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 SE | 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 N.V. | Technology | 10% |
EL.PA EssilorLuxottica Société anonyme | Healthcare | 10% |
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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 Jul 1, 2026, the PEA returned -2.24% Year-To-Date and 13.95% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.22% | -1.54% | 9.32% | 9.32% | 20.74% | 18.91% | 11.45% | 13.53% |
Portfolio PEA | -0.88% | -1.37% | -2.24% | -2.24% | 1.14% | 1.71% | 4.71% | 13.95% |
| Portfolio components: | ||||||||
AI.PA L'Air Liquide S.A. | 1.34% | 6.91% | 31.69% | 31.69% | 19.48% | 20.37% | 17.62% | 21.15% |
ASML.AS ASML Holding N.V. | -5.01% | 15.18% | 73.18% | 73.18% | 138.63% | 38.39% | 23.28% | 35.51% |
DSY.PA Dassault Systèmes SE | 2.79% | -11.22% | -24.28% | -24.28% | -41.56% | -21.43% | -15.03% | 4.85% |
EL.PA EssilorLuxottica Société anonyme | 5.04% | -2.08% | -36.45% | -36.45% | -27.35% | 4.25% | 4.08% | 5.85% |
MC.PA LVMH Moët Hennessy Louis Vuitton SE | -1.03% | 0.14% | -26.59% | -26.59% | 1.30% | -14.67% | -5.19% | 15.74% |
OR.PA L'Oréal S.A. | -1.25% | -1.95% | 2.46% | 2.46% | 0.23% | -0.71% | 1.20% | 10.39% |
RI.PA Pernod Ricard SA | -3.33% | -1.91% | -17.88% | -17.88% | -29.03% | -28.82% | -17.76% | -2.16% |
RMS.PA Hermès International Société en commandite par actions | -0.58% | -3.08% | -26.46% | -26.46% | -32.91% | -4.80% | 5.61% | 17.95% |
SAN.PA Sanofi | -3.09% | -3.66% | -9.68% | -9.68% | -10.52% | -3.79% | -0.37% | 4.05% |
TTE.PA TotalEnergies SE | -3.48% | -14.54% | 17.52% | 17.52% | 28.16% | 15.34% | 16.94% | 10.73% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 25, 2007, PEA's average daily return is +0.06%, while the average monthly return is +1.15%. At this rate, an investment would double in approximately 5.1 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% | 0.28% | -7.63% | 3.00% | 1.12% | -0.44% | -0.88% | -2.24% | |||||
| 2025 | 9.23% | 0.39% | -2.95% | 1.77% | 0.65% | 0.04% | -2.43% | 4.67% | 1.33% | 2.80% | 0.00% | -1.12% | 14.71% |
| 2024 | 0.90% | 3.37% | 1.59% | -4.02% | 1.89% | -2.77% | -0.23% | 3.74% | 1.17% | -10.72% | -3.84% | 1.27% | -8.26% |
| 2023 | 9.79% | -1.81% | 7.94% | 4.26% | -4.06% | 4.74% | 1.04% | -4.89% | -6.26% | 0.42% | 7.90% | 4.76% | 24.68% |
| 2022 | -7.54% | -3.31% | 1.13% | -6.19% | 0.02% | -7.70% | 8.74% | -7.72% | -7.35% | 6.80% | 15.56% | -1.69% | -11.69% |
| 2021 | -1.99% | 4.03% | 3.82% | 6.63% | 5.87% | 1.66% | 3.07% | 0.85% | -4.60% | 7.76% | 0.40% | 3.42% | 34.77% |
Benchmark Metrics
PEA has an annualized alpha of 8.60%, beta of 0.60, and R2 of 0.31 versus S&P 500 Index. Calculated based on daily prices since June 25, 2007.
- This portfolio captured 102.18% of S&P 500 Index gains but only 84.40% of its losses - a favorable profile for investors.
- Beta of 0.60 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
- 8.60%
- Beta
- 0.60
- R²
- 0.31
- Upside Capture
- 102.18%
- Downside Capture
- 84.40%
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.
Return for Risk
Risk / Return Rank
PEA ranks 7 for risk / return — in the bottom 7% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for PEA and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.07 | 1.66 | -1.59 |
| Sortino ratioReturn per unit of downside risk | 0.22 | 2.29 | -2.07 |
| Omega ratioGain probability vs. loss probability | 1.02 | 1.30 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | 0.10 | 2.29 | -2.19 |
| Martin ratioReturn relative to average drawdown | 0.22 | 9.98 | -9.75 |
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. | 68 | 0.77 | 1.37 | 1.19 | 1.22 | 2.58 |
ASML.AS ASML Holding N.V. | 96 | 3.22 | 3.60 | 1.46 | 8.39 | 21.27 |
DSY.PA Dassault Systèmes SE | 8 | -1.05 | -1.32 | 0.79 | -0.83 | -1.32 |
EL.PA EssilorLuxottica Société anonyme | 15 | -0.84 | -1.21 | 0.86 | -0.56 | -1.07 |
MC.PA LVMH Moët Hennessy Louis Vuitton SE | 43 | 0.04 | 0.30 | 1.04 | 0.04 | 0.08 |
OR.PA L'Oréal S.A. | 41 | 0.01 | 0.21 | 1.03 | 0.01 | 0.03 |
RI.PA Pernod Ricard SA | 12 | -0.96 | -1.32 | 0.85 | -0.71 | -1.15 |
RMS.PA Hermès International Société en commandite par actions | 7 | -1.04 | -1.46 | 0.83 | -0.89 | -1.50 |
SAN.PA Sanofi | 22 | -0.41 | -0.41 | 0.95 | -0.61 | -1.12 |
TTE.PA TotalEnergies SE | 76 | 1.21 | 1.69 | 1.22 | 1.47 | 6.38 |
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Dividends
Dividend yield
PEA provided a 3.03% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.03% | 2.93% | 2.44% | 2.05% | 2.17% | 1.77% | 2.23% | 2.02% | 2.56% | 2.56% | 2.53% | 2.57% |
| Portfolio components: | ||||||||||||
AI.PA L'Air Liquide S.A. | 1.91% | 2.27% | 2.04% | 2.03% | 2.41% | 2.39% | 2.68% | 2.54% | 3.58% | 3.29% | 3.86% | 4.09% |
ASML.AS ASML Holding N.V. | 0.46% | 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 | 1.47% | 1.09% | 0.69% | 0.47% | 0.51% | 1.07% | 2.11% | 2.22% | 2.80% | 2.99% | 3.25% | 2.92% |
EL.PA EssilorLuxottica Société anonyme | 2.31% | 1.46% | 1.68% | 1.82% | 1.48% | 0.59% | 0.90% | 1.50% | 1.39% | 1.30% | 1.03% | 0.89% |
MC.PA LVMH Moët Hennessy Louis Vuitton SE | 2.70% | 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. | 1.89% | 1.91% | 1.93% | 1.33% | 1.44% | 0.96% | 1.24% | 1.46% | 1.76% | 3.57% | 3.58% | 3.48% |
RI.PA Pernod Ricard SA | 7.58% | 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 | 1.13% | 1.23% | 1.08% | 0.68% | 0.57% | 0.30% | 0.52% | 0.46% | 1.88% | 0.84% | 0.00% | 0.00% |
SAN.PA Sanofi | 5.64% | 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 | 5.16% | 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 46.00%, occurring on Mar 3, 2009. Recovery took 181 trading sessions.
The current PEA drawdown is 6.03%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -46.00%Mar 2009 | 9mo 4d | 8mo 18d | 1y 5moJun 2008 - Nov 2009 |
Bear market2022 | -30.65%Sep 2022 | 10mo 11d | 6mo 5d | 1y 4moNov 2021 - Mar 2023 |
COVID crash2020 | -30.30%Mar 2020 | 1mo 28d | 3mo 20d | 5mo 18dJan 2020 - Jul 2020 |
2011 correction2011 | -19.82%Oct 2011 | 2mo 9d | 4mo 22d | 7mo 1dJul 2011 - Feb 2012 |
2016 correction2016 | -18.16%Jan 2016 | 7mo 20d | 6mo 29d | 1y 2moJun 2015 - Aug 2016 |
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 | 1.82 | 1.58 | 1.43 | 1.41 | 1.37 |
The portfolio has a diversification ratio of 1.37, 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
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
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 Jun 25, 2007 | 0.51 |
Benchmark Correlations
Correlation vs. S&P 500 Index. ASML.AS has the highest benchmark correlation at 0.45, while RI.PA has the lowest at 0.31.
Asset Correlations Table
| 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 | 0.39 | 0.37 | 0.41 | 0.36 | 0.44 | 0.47 | 0.57 | 0.51 |
| SAN.PA | 0.46 | 1.00 | 0.36 | 0.41 | 0.46 | 0.36 | 0.50 | 0.53 | 0.56 | 0.48 |
| ASML.AS | 0.39 | 0.36 | 1.00 | 0.50 | 0.37 | 0.45 | 0.45 | 0.46 | 0.49 | 0.53 |
| DSY.PA | 0.37 | 0.41 | 0.50 | 1.00 | 0.46 | 0.49 | 0.49 | 0.53 | 0.53 | 0.54 |
| RI.PA | 0.41 | 0.46 | 0.37 | 0.46 | 1.00 | 0.49 | 0.52 | 0.61 | 0.54 | 0.59 |
| RMS.PA | 0.36 | 0.36 | 0.45 | 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 | 0.58 | 0.59 |
| OR.PA | 0.47 | 0.53 | 0.46 | 0.53 | 0.61 | 0.56 | 0.59 | 1.00 | 0.63 | 0.68 |
| AI.PA | 0.57 | 0.56 | 0.49 | 0.53 | 0.54 | 0.52 | 0.58 | 0.63 | 1.00 | 0.64 |
| MC.PA | 0.51 | 0.48 | 0.53 | 0.54 | 0.59 | 0.68 | 0.59 | 0.68 | 0.64 | 1.00 |
Find what PEA is missing
See which holdings overlap, where PEA is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification