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IBKR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IAU 20%VOO 50%AMAT 30%CommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
AMAT
Applied Materials, Inc.
Technology
30%
IAU
iShares Gold Trust
Precious Metals, Gold
20%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
50%

Performance

Performance Chart

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


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
-19.86%
2.98%
IBKR
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of Jan 14, 2025, the IBKR returned 2.79% Year-To-Date and 17.80% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.77%-3.55%3.64%22.00%12.20%11.23%
IBKR2.79%-0.70%-19.86%17.72%18.84%17.80%
AMAT
Applied Materials, Inc.
5.06%0.89%-30.20%13.85%23.27%23.60%
IAU
iShares Gold Trust
1.49%0.54%7.69%29.68%11.15%7.38%
VOO
Vanguard S&P 500 ETF
-0.79%-3.48%3.65%23.66%13.77%13.25%
*Annualized

Monthly Returns

The table below presents the monthly returns of IBKR, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.35%16.47%2.77%-3.55%7.24%7.66%-6.55%-3.83%2.45%-6.72%-0.40%-5.08%9.66%
202310.98%1.47%5.14%-4.31%10.87%7.36%4.26%0.06%-7.73%-3.22%11.55%6.76%49.60%
2022-9.59%-2.47%0.22%-13.09%3.80%-16.54%12.70%-8.07%-10.99%7.42%16.08%-8.56%-30.04%
20216.04%13.77%9.64%1.38%3.21%2.42%-0.24%-1.10%-4.65%6.28%4.60%6.02%57.16%
2020-2.27%-3.39%-16.09%10.24%8.73%4.75%6.51%0.92%-3.66%-1.36%23.78%4.41%31.32%
201912.23%0.96%2.33%6.77%-8.27%10.97%5.19%-1.35%2.52%5.31%4.87%4.24%54.33%
20185.10%2.09%-2.81%-5.56%2.29%-4.43%4.02%-4.03%-4.30%-9.68%6.58%-9.34%-19.72%
20173.95%4.79%3.38%2.66%6.92%-4.90%4.56%1.42%8.27%5.28%-2.18%-0.95%37.70%
2016-4.13%3.47%7.82%-0.47%7.07%0.30%5.75%5.12%0.52%-2.64%5.70%0.95%32.73%
2015-3.91%6.05%-4.86%-3.96%1.51%-2.76%-2.65%-5.36%-4.27%9.41%3.33%-1.23%-9.49%
2014-3.16%7.64%2.69%-1.94%3.08%5.93%-3.73%5.98%-3.79%1.77%4.84%1.35%21.66%

Expense Ratio

IBKR has an expense ratio of 0.06%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of IBKR is 9, meaning it’s performing worse than 91% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of IBKR is 99
Overall Rank
The Sharpe Ratio Rank of IBKR is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of IBKR is 88
Sortino Ratio Rank
The Omega Ratio Rank of IBKR is 99
Omega Ratio Rank
The Calmar Ratio Rank of IBKR is 1212
Calmar Ratio Rank
The Martin Ratio Rank of IBKR is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

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 ratio
The chart of Sharpe ratio for IBKR, currently valued at 0.60, compared to the broader market-1.000.001.002.003.004.000.601.73
The chart of Sortino ratio for IBKR, currently valued at 0.99, compared to the broader market-2.000.002.004.000.992.33
The chart of Omega ratio for IBKR, currently valued at 1.13, compared to the broader market0.801.001.201.401.601.131.32
The chart of Calmar ratio for IBKR, currently valued at 0.76, compared to the broader market0.002.004.006.008.0010.000.762.59
The chart of Martin ratio for IBKR, currently valued at 1.44, compared to the broader market0.0010.0020.0030.001.4410.80
IBKR
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMAT
Applied Materials, Inc.
0.350.761.100.410.78
IAU
iShares Gold Trust
2.072.721.363.8410.49
VOO
Vanguard S&P 500 ETF
1.872.501.352.8011.95

The current IBKR Sharpe ratio is 0.60. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.19 to 1.89, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of IBKR with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
0.60
1.73
IBKR
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IBKR provided a 0.89% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.89%0.90%0.95%1.16%0.80%1.07%1.35%1.67%1.13%1.38%1.69%1.41%
AMAT
Applied Materials, Inc.
0.89%0.93%0.75%1.05%0.60%1.01%1.36%2.14%0.78%1.24%2.14%1.61%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.25%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-21.66%
-4.17%
IBKR
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IBKR. 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 IBKR was 43.41%, occurring on Oct 14, 2022. Recovery took 293 trading sessions.

The current IBKR drawdown is 21.66%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.41%Jan 18, 2022188Oct 14, 2022293Dec 14, 2023481
-36.58%Feb 20, 202022Mar 20, 202098Aug 10, 2020120
-34.42%Mar 12, 2018200Dec 24, 2018210Oct 24, 2019410
-24.23%Jul 11, 2024114Dec 19, 2024
-22.67%Mar 3, 2015146Sep 28, 2015168May 27, 2016314

Volatility

Volatility Chart

The current IBKR volatility is 6.65%, 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.


0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember2025
6.65%
4.67%
IBKR
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

IAUAMATVOO
IAU1.000.020.04
AMAT0.021.000.66
VOO0.040.661.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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