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PEA

Last updated Dec 9, 2023

Asset Allocation


RI.PA 10%SAN.PA 10%RMS.PA 10%MC.PA 10%DSY.PA 10%OR.PA 10%AI.PA 10%TTE.PA 10%ASML.AS 10%EL.PA 10%EquityEquity
PositionCategory/SectorWeight
RI.PA
Pernod Ricard SA
Consumer Defensive10%
SAN.PA
Sanofi
Healthcare10%
RMS.PA
Hermès International Société en commandite par actions
Consumer Cyclical10%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
Consumer Cyclical10%
DSY.PA
Dassault Systèmes SE
Technology10%
OR.PA
L'Oréal S.A.
Consumer Defensive10%
AI.PA
L'Air Liquide S.A.
Basic Materials10%
TTE.PA
TotalEnergies SE
Energy10%
ASML.AS
ASML Holding NV
Technology10%
EL.PA
EssilorLuxottica Société anonyme
Healthcare10%

Performance

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 Quarterly


-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.09%
7.11%
PEA
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 Dec 9, 2023, the PEA returned 20.69% Year-To-Date and 13.73% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
PEA20.69%5.30%3.09%17.66%18.08%13.73%
RI.PA
Pernod Ricard SA
-11.04%-6.05%-17.82%-12.19%4.92%8.96%
SAN.PA
Sanofi
-0.55%0.00%-9.72%0.39%6.26%5.54%
RMS.PA
Hermès International Société en commandite par actions
38.12%7.10%3.44%31.52%32.85%23.72%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
10.43%5.89%-9.15%4.42%25.55%22.29%
DSY.PA
Dassault Systèmes SE
32.70%10.43%10.07%28.91%16.31%18.29%
OR.PA
L'Oréal S.A.
34.36%6.38%9.88%26.26%17.76%14.94%
AI.PA
L'Air Liquide S.A.
34.85%7.28%11.95%29.37%17.02%12.71%
TTE.PA
TotalEnergies SE
10.98%1.84%15.60%14.57%11.95%10.06%
ASML.AS
ASML Holding NV
30.23%8.27%-2.08%14.94%36.28%26.41%
EL.PA
EssilorLuxottica Société anonyme
9.91%5.00%8.87%4.25%12.03%10.70%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-4.14%4.75%1.01%-4.88%-6.27%0.47%7.96%

Sharpe Ratio

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

-1.000.001.002.003.001.09

The Sharpe ratio of PEA 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
1.09
1.37
PEA
Benchmark (^GSPC)
Portfolio components

Dividend yield

PEA granted a 2.03% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
PEA2.03%2.12%1.63%1.99%1.80%2.12%2.03%2.03%2.10%2.22%2.11%2.19%
RI.PA
Pernod Ricard SA
2.95%2.24%1.48%1.70%1.96%1.65%1.53%1.83%1.71%1.78%1.98%1.81%
SAN.PA
Sanofi
4.13%3.71%3.61%4.00%3.43%4.00%4.12%3.81%3.63%3.70%3.59%3.71%
RMS.PA
Hermès International Société en commandite par actions
0.66%0.55%0.30%0.52%0.68%0.85%0.84%0.86%0.95%0.92%0.95%0.88%
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
1.69%1.76%0.96%0.90%1.50%2.09%1.71%1.98%2.28%3.58%2.26%2.09%
DSY.PA
Dassault Systèmes SE
0.47%0.51%0.21%0.42%0.44%0.56%0.60%0.65%0.58%0.82%0.89%0.83%
OR.PA
L'Oréal S.A.
1.36%1.44%0.96%1.24%1.46%1.76%1.78%1.79%1.74%1.79%1.80%1.91%
AI.PA
L'Air Liquide S.A.
1.68%1.99%1.79%2.01%1.91%2.44%2.25%2.40%2.46%2.25%2.43%2.39%
TTE.PA
TotalEnergies SE
4.62%6.26%5.92%7.59%3.94%5.46%5.36%5.01%5.91%5.69%5.30%5.90%
ASML.AS
ASML Holding NV
0.92%1.28%0.47%0.64%1.19%1.02%0.83%0.98%0.85%0.68%0.78%1.24%
EL.PA
EssilorLuxottica Société anonyme
1.77%1.48%0.58%0.90%1.50%1.39%1.30%1.03%0.89%1.01%1.14%1.12%

Expense Ratio

The PEA 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
RI.PA
Pernod Ricard SA
-0.56
SAN.PA
Sanofi
0.02
RMS.PA
Hermès International Société en commandite par actions
1.31
MC.PA
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
0.27
DSY.PA
Dassault Systèmes SE
1.06
OR.PA
L'Oréal S.A.
1.59
AI.PA
L'Air Liquide S.A.
2.01
TTE.PA
TotalEnergies SE
0.65
ASML.AS
ASML Holding NV
0.65
EL.PA
EssilorLuxottica Société anonyme
0.30

Asset Correlations Table

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

RI.PAASML.ASRMS.PAEL.PASAN.PADSY.PATTE.PAAI.PAOR.PAMC.PA
RI.PA1.000.280.360.420.360.330.340.430.470.44
ASML.AS0.281.000.360.330.340.470.360.420.410.49
RMS.PA0.360.361.000.390.300.390.330.410.450.55
EL.PA0.420.330.391.000.380.350.360.440.460.44
SAN.PA0.360.340.300.381.000.340.440.490.480.44
DSY.PA0.330.470.390.350.341.000.350.430.440.48
TTE.PA0.340.360.330.360.440.351.000.530.460.49
AI.PA0.430.420.410.440.490.430.531.000.570.58
OR.PA0.470.410.450.460.480.440.460.571.000.60
MC.PA0.440.490.550.440.440.480.490.580.601.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.77%
-4.05%
PEA
Benchmark (^GSPC)
Portfolio components

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 47.17%, occurring on Mar 3, 2009. Recovery took 397 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.17%Dec 11, 2007312Mar 3, 2009397Sep 20, 2010709
-32.59%Jul 11, 2000308Sep 21, 2001115Mar 7, 2002423
-31.35%Nov 19, 2021220Sep 26, 2022134Apr 3, 2023354
-30.27%Jan 20, 202043Mar 18, 202080Jul 13, 2020123
-26.45%May 20, 200292Sep 24, 2002173Jun 2, 2003265

Volatility Chart

The current PEA volatility is 4.13%, 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%JulyAugustSeptemberOctoberNovemberDecember
4.13%
2.42%
PEA
Benchmark (^GSPC)
Portfolio components
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