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IBKR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IAU 20%VOO 50%AMAT 30%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAU
iShares Gold Trust
Precious Metals, Gold

20%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

50%

AMAT
Applied Materials, Inc.
Technology

30%

S&P 500

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 Quarterly


300.00%400.00%500.00%600.00%700.00%NovemberDecember2024FebruaryMarchApril
734.36%
364.00%
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 Apr 13, 2024, the IBKR returned 15.22% Year-To-Date and 17.28% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
IBKR15.22%3.31%28.15%39.98%21.99%17.22%
AMAT
Applied Materials, Inc.
28.47%4.64%47.84%85.70%38.21%28.85%
IAU
iShares Gold Trust
13.50%8.58%21.37%16.55%12.75%5.90%
VOO
Vanguard S&P 500 ETF
7.85%0.23%19.32%25.78%13.91%12.73%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.94%9.59%3.97%
2023-6.17%-0.94%8.97%5.01%

Expense Ratio

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


0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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.


IBKR
Sharpe ratio
The chart of Sharpe ratio for IBKR, currently valued at 2.77, compared to the broader market0.002.004.002.77
Sortino ratio
The chart of Sortino ratio for IBKR, currently valued at 3.90, compared to the broader market-2.000.002.004.006.003.90
Omega ratio
The chart of Omega ratio for IBKR, currently valued at 1.47, compared to the broader market0.801.001.201.401.601.801.47
Calmar ratio
The chart of Calmar ratio for IBKR, currently valued at 2.83, compared to the broader market0.002.004.006.008.0010.0012.002.83
Martin ratio
The chart of Martin ratio for IBKR, currently valued at 13.96, compared to the broader market0.0010.0020.0030.0040.0050.0013.96
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMAT
Applied Materials, Inc.
2.553.341.412.5715.64
IAU
iShares Gold Trust
1.322.031.241.303.53
VOO
Vanguard S&P 500 ETF
2.323.341.411.999.84

Sharpe Ratio

The current IBKR Sharpe ratio is 2.77. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.77

The Sharpe ratio of IBKR is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
2.77
2.15
IBKR
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IBKR granted a 0.87% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
IBKR0.87%0.95%1.16%0.80%1.07%1.35%1.67%1.13%1.38%1.69%1.41%1.58%
AMAT
Applied Materials, Inc.
0.62%0.75%1.05%0.60%1.01%1.36%2.14%0.78%1.24%2.14%1.61%2.21%
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
1.37%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-1.67%
-2.49%
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 31.59%, occurring on Oct 14, 2022. Recovery took 196 trading sessions.

The current IBKR drawdown is 1.67%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.59%Dec 28, 2021202Oct 14, 2022196Jul 28, 2023398
-30.74%Feb 20, 202022Mar 20, 202083Jul 20, 2020105
-25.36%Mar 12, 2018200Dec 24, 2018137Jul 12, 2019337
-20.35%Mar 3, 2015146Sep 28, 2015165May 24, 2016311
-19.71%May 2, 2011108Oct 3, 2011120Mar 26, 2012228

Volatility

Volatility Chart

The current IBKR volatility is 3.95%, 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%NovemberDecember2024FebruaryMarchApril
3.95%
3.24%
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
IAU1.000.010.03
AMAT0.011.000.66
VOO0.030.661.00