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Arnab Das IBKR Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Arnab Das IBKR Portfolio

Last updated Oct 30, 2024

Asset Allocation

STIP 8%SHV 3%SGLN.L 2%USD=X 22%VWO 20%VUG 14%ACWI 8%VOO 7%IEUR 3%IXJ 3%EWJ 3%IUSV 3%IXG 3%LIT 1%BondBondCommodityCommodityCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
ACWI
iShares MSCI ACWI ETF		Large Cap Growth Equities
8%
EWJ
iShares MSCI Japan ETF		Japan Equities
3%
IEUR
iShares Core MSCI Europe ETF		Europe Equities
3%
IUSV
iShares Core S&P U.S. Value ETF		Large Cap Blend Equities
3%
IXG
iShares Global Financials ETF		Financials Equities
3%
IXJ
iShares Global Healthcare ETF		Health & Biotech Equities
3%
LIT
Global X Lithium & Battery Tech ETF		Commodity Producers Equities
1%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
2%
SHV
iShares Short Treasury Bond ETF		Government Bonds
3%
STIP
iShares 0-5 Year TIPS Bond ETF		Inflation-Protected Bonds
8%
USD=X
USD Cash
22%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
7%
VUG
Vanguard Growth ETF		Large Cap Growth Equities
14%
VWO
Vanguard FTSE Emerging Markets ETF		Emerging Markets Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Arnab Das IBKR Portfolio , 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

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
9.51%
15.83%
Arnab Das IBKR Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 12, 2014, corresponding to the inception date of IEUR

Returns By Period

As of Oct 30, 2024, the Arnab Das IBKR Portfolio returned 12.85% Year-To-Date and 6.41% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
Arnab Das IBKR Portfolio 12.85%-0.14%9.51%23.03%8.10%6.41%
Portfolio components:
ACWI
iShares MSCI ACWI ETF		18.28%-0.16%13.32%35.59%11.12%9.02%
VOO
Vanguard S&P 500 ETF		23.64%1.79%16.67%42.02%15.20%12.76%
IEUR
iShares Core MSCI Europe ETF		8.10%-5.20%5.40%25.36%6.96%5.50%
VWO
Vanguard FTSE Emerging Markets ETF		15.27%-2.57%12.24%26.95%5.15%3.66%
VUG
Vanguard Growth ETF		27.96%3.66%20.44%49.80%18.47%15.01%
LIT
Global X Lithium & Battery Tech ETF		-13.60%2.89%0.44%-7.75%12.50%7.42%
IXJ
iShares Global Healthcare ETF		9.69%-3.46%6.49%21.31%9.16%7.97%
EWJ
iShares MSCI Japan ETF		7.37%-3.83%2.37%19.88%4.69%5.03%
IUSV
iShares Core S&P U.S. Value ETF		14.54%-0.05%11.11%33.96%11.98%10.01%
IXG
iShares Global Financials ETF		23.90%1.37%16.46%44.85%10.36%7.77%
SGLN.L
iShares Physical Gold ETC		33.99%4.55%20.72%38.12%12.25%8.51%
STIP
iShares 0-5 Year TIPS Bond ETF		4.38%-0.53%3.67%6.53%3.38%2.29%
SHV
iShares Short Treasury Bond ETF		4.27%0.31%2.64%5.31%2.15%1.54%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.25%2.98%1.87%-1.53%2.72%1.61%0.99%1.50%2.44%12.85%
20235.52%-2.75%2.61%0.69%-0.39%3.64%2.73%-2.26%-2.66%-1.62%5.72%2.98%14.58%
2022-2.57%-1.96%0.38%-5.39%0.17%-4.38%3.74%-2.42%-6.48%2.33%6.19%-2.90%-13.21%
20210.30%1.14%1.19%2.73%1.05%1.19%-0.02%1.70%-2.59%3.05%-1.31%1.94%10.72%
2020-1.02%-4.01%-8.81%6.91%3.39%2.81%4.37%3.87%-1.90%-0.88%7.02%3.65%15.12%
20195.69%1.26%1.18%2.08%-4.01%4.24%-0.02%-1.21%1.00%2.15%1.48%3.05%17.88%
20184.36%-2.99%-0.90%-0.37%0.18%-0.90%2.17%0.07%0.05%-4.97%1.62%-4.09%-5.99%
20172.57%2.01%1.12%1.09%1.20%0.42%2.22%0.98%0.77%1.48%0.98%1.29%17.37%
2016-3.69%-0.35%5.56%0.73%-0.03%0.89%2.89%0.15%0.69%-0.93%-0.16%0.70%6.38%
2015-0.49%3.46%-1.35%2.65%-0.25%-1.50%-0.57%-4.87%-2.03%4.69%-0.62%-1.59%-2.81%
20140.79%-0.47%2.16%-2.66%1.25%0.64%-1.72%-0.10%

Expense Ratio

Arnab Das IBKR Portfolio has an expense ratio of 0.11%, 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.

LIT
Global X Lithium & Battery Tech ETF
Expense ratio chart for LIT: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
EWJ
iShares MSCI Japan ETF
Expense ratio chart for EWJ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
IXJ
iShares Global Healthcare ETF
Expense ratio chart for IXJ: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
IXG
iShares Global Financials ETF
Expense ratio chart for IXG: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
ACWI
iShares MSCI ACWI ETF
Expense ratio chart for ACWI: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
SHV
iShares Short Treasury Bond ETF
Expense ratio chart for SHV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
IEUR
iShares Core MSCI Europe ETF
Expense ratio chart for IEUR: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
VWO
Vanguard FTSE Emerging Markets ETF
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
STIP
iShares 0-5 Year TIPS Bond ETF
Expense ratio chart for STIP: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
VUG
Vanguard Growth ETF
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
IUSV
iShares Core S&P U.S. Value ETF
Expense ratio chart for IUSV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
VOO
Vanguard S&P 500 ETF
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 Arnab Das IBKR Portfolio is 37, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Arnab Das IBKR Portfolio is 3737
Combined Rank
The Sharpe Ratio Rank of Arnab Das IBKR Portfolio is 2727Sharpe Ratio Rank
The Sortino Ratio Rank of Arnab Das IBKR Portfolio is 3434Sortino Ratio Rank
The Omega Ratio Rank of Arnab Das IBKR Portfolio is 3737Omega Ratio Rank
The Calmar Ratio Rank of Arnab Das IBKR Portfolio is 4848Calmar Ratio Rank
The Martin Ratio Rank of Arnab Das IBKR Portfolio is 4242Martin 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.

Arnab Das IBKR Portfolio
Sharpe ratio
The chart of Sharpe ratio for Arnab Das IBKR Portfolio , currently valued at 2.50, compared to the broader market0.002.004.006.002.50
Sortino ratio
The chart of Sortino ratio for Arnab Das IBKR Portfolio , currently valued at 3.57, compared to the broader market-2.000.002.004.006.003.57
Omega ratio
The chart of Omega ratio for Arnab Das IBKR Portfolio , currently valued at 1.49, compared to the broader market0.801.001.201.401.601.802.001.49
Calmar ratio
The chart of Calmar ratio for Arnab Das IBKR Portfolio , currently valued at 2.90, compared to the broader market0.005.0010.002.90
Martin ratio
The chart of Martin ratio for Arnab Das IBKR Portfolio , currently valued at 16.75, compared to the broader market0.0010.0020.0030.0040.0050.0060.0016.75
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ACWI
iShares MSCI ACWI ETF		2.543.481.483.2616.43
VOO
Vanguard S&P 500 ETF		2.903.871.564.0218.58
IEUR
iShares Core MSCI Europe ETF		1.592.271.281.869.12
VWO
Vanguard FTSE Emerging Markets ETF		1.602.291.290.949.29
VUG
Vanguard Growth ETF		2.353.081.442.9411.66
LIT
Global X Lithium & Battery Tech ETF		-0.21-0.090.99-0.11-0.37
IXJ
iShares Global Healthcare ETF		1.852.601.341.948.37
EWJ
iShares MSCI Japan ETF		0.901.301.170.984.18
IUSV
iShares Core S&P U.S. Value ETF		2.683.761.504.8315.78
IXG
iShares Global Financials ETF		3.154.061.573.1620.92
SGLN.L
iShares Physical Gold ETC		3.144.081.557.3819.42
STIP
iShares 0-5 Year TIPS Bond ETF		3.165.331.723.8828.16
SHV
iShares Short Treasury Bond ETF		18.64131.1555.90187.261,925.65
USD=X
USD Cash		—————

Sharpe Ratio

The current Arnab Das IBKR Portfolio Sharpe ratio is 2.50. 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 2.49 to 3.44, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Arnab Das IBKR Portfolio 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.50
3.43
Arnab Das IBKR Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Arnab Das IBKR Portfolio provided a 1.51% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Arnab Das IBKR Portfolio 1.51%1.75%2.06%1.44%1.10%1.70%1.76%1.36%1.45%1.56%1.35%1.22%
Portfolio components:
ACWI
iShares MSCI ACWI ETF		1.59%1.88%1.79%1.71%1.43%2.33%2.25%1.94%2.19%2.56%2.26%1.89%
VOO
Vanguard S&P 500 ETF		1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
IEUR
iShares Core MSCI Europe ETF		3.02%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%
VWO
Vanguard FTSE Emerging Markets ETF		2.57%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
VUG
Vanguard Growth ETF		0.50%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%
LIT
Global X Lithium & Battery Tech ETF		1.39%1.11%0.99%0.22%0.40%1.85%2.52%3.26%2.15%0.24%1.07%0.32%
IXJ
iShares Global Healthcare ETF		1.30%1.38%1.17%1.12%1.27%1.42%2.11%1.46%1.73%2.84%1.37%1.50%
EWJ
iShares MSCI Japan ETF		2.02%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%1.11%
IUSV
iShares Core S&P U.S. Value ETF		1.95%1.75%2.22%1.87%2.40%2.19%2.67%1.93%2.18%2.54%1.86%1.95%
IXG
iShares Global Financials ETF		2.49%2.62%3.71%1.69%2.13%2.87%3.14%2.12%2.21%2.79%2.38%2.14%
SGLN.L
iShares Physical Gold ETC		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
STIP
iShares 0-5 Year TIPS Bond ETF		2.74%2.84%6.04%4.15%1.40%2.06%2.44%1.59%0.89%0.00%0.74%0.31%
SHV
iShares Short Treasury Bond ETF		5.14%4.73%1.39%0.00%0.74%2.19%1.66%0.72%0.34%0.03%0.00%0.00%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.66%
-0.54%
Arnab Das IBKR Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Arnab Das IBKR Portfolio . 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 Arnab Das IBKR Portfolio was 21.46%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.

The current Arnab Das IBKR Portfolio drawdown is 0.66%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.46%Feb 13, 202028Mar 23, 202082Jul 15, 2020110
-19.02%Nov 17, 2021238Oct 14, 2022345Feb 9, 2024583
-14.68%Apr 29, 2015208Feb 11, 2016248Jan 24, 2017456
-13.61%Jan 29, 2018236Dec 24, 2018220Oct 28, 2019456
-6.26%Sep 8, 201429Oct 16, 2014122Apr 6, 2015151

Volatility

Volatility Chart

The current Arnab Das IBKR Portfolio volatility is 1.77%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.77%
2.71%
Arnab Das IBKR Portfolio
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.
USD=XSHVSGLN.LSTIPLITIXJEWJVWOVUGIXGIUSVIEURVOOACWI
USD=X0.000.000.000.000.000.000.000.000.000.000.000.000.000.00
SHV0.001.000.130.18-0.05-0.01-0.01-0.01-0.02-0.05-0.03-0.02-0.03-0.02
SGLN.L0.000.131.000.320.080.060.080.140.040.010.030.140.030.09
STIP0.000.180.321.000.100.070.100.130.080.030.070.140.080.12
LIT0.00-0.050.080.101.000.430.540.680.590.560.580.600.610.67
IXJ0.00-0.010.060.070.431.000.580.530.680.610.700.690.750.75
EWJ0.00-0.010.080.100.540.581.000.630.640.680.650.690.690.77
VWO0.00-0.010.140.130.680.530.631.000.650.680.640.730.680.81
VUG0.00-0.020.040.080.590.680.640.651.000.640.730.690.940.89
IXG0.00-0.050.010.030.560.610.680.680.641.000.880.810.790.84
IUSV0.00-0.030.030.070.580.700.650.640.730.881.000.750.890.87
IEUR0.00-0.020.140.140.600.690.690.730.690.810.751.000.760.88
VOO0.00-0.030.030.080.610.750.690.680.940.790.890.761.000.95
ACWI0.00-0.020.090.120.670.750.770.810.890.840.870.880.951.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2014