1.28
RMS.PA Hermès International Société en commandite par actions	6	-1.03	-1.46	0.83	-0.86	-1.59
SAN.PA Sanofi	30	-0.23	-0.15	0.98	-0.33	-0.66
TTE.PA TotalEnergies SE	94	2.65	3.32	1.45	6.96	20.57

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

PEA Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 0.18
5-Year: 0.23
10-Year: 0.69
All Time: 0.52

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.64 to 2.53, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of PEA compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

PEA provided a 2.94% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.94%	2.91%	2.42%	2.01%	2.12%	1.63%	1.99%	1.80%	2.17%	2.03%	2.03%	2.10%
Portfolio components:
AI.PA L'Air Liquide S.A.	2.04%	2.06%	1.85%	1.67%	1.99%	1.79%	2.01%	1.91%	2.44%	2.25%	2.40%	2.46%
ASML.AS ASML Holding NV	0.50%	0.71%	0.92%	0.87%	1.28%	0.47%	0.64%	1.19%	1.02%	0.83%	0.98%	0.85%
DSY.PA Dassault Systèmes SE	1.34%	1.09%	0.69%	0.47%	0.51%	0.21%	0.42%	0.44%	0.56%	0.60%	0.65%	0.58%
EL.PA EssilorLuxottica Société anonyme	2.27%	1.46%	1.68%	1.78%	1.48%	0.58%	0.90%	1.50%	1.39%	1.30%	1.03%	0.89%
MC.PA LVMH Moët Hennessy - Louis Vuitton, Société Européenne	2.74%	2.02%	2.05%	1.70%	1.76%	0.96%	0.90%	1.50%	2.09%	1.71%	1.98%	2.28%
OR.PA L'Oréal S.A.	1.94%	1.91%	1.93%	1.33%	1.44%	0.96%	1.24%	1.46%	1.76%	1.78%	1.79%	1.74%
RI.PA Pernod Ricard SA	7.69%	6.43%	4.31%	2.94%	2.24%	1.48%	1.70%	1.96%	1.65%	1.53%	1.83%	1.71%
RMS.PA Hermès International Société en commandite par actions	1.14%	1.23%	1.08%	0.68%	0.55%	0.30%	0.52%	0.68%	1.34%	0.84%	0.86%	0.95%
SAN.PA Sanofi	5.39%	4.74%	4.01%	3.97%	3.71%	3.61%	4.00%	3.43%	4.00%	4.12%	3.81%	3.63%
TTE.PA TotalEnergies SE	4.39%	7.43%	5.73%	4.64%	6.26%	5.92%	7.59%	3.94%	5.46%	5.36%	5.01%	5.91%

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 PEA. 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 PEA was 47.18%, occurring on Mar 3, 2009. Recovery took 393 trading sessions.

The current PEA drawdown is 5.78%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-47.18%Mar 2009	9mo 4d	1y 6mo	2y 3moJun 2008 - Sep 2010
Bear market2022	-31.35%Sep 2022	10mo 11d	6mo 9d	1y 4moNov 2021 - Apr 2023
COVID crash2020	-30.30%Mar 2020	1mo 28d	3mo 27d	5mo 25dJan 2020 - Jul 2020
Financial crisis2007–2009	-20.27%Jan 2008	1mo 11d	4mo 10d	5mo 21dDec 2007 - May 2008
2011 correction2011	-19.82%Oct 2011	2mo 9d	4mo 22d	7mo 1dJul 2011 - Feb 2012

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 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.75	1.55	1.42	1.39	1.33

The portfolio has a diversification ratio of 1.33, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

PEA correlation to the S&P 500 Index

PEA has a 0.41 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.39
Correlation (5Y) Calculated over the trailing 5-year period	0.47
Correlation (10Y) Calculated over the trailing 10-year period	0.48
Correlation (All Time) Calculated using the full available price history since May 29, 2007	0.51

Benchmark Correlations

Correlation vs. S&P 500 Index. MC.PA has the highest benchmark correlation at 0.45, while RI.PA has the lowest at 0.32.

0.32

0.35

0.35

0.37

0.39

0.40

0.40

0.43

0.45

0.45

Portfolio Correlations

Correlation vs. PEA. MC.PA has the highest portfolio correlation at 0.84, while TTE.PA has the lowest at 0.65.

0.65

0.65

0.69

0.71

0.71

0.73

0.74

0.79

0.80

0.84

Asset Correlations Table

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

	TTE.PA	SAN.PA	ASML.AS	DSY.PA	RI.PA	RMS.PA	EL.PA	OR.PA	AI.PA	MC.PA
TTE.PA	1.00	0.46	0.40	0.37	0.42	0.36	0.44	0.47	0.58	0.52
SAN.PA	0.46	1.00	0.36	0.41	0.46	0.36	0.50	0.53	0.56	0.48
ASML.AS	0.40	0.36	1.00	0.51	0.37	0.46	0.45	0.47	0.50	0.53
DSY.PA	0.37	0.41	0.51	1.00	0.46	0.49	0.49	0.54	0.53	0.55
RI.PA	0.42	0.46	0.37	0.46	1.00	0.49	0.52	0.62	0.55	0.59
RMS.PA	0.36	0.36	0.46	0.49	0.49	1.00	0.52	0.56	0.52	0.68
EL.PA	0.44	0.50	0.45	0.49	0.52	0.52	1.00	0.59	0.59	0.59
OR.PA	0.47	0.53	0.47	0.54	0.62	0.56	0.59	1.00	0.64	0.68
AI.PA	0.58	0.56	0.50	0.53	0.55	0.52	0.59	0.64	1.00	0.65
MC.PA	0.52	0.48	0.53	0.55	0.59	0.68	0.59	0.68	0.65	1.00

The correlation results are calculated based on daily price changes starting from May 29, 2007

Diversification Analysis

Find what PEA is missing

See which holdings overlap, where PEA is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification