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IBM si DIS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IBM 75.76%DIS 24.24%EquityEquity
PositionCategory/SectorWeight
DIS
The Walt Disney Company
Communication Services
24.24%
IBM
International Business Machines Corporation
Technology
75.76%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in IBM si DIS, 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%15.00%20.00%25.00%30.00%MayJuneJulyAugustSeptemberOctober
18.33%
15.83%
IBM si DIS
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 2, 1970, corresponding to the inception date of IBM

Returns By Period

As of Oct 30, 2024, the IBM si DIS returned 27.06% Year-To-Date and 7.00% 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%
IBM si DIS27.06%-3.54%18.33%46.21%11.79%7.00%
IBM
International Business Machines Corporation
32.27%-4.71%28.99%53.39%15.88%7.50%
DIS
The Walt Disney Company
6.96%0.12%-13.08%20.09%-5.60%1.43%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
202410.86%5.04%4.84%-12.05%-0.59%1.68%7.27%4.11%8.81%27.06%
20232.70%-4.42%1.12%-2.12%-1.29%3.51%5.76%0.98%-4.11%2.50%11.53%1.81%18.30%
2022-1.91%-4.67%2.71%-3.19%4.80%-1.52%-2.64%1.16%-9.89%15.56%4.93%-6.59%-3.53%
2021-5.81%3.84%8.36%5.09%0.95%1.19%-2.87%1.28%-2.44%-7.59%-4.28%12.45%8.61%
20204.42%-9.93%-15.47%12.89%2.63%-3.71%2.54%4.36%-2.52%-6.80%14.70%7.47%6.29%
201914.19%3.35%1.33%5.19%-7.04%7.73%6.41%-6.68%4.27%-6.18%5.54%-1.34%27.44%
20185.34%-4.15%-1.77%-4.20%-1.29%0.52%5.07%1.27%3.51%-18.33%6.55%-7.42%-16.34%
20175.39%2.79%-1.70%-5.55%-4.58%0.18%-3.47%-2.16%0.44%4.49%2.38%0.55%-1.90%
2016-9.20%4.52%12.84%-1.81%3.76%-1.31%4.14%-0.53%-0.38%-2.50%6.61%3.23%19.21%
2015-4.20%8.33%-0.46%5.98%0.20%-2.32%1.09%-9.78%-1.42%0.21%0.27%-2.78%-5.89%
2014-5.60%6.82%2.72%1.34%-2.89%-0.73%4.38%1.80%-1.20%-9.51%-0.15%0.14%-3.88%
20136.55%-0.19%5.67%-1.26%2.43%-6.00%2.13%-6.04%2.69%-0.90%1.33%5.79%11.84%

Expense Ratio

IBM si DIS has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of IBM si DIS is 32, 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 IBM si DIS is 3232
Combined Rank
The Sharpe Ratio Rank of IBM si DIS is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of IBM si DIS is 2525Sortino Ratio Rank
The Omega Ratio Rank of IBM si DIS is 3737Omega Ratio Rank
The Calmar Ratio Rank of IBM si DIS is 5858Calmar Ratio Rank
The Martin Ratio Rank of IBM si DIS is 1111Martin 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.


IBM si DIS
Sharpe ratio
The chart of Sharpe ratio for IBM si DIS, currently valued at 2.47, compared to the broader market0.002.004.006.002.47
Sortino ratio
The chart of Sortino ratio for IBM si DIS, currently valued at 3.29, compared to the broader market-2.000.002.004.006.003.29
Omega ratio
The chart of Omega ratio for IBM si DIS, 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 IBM si DIS, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Martin ratio
The chart of Martin ratio for IBM si DIS, currently valued at 7.59, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.59
^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
IBM
International Business Machines Corporation
2.453.181.493.177.95
DIS
The Walt Disney Company
0.851.351.190.371.40

Sharpe Ratio

The current IBM si DIS Sharpe ratio is 2.47. 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 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 IBM si DIS 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
2.47
3.43
IBM si DIS
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IBM si DIS provided a 2.59% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
IBM si DIS2.59%3.15%3.54%3.59%3.92%3.93%4.52%3.28%2.86%3.07%2.30%1.77%
IBM
International Business Machines Corporation
3.16%4.05%4.68%4.74%5.17%4.80%5.46%3.85%3.31%3.63%2.65%1.97%
DIS
The Walt Disney Company
0.78%0.33%0.00%0.00%0.00%1.22%1.57%1.51%1.43%1.30%1.22%1.13%

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-7.86%
-0.54%
IBM si DIS
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IBM si DIS. 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 IBM si DIS was 62.44%, occurring on Oct 4, 1974. Recovery took 1908 trading sessions.

The current IBM si DIS drawdown is 7.86%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-62.44%Jan 22, 1973431Oct 4, 19741908Apr 26, 19822339
-59.24%Sep 8, 2000522Oct 9, 20021403May 7, 20081925
-50.26%Feb 20, 1991630Aug 16, 1993425Apr 21, 19951055
-44.32%May 16, 2008132Nov 20, 2008248Nov 16, 2009380
-41.34%Aug 24, 198740Oct 19, 1987834Feb 5, 1991874

Volatility

Volatility Chart

The current IBM si DIS volatility is 6.50%, 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%8.00%MayJuneJulyAugustSeptemberOctober
6.50%
2.71%
IBM si DIS
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.

DISIBM
DIS1.000.38
IBM0.381.00
The correlation results are calculated based on daily price changes starting from Jan 5, 1970