Blue Chip EU

Asset Allocation

Position	Category/Sector	Target Weight
ALV.DE Allianz SE	Financial Services	9.09%
ASML ASML Holding N.V.	Technology	9.09%
CS.PA AXA SA	Financial Services	9.09%
DB1.DE Deutsche Börse AG	Financial Services	9.09%
ENX.PA Euronext N.V.	Financial Services	9.09%
GTT.PA Gaztransport & Technigaz SAS	Energy	9.09%
HO.PA Thales S.A.	Industrials	9.09%
RMS.PA Hermès International Société en commandite par actions	Consumer Cyclical	9.09%
SAF.PA Safran SA	Industrials	9.09%
SAP SAP SE	Technology	9.09%
SU.PA Schneider Electric S.E.	Industrials	9.09%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of €10,000 in Blue Chip EU, 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 year.

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The earliest data available for this chart is Jun 20, 2014, corresponding to the inception date of ENX.PA

Returns By Period

As of Apr 4, 2026, the Blue Chip EU returned 3.58% Year-To-Date and 20.12% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.52%	-3.41%	-2.14%	-0.28%	16.78%	14.66%	10.81%	12.14%
Portfolio Blue Chip EU	0.07%	-2.02%	3.58%	1.38%	10.20%	22.54%	19.84%	20.12%
Portfolio components:
ASML ASML Holding N.V.	-2.69%	-5.07%	25.52%	30.29%	104.71%	23.95%	17.31%	30.37%
SAP SAP SE	0.65%	-11.47%	-28.04%	-35.40%	-37.25%	10.07%	8.52%	9.40%
GTT.PA Gaztransport & Technigaz SAS	0.69%	3.09%	30.01%	32.28%	54.84%	34.66%	29.56%	28.17%
CS.PA AXA SA	0.85%	4.51%	-1.10%	0.32%	7.42%	19.48%	18.86%	13.18%
SU.PA Schneider Electric S.E.	-1.58%	-8.49%	0.53%	-5.43%	18.42%	18.08%	14.60%	18.82%
SAF.PA Safran SA	-1.14%	-12.14%	-3.40%	-5.21%	24.59%	29.81%	20.09%	18.10%
ENX.PA Euronext N.V.	2.07%	2.95%	11.95%	15.29%	4.57%	30.90%	15.42%	18.81%
HO.PA Thales S.A.	0.38%	6.70%	16.41%	-0.86%	7.66%	27.65%	27.79%	15.44%
DB1.DE Deutsche Börse AG	1.91%	6.19%	14.26%	12.80%	-7.53%	15.40%	14.51%	15.62%
ALV.DE Allianz SE	0.05%	2.48%	-5.79%	1.77%	8.47%	26.02%	16.65%	15.63%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 23, 2014, Blue Chip EU's average daily return is +0.07%, while the average monthly return is +1.55%. At this rate, your investment would double in approximately 3.8 years.

Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +15.3%, while the worst month was Mar 2020 at -14.5%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Blue Chip EU closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +10.8%, while the worst single day was Mar 12, 2020 at -10.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.62%	6.70%	-6.70%	2.39%									3.58%
2025	9.29%	3.58%	1.83%	1.84%	6.28%	-0.35%	-2.52%	-2.55%	3.96%	-0.03%	-1.02%	0.34%	21.92%
2024	5.76%	8.36%	4.01%	-3.62%	4.49%	-1.78%	1.15%	2.45%	0.60%	-0.50%	2.01%	1.73%	26.91%
2023	9.88%	0.40%	2.49%	2.13%	-1.61%	3.19%	2.90%	-1.59%	-2.14%	-0.14%	8.60%	2.31%	28.92%
2022	-2.53%	-1.17%	5.92%	-1.34%	-1.57%	-3.91%	9.16%	-4.55%	-6.21%	9.15%	7.08%	-6.41%	1.78%
2021	-2.69%	4.18%	4.87%	4.22%	1.75%	2.25%	2.40%	2.70%	-3.74%	5.20%	-1.66%	5.07%	26.84%

Benchmark Metrics

Blue Chip EU has an annualized alpha of 12.17%, beta of 0.53, and R² of 0.33 versus S&P 500 Index. Calculated based on daily prices since June 23, 2014.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (99.21%) than losses (65.45%) — typical of diversified or defensive assets.
Beta of 0.53 may look defensive, but with R² of 0.33 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 0.33 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: 12.17%

Beta: 0.53

R²: 0.33

Upside Capture: 99.21%

Downside Capture: 65.45%

Expense Ratio

Blue Chip EU 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

Blue Chip EU ranks 17 for risk / return — in the bottom 17% 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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	0.51	0.43	+0.08
Sortino ratio Return per unit of downside risk	0.78	0.73	+0.05
Omega ratio Gain probability vs. loss probability	1.11	1.12	-0.01
Calmar ratio Return relative to maximum drawdown	1.70	0.64	+1.06
Martin ratio Return relative to average drawdown	4.44	2.67	+1.77
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ASML ASML Holding N.V.	89	2.03	2.62	1.34	5.34	13.27
SAP SAP SE	4	-1.19	-1.70	0.78	-0.84	-1.83
GTT.PA Gaztransport & Technigaz SAS	89	1.99	2.74	1.35	4.85	12.33
CS.PA AXA SA	52	0.25	0.45	1.07	1.55	2.72
SU.PA Schneider Electric S.E.	57	0.37	0.72	1.09	1.62	4.09
SAF.PA Safran SA	67	0.65	1.05	1.14	2.11	8.44
ENX.PA Euronext N.V.	47	0.31	0.57	1.07	0.53	1.04
HO.PA Thales S.A.	52	0.31	0.67	1.08	0.98	1.88
DB1.DE Deutsche Börse AG	28	-0.26	-0.19	0.98	-0.25	-0.42
ALV.DE Allianz SE	50	0.35	0.60	1.08	0.69	1.65

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.

Blue Chip EU Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 0.51
5-Year: 1.30
10-Year: 1.16
All Time: 1.08

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 0.99 to 1.69, 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 Blue Chip EU 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

Blue Chip EU provided a 2.26% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.26%	2.34%	2.48%	2.35%	2.56%	2.22%	2.07%	2.45%	2.91%	2.47%	2.86%	2.60%
Portfolio components:
ASML ASML Holding N.V.	0.71%	0.97%	0.97%	0.86%	1.27%	0.50%	0.50%	1.40%	0.94%	0.64%	0.92%	0.73%
SAP SAP SE	1.48%	1.05%	0.97%	1.41%	2.05%	1.56%	1.31%	1.27%	1.73%	0.87%	1.08%	1.11%
GTT.PA Gaztransport & Technigaz SAS	3.85%	5.00%	4.81%	2.84%	3.31%	3.82%	5.37%	3.85%	3.96%	5.31%	6.55%	6.31%
CS.PA AXA SA	5.31%	5.25%	5.77%	5.76%	5.91%	5.46%	3.74%	5.34%	6.68%	4.69%	4.59%	3.77%
SU.PA Schneider Electric S.E.	1.65%	1.66%	1.45%	1.73%	2.22%	1.51%	2.16%	2.57%	3.68%	2.88%	3.03%	3.65%
SAF.PA Safran SA	1.01%	0.98%	1.04%	0.85%	0.43%	0.40%	0.00%	1.32%	1.53%	0.97%	2.15%	1.96%
ENX.PA Euronext N.V.	2.02%	2.27%	2.29%	2.82%	2.79%	1.61%	1.76%	2.12%	3.44%	2.74%	3.16%	1.78%
HO.PA Thales S.A.	1.42%	1.65%	2.49%	2.27%	2.23%	2.62%	0.53%	2.36%	1.76%	1.84%	1.53%	1.64%
DB1.DE Deutsche Börse AG	1.56%	1.79%	1.71%	1.93%	1.98%	2.04%	2.08%	1.93%	2.33%	2.43%	2.94%	2.58%
ALV.DE Allianz SE	4.19%	3.94%	4.66%	4.71%	5.38%	4.62%	4.78%	4.12%	4.57%	3.97%	4.65%	4.19%

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 Blue Chip EU. 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 Blue Chip EU was 40.18%, occurring on Mar 18, 2020. Recovery took 202 trading sessions.

The current Blue Chip EU drawdown is 4.47%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-40.18%	Feb 20, 2020	20	Mar 18, 2020	202	Dec 29, 2020	222
-21.85%	Dec 1, 2015	51	Feb 11, 2016	196	Nov 14, 2016	247
-15.26%	Sep 28, 2018	62	Dec 24, 2018	56	Mar 14, 2019	118
-13.11%	Aug 11, 2015	10	Aug 24, 2015	54	Nov 6, 2015	64
-12.8%	Aug 17, 2022	32	Sep 29, 2022	37	Nov 21, 2022	69

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 11 assets, with an effective number of assets of 11.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

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

	Benchmark	GTT.PA	HO.PA	ENX.PA	ASML	DB1.DE	RMS.PA	SAP	CS.PA	SAF.PA	ALV.DE	SU.PA	Portfolio
Benchmark	1.00	0.21	0.22	0.19	0.63	0.24	0.29	0.59	0.31	0.33	0.33	0.38	0.53
GTT.PA	0.21	1.00	0.27	0.22	0.16	0.21	0.22	0.18	0.26	0.27	0.27	0.28	0.48
HO.PA	0.22	0.27	1.00	0.21	0.16	0.26	0.23	0.23	0.35	0.51	0.34	0.30	0.53
ENX.PA	0.19	0.22	0.21	1.00	0.22	0.51	0.29	0.26	0.32	0.29	0.34	0.34	0.54
ASML	0.63	0.16	0.16	0.22	1.00	0.21	0.35	0.54	0.24	0.29	0.28	0.44	0.59
DB1.DE	0.24	0.21	0.26	0.51	0.21	1.00	0.31	0.34	0.37	0.34	0.43	0.35	0.57
RMS.PA	0.29	0.22	0.23	0.29	0.35	0.31	1.00	0.37	0.32	0.39	0.37	0.49	0.60
SAP	0.59	0.18	0.23	0.26	0.54	0.34	0.37	1.00	0.32	0.34	0.39	0.42	0.62
CS.PA	0.31	0.26	0.35	0.32	0.24	0.37	0.32	0.32	1.00	0.50	0.78	0.52	0.64
SAF.PA	0.33	0.27	0.51	0.29	0.29	0.34	0.39	0.34	0.50	1.00	0.52	0.52	0.69
ALV.DE	0.33	0.27	0.34	0.34	0.28	0.43	0.37	0.39	0.78	0.52	1.00	0.53	0.68
SU.PA	0.38	0.28	0.30	0.34	0.44	0.35	0.49	0.42	0.52	0.52	0.53	1.00	0.72
Portfolio	0.53	0.48	0.53	0.54	0.59	0.57	0.60	0.62	0.64	0.69	0.68	0.72	1.00

The correlation results are calculated based on daily price changes starting from Jun 23, 2014

Blue Chip EU

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table