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IBKR Model Portfolio 2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

IBKR Model Portfolio 2024

Last updated Sep 18, 2024

Asset Allocation

SSLN.L 5%PPFB.DE 5%YINN 12.5%H50E.L 10%SPY5.DE 10%XDEM.DE 7.5%IUIT.L 7%VVSM.DE 7%XDWF.DE 6%VGER.DE 6%IUCM.L 5%VFEM.DE 5%SPY4.DE 5%PR1J.DE 5%C030.DE 4%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		Europe Equities
4%
H50E.L
HSBC EURO STOXX 50 UCITS ETF		Europe Equities
10%
IUCM.L
iShares S&P 500 Communication Sector UCITS ETF USD Acc		Communications Equities
5%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		Technology Equities
7%
PPFB.DE
iShares Physical Gold ETC		Precious Metals
5%
PR1J.DE
Amundi Prime Japan UCITS ETF DR (D)		Japan Equities
5%
SPY4.DE
SPDR S&P 400 US Mid Cap UCITS ETF		Mid Cap Blend Equities
5%
SPY5.DE
SPDR S&P 500 UCITS ETF		Large Cap Blend Equities
10%
SSLN.L
iShares Physical Silver ETC		Precious Metals
5%
VFEM.DE
Vanguard FTSE Emerging Markets UCITS ETF Distributing		Emerging Markets Equities
5%
VGER.DE
Vanguard Germany All Cap UCITS ETF Dist		Europe Equities
6%
VVSM.DE
VanEck Semiconductor UCITS ETF		Technology Equities
7%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
7.50%
XDWF.DE
Xtrackers MSCI World Financials UCITS ETF 1C		Financials Equities
6%
YINN
Direxion Daily China 3x Bull Shares		Leveraged Equities, Leveraged, China Equities
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in IBKR Model Portfolio 2024, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
9.40%
7.84%
IBKR Model Portfolio 2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 16, 2021, corresponding to the inception date of PPFB.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.13%1.45%8.81%26.52%13.43%10.88%
IBKR Model Portfolio 202417.53%-0.03%9.41%22.77%N/AN/A
Portfolio components:
YINN
Direxion Daily China 3x Bull Shares		6.42%-4.61%14.93%-26.01%-41.84%-27.93%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		25.66%-1.46%12.15%43.68%25.01%N/A
IUCM.L
iShares S&P 500 Communication Sector UCITS ETF USD Acc		22.55%1.15%8.29%33.86%12.48%N/A
XDWF.DE
Xtrackers MSCI World Financials UCITS ETF 1C		20.59%2.95%10.79%32.22%10.66%N/A
H50E.L
HSBC EURO STOXX 50 UCITS ETF		11.05%0.54%2.19%23.39%8.54%8.13%
VFEM.DE
Vanguard FTSE Emerging Markets UCITS ETF Distributing		10.76%-1.23%7.82%15.25%3.88%N/A
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		26.15%-0.15%5.90%38.02%11.95%N/A
VVSM.DE
VanEck Semiconductor UCITS ETF		21.79%-4.21%2.53%50.39%N/AN/A
SPY4.DE
SPDR S&P 400 US Mid Cap UCITS ETF		11.03%1.85%5.00%22.16%10.35%11.21%
SPY5.DE
SPDR S&P 500 UCITS ETF		19.40%1.29%9.28%29.42%14.55%14.28%
VGER.DE
Vanguard Germany All Cap UCITS ETF Dist		11.54%2.31%6.56%22.62%6.26%N/A
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		10.90%0.07%9.34%17.77%9.38%8.97%
SSLN.L
iShares Physical Silver ETC		29.56%4.59%23.63%32.86%10.14%7.56%
PPFB.DE
iShares Physical Gold ETC		24.43%2.38%18.22%32.70%N/AN/A
PR1J.DE
Amundi Prime Japan UCITS ETF DR (D)		10.04%-0.16%-0.84%10.80%5.76%N/A

Monthly Returns

The table below presents the monthly returns of IBKR Model Portfolio 2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.26%5.71%4.86%-0.01%5.46%0.96%-0.35%2.24%17.53%
202311.50%-7.11%5.32%-0.42%-2.46%5.52%7.80%-6.84%-5.62%-3.71%7.72%3.73%14.01%
2022-4.11%-5.16%-2.97%-8.66%-0.21%-5.89%0.98%-4.34%-10.53%-2.32%16.06%-0.80%-26.41%
2021-2.16%1.99%-4.85%4.94%-3.29%2.75%-0.99%

Expense Ratio

IBKR Model Portfolio 2024 features an expense ratio of 0.35%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

YINN
Direxion Daily China 3x Bull Shares
Expense ratio chart for YINN: current value at 1.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.52%
VVSM.DE
VanEck Semiconductor UCITS ETF
Expense ratio chart for VVSM.DE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
SPY4.DE
SPDR S&P 400 US Mid Cap UCITS ETF
Expense ratio chart for SPY4.DE: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
XDWF.DE
Xtrackers MSCI World Financials UCITS ETF 1C
Expense ratio chart for XDWF.DE: 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%
H50E.L
HSBC EURO STOXX 50 UCITS ETF
Expense ratio chart for H50E.L: 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%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.DE: 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%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist
Expense ratio chart for C030.DE: 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%
VFEM.DE
Vanguard FTSE Emerging Markets UCITS ETF Distributing
Expense ratio chart for VFEM.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
SSLN.L
iShares Physical Silver ETC
Expense ratio chart for SSLN.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF
Expense ratio chart for IUIT.L: 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%
IUCM.L
iShares S&P 500 Communication Sector UCITS ETF USD Acc
Expense ratio chart for IUCM.L: 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%
PPFB.DE
iShares Physical Gold ETC
Expense ratio chart for PPFB.DE: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VGER.DE
Vanguard Germany All Cap UCITS ETF Dist
Expense ratio chart for VGER.DE: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
PR1J.DE
Amundi Prime Japan UCITS ETF DR (D)
Expense ratio chart for PR1J.DE: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
SPY5.DE
SPDR S&P 500 UCITS ETF
Expense ratio chart for SPY5.DE: 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 Model Portfolio 2024 is 25, 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 IBKR Model Portfolio 2024 is 2525
IBKR Model Portfolio 2024
The Sharpe Ratio Rank of IBKR Model Portfolio 2024 is 2828Sharpe Ratio Rank
The Sortino Ratio Rank of IBKR Model Portfolio 2024 is 3131Sortino Ratio Rank
The Omega Ratio Rank of IBKR Model Portfolio 2024 is 2525Omega Ratio Rank
The Calmar Ratio Rank of IBKR Model Portfolio 2024 is 1616Calmar Ratio Rank
The Martin Ratio Rank of IBKR Model Portfolio 2024 is 2626Martin 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.

IBKR Model Portfolio 2024
Sharpe ratio
The chart of Sharpe ratio for IBKR Model Portfolio 2024, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for IBKR Model Portfolio 2024, currently valued at 2.36, compared to the broader market-2.000.002.004.006.002.36
Omega ratio
The chart of Omega ratio for IBKR Model Portfolio 2024, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for IBKR Model Portfolio 2024, currently valued at 0.96, compared to the broader market0.002.004.006.008.000.96
Martin ratio
The chart of Martin ratio for IBKR Model Portfolio 2024, currently valued at 7.66, compared to the broader market0.0010.0020.0030.007.66
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market-1.000.001.002.003.004.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.82, compared to the broader market-2.000.002.004.006.002.82
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 1.88, compared to the broader market0.002.004.006.008.001.88
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.08, compared to the broader market0.0010.0020.0030.0011.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
YINN
Direxion Daily China 3x Bull Shares		-0.280.071.01-0.21-0.63
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		2.383.061.413.3411.23
IUCM.L
iShares S&P 500 Communication Sector UCITS ETF USD Acc		2.413.191.441.5413.70
XDWF.DE
Xtrackers MSCI World Financials UCITS ETF 1C		2.813.651.512.0417.95
H50E.L
HSBC EURO STOXX 50 UCITS ETF		1.832.601.312.069.82
VFEM.DE
Vanguard FTSE Emerging Markets UCITS ETF Distributing		1.281.911.230.717.37
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.503.251.461.8013.37
VVSM.DE
VanEck Semiconductor UCITS ETF		1.912.461.322.256.90
SPY4.DE
SPDR S&P 400 US Mid Cap UCITS ETF		1.572.311.281.418.51
SPY5.DE
SPDR S&P 500 UCITS ETF		2.873.991.542.8617.28
VGER.DE
Vanguard Germany All Cap UCITS ETF Dist		1.932.711.331.0910.25
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		1.652.261.321.268.66
SSLN.L
iShares Physical Silver ETC		1.181.781.221.554.57
PPFB.DE
iShares Physical Gold ETC		2.453.321.422.8715.45
PR1J.DE
Amundi Prime Japan UCITS ETF DR (D)		0.871.251.170.834.25

Sharpe Ratio

The current IBKR Model Portfolio 2024 Sharpe ratio is 1.66. 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 1.74 to 2.40, 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 Model Portfolio 2024 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 Ratio0.501.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.66
2.10
IBKR Model Portfolio 2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IBKR Model Portfolio 2024 granted a 1.06% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
IBKR Model Portfolio 20241.06%1.34%1.18%0.77%0.88%1.11%1.06%0.69%0.44%0.43%0.49%0.42%
Portfolio components:
YINN
Direxion Daily China 3x Bull Shares		2.54%4.17%1.16%0.73%0.76%1.38%1.02%1.11%0.00%0.00%0.19%0.00%
IUIT.L
iShares S&P 500 Information Technology Sector UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IUCM.L
iShares S&P 500 Communication Sector UCITS ETF USD Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDWF.DE
Xtrackers MSCI World Financials UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
H50E.L
HSBC EURO STOXX 50 UCITS ETF		2.96%2.92%2.77%2.01%2.05%3.04%3.50%2.76%2.79%2.63%2.76%2.68%
VFEM.DE
Vanguard FTSE Emerging Markets UCITS ETF Distributing		2.48%2.66%3.38%2.26%1.93%2.32%2.79%0.20%0.00%0.00%0.00%0.00%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.63%0.00%
VVSM.DE
VanEck Semiconductor UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY4.DE
SPDR S&P 400 US Mid Cap UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY5.DE
SPDR S&P 500 UCITS ETF		0.85%1.22%1.42%0.95%1.37%1.74%3.30%1.59%1.57%1.69%1.39%1.53%
VGER.DE
Vanguard Germany All Cap UCITS ETF Dist		2.51%2.96%4.07%1.86%2.93%2.55%0.00%0.00%0.00%0.00%0.00%0.00%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		0.00%0.00%2.21%1.70%2.04%2.37%2.78%2.76%0.00%0.00%0.00%0.00%
SSLN.L
iShares Physical Silver 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%
PPFB.DE
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%
PR1J.DE
Amundi Prime Japan UCITS ETF DR (D)		1.74%1.90%2.21%1.79%1.73%1.88%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.

-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-5.49%
-0.58%
IBKR Model Portfolio 2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IBKR Model Portfolio 2024. 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 Model Portfolio 2024 was 39.56%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current IBKR Model Portfolio 2024 drawdown is 5.49%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.56%Nov 17, 2021237Oct 14, 2022———
-8.63%Sep 7, 202120Oct 4, 202115Oct 25, 202135
-4.46%Jul 19, 202124Aug 19, 20219Sep 1, 202133
-1.98%Oct 26, 20214Oct 29, 20216Nov 8, 202110
-0.69%Nov 9, 20212Nov 10, 20211Nov 11, 20213

Volatility

Volatility Chart

The current IBKR Model Portfolio 2024 volatility is 4.98%, 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%7.00%AprilMayJuneJulyAugustSeptember
4.98%
4.08%
IBKR Model Portfolio 2024
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.
PPFB.DESSLN.LYINNIUCM.LPR1J.DEIUIT.LVVSM.DEC030.DEVFEM.DEXDWF.DESPY4.DEXDEM.DEH50E.LVGER.DESPY5.DE
PPFB.DE1.000.720.190.110.290.050.130.260.290.160.160.160.200.240.14
SSLN.L0.721.000.240.220.260.190.240.290.350.230.260.260.350.320.23
YINN0.190.241.000.330.360.280.320.340.800.380.350.350.410.410.34
IUCM.L0.110.220.331.000.470.750.630.520.500.560.600.620.580.580.76
PR1J.DE0.290.260.360.471.000.510.560.580.600.640.610.660.620.640.63
IUIT.L0.050.190.280.750.511.000.850.540.520.550.630.740.640.620.84
VVSM.DE0.130.240.320.630.560.851.000.540.580.580.670.740.640.640.79
C030.DE0.260.290.340.520.580.540.541.000.580.740.680.660.770.800.70
VFEM.DE0.290.350.800.500.600.520.580.581.000.640.610.620.650.670.61
XDWF.DE0.160.230.380.560.640.550.580.740.641.000.870.750.770.800.81
SPY4.DE0.160.260.350.600.610.630.670.680.610.871.000.760.720.750.86
XDEM.DE0.160.260.350.620.660.740.740.660.620.750.761.000.740.730.87
H50E.L0.200.350.410.580.620.640.640.770.650.770.720.741.000.920.74
VGER.DE0.240.320.410.580.640.620.640.800.670.800.750.730.921.000.76
SPY5.DE0.140.230.340.760.630.840.790.700.610.810.860.870.740.761.00
The correlation results are calculated based on daily price changes starting from Jul 19, 2021