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IBI Portfolio

Last updated Mar 2, 2024

Asset Allocation


STYC.L 6.67%ICBU.L 6.67%IEF 6.67%UC81.L 6.67%BIL 6.67%GSG 6.67%VYM 6.67%CNDX.L 6.67%SPXS 6.67%SXLK.AS 6.67%MXUS.L 6.67%EMVL.L 6.67%MOAT 6.67%VNRT.AS 6.67%C50U.L 6.67%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc
High Yield Bonds

6.67%

ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF
Corporate Bonds

6.67%

IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds

6.67%

UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis
Corporate Bonds

6.67%

BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

6.67%

GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities

6.67%

VYM
Vanguard High Dividend Yield ETF
Dividend, Large Cap Value Equities

6.67%

CNDX.L
iShares NASDAQ 100 UCITS ETF
Large Cap Blend Equities

6.67%

SPXS
Direxion Daily S&P 500 Bear 3X Shares
Leveraged Equities, Leveraged

6.67%

SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
Technology Equities

6.67%

MXUS.L
Invesco MSCI USA UCITS ETF
Large Cap Blend Equities

6.67%

EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
Emerging Markets Equities

6.67%

MOAT
VanEck Vectors Morningstar Wide Moat ETF
Large Cap Blend Equities

6.67%

VNRT.AS
Vanguard FTSE North America UCITS ETF
Large Cap Blend Equities

6.67%

C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)
Europe Equities

6.67%

S&P 500

Performance

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


10.00%15.00%20.00%25.00%30.00%35.00%OctoberNovemberDecember2024FebruaryMarch
16.32%
34.26%
IBI Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 2, 2021, corresponding to the inception date of C50U.L

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
IBI Portfolio1.97%1.69%6.27%12.35%N/AN/A
VYM
Vanguard High Dividend Yield ETF
4.06%2.68%9.39%10.61%9.61%9.82%
CNDX.L
iShares NASDAQ 100 UCITS ETF
7.64%3.44%17.63%49.86%21.13%17.82%
SPXS
Direxion Daily S&P 500 Bear 3X Shares
-18.79%-9.63%-29.44%-48.22%-46.07%-39.66%
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
8.88%3.62%18.57%50.37%29.24%N/A
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc
0.69%0.61%5.68%10.08%3.94%N/A
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF
-0.65%-0.42%3.89%6.06%1.72%N/A
MXUS.L
Invesco MSCI USA UCITS ETF
6.90%3.59%14.33%29.43%14.63%12.23%
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
3.16%5.07%10.15%15.41%4.39%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF
2.62%3.05%9.10%21.22%14.49%13.12%
IEF
iShares 7-10 Year Treasury Bond ETF
-1.56%-0.95%2.08%2.25%-0.07%1.11%
GSG
iShares S&P GSCI Commodity-Indexed Trust
6.43%4.81%-3.00%2.30%6.82%-4.23%
VNRT.AS
Vanguard FTSE North America UCITS ETF
7.30%3.45%13.90%28.20%14.95%N/A
C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)
5.85%5.63%15.57%19.73%N/AN/A
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis
-2.38%-0.06%1.18%0.75%0.15%N/A
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.51%0.01%2.24%4.76%1.75%1.14%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.58%1.07%
2023-1.02%-1.26%-1.79%4.24%3.15%

Sharpe Ratio

The current IBI Portfolio Sharpe ratio is 2.41. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.41

The Sharpe ratio of IBI Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.41
2.44
IBI Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

IBI Portfolio granted a 1.57% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
IBI Portfolio1.57%1.44%0.73%0.51%0.72%0.98%0.94%0.58%0.51%0.61%0.49%0.37%
VYM
Vanguard High Dividend Yield ETF
2.99%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
CNDX.L
iShares NASDAQ 100 UCITS ETF
0.04%0.04%0.06%0.03%0.04%0.07%0.06%0.30%0.16%0.16%1.16%0.16%
SPXS
Direxion Daily S&P 500 Bear 3X Shares
6.97%5.66%0.00%0.00%0.51%1.74%0.58%0.00%0.00%0.00%0.00%0.00%
SXLK.AS
SPDR S&P U.S. Technology Select 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%
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF 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%
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF
3.41%2.77%1.93%1.93%2.78%2.93%2.65%0.44%0.00%0.00%0.00%0.00%
MXUS.L
Invesco MSCI USA 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%
EMVL.L
iShares Edge MSCI EM Value Factor 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%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
0.84%0.86%1.25%1.08%1.46%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
IEF
iShares 7-10 Year Treasury Bond ETF
3.06%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
GSG
iShares S&P GSCI Commodity-Indexed 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%
VNRT.AS
Vanguard FTSE North America UCITS ETF
1.14%1.25%1.45%1.00%1.42%1.44%1.77%1.64%1.58%1.70%0.00%0.00%
C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.11%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Expense Ratio

The IBI Portfolio has a high expense ratio of 0.31%, indicating higher-than-average management fees. 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%1.08%
0.50%1.00%1.50%2.00%0.75%
0.50%1.00%1.50%2.00%0.48%
0.50%1.00%1.50%2.00%0.33%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.10%
0.50%1.00%1.50%2.00%0.06%
0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
IBI Portfolio
2.41
VYM
Vanguard High Dividend Yield ETF
1.43
CNDX.L
iShares NASDAQ 100 UCITS ETF
3.29
SPXS
Direxion Daily S&P 500 Bear 3X Shares
-1.57
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
3.20
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc
2.22
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF
1.21
MXUS.L
Invesco MSCI USA UCITS ETF
2.83
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
1.10
MOAT
VanEck Vectors Morningstar Wide Moat ETF
2.03
IEF
iShares 7-10 Year Treasury Bond ETF
-0.00
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.33
VNRT.AS
Vanguard FTSE North America UCITS ETF
2.86
C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)
1.21
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis
0.20
BIL
SPDR Barclays 1-3 Month T-Bill ETF
9.48

Asset Correlations Table

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

BILIEFUC81.LGSGICBU.LEMVL.LVYMSTYC.LMOATC50U.LSPXSSXLK.ASCNDX.LVNRT.ASMXUS.L
BIL1.000.050.04-0.030.080.08-0.010.030.020.02-0.010.030.01-0.00-0.00
IEF0.051.000.42-0.070.580.030.010.290.110.04-0.080.090.080.110.05
UC81.L0.040.421.000.110.36-0.060.220.100.26-0.08-0.260.05-0.030.08-0.07
GSG-0.03-0.070.111.000.030.240.340.200.220.18-0.220.110.100.200.19
ICBU.L0.080.580.360.031.000.190.130.470.210.23-0.190.180.240.200.22
EMVL.L0.080.03-0.060.240.191.000.360.520.410.68-0.400.520.590.550.60
VYM-0.010.010.220.340.130.361.000.380.810.46-0.820.400.350.500.46
STYC.L0.030.290.100.200.470.520.381.000.430.61-0.430.550.640.610.68
MOAT0.020.110.260.220.210.410.810.431.000.50-0.920.530.510.550.53
C50U.L0.020.04-0.080.180.230.680.460.610.501.00-0.490.620.700.700.78
SPXS-0.01-0.08-0.26-0.22-0.19-0.40-0.82-0.43-0.92-0.491.00-0.60-0.57-0.59-0.56
SXLK.AS0.030.090.050.110.180.520.400.550.530.62-0.601.000.860.820.80
CNDX.L0.010.08-0.030.100.240.590.350.640.510.70-0.570.861.000.830.92
VNRT.AS-0.000.110.080.200.200.550.500.610.550.70-0.590.820.831.000.87
MXUS.L-0.000.05-0.070.190.220.600.460.680.530.78-0.560.800.920.871.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
IBI Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IBI 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 IBI Portfolio was 12.32%, occurring on Sep 27, 2022. Recovery took 205 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.32%Jan 14, 2022182Sep 27, 2022205Jul 13, 2023387
-4.15%Jul 31, 202366Oct 30, 202321Nov 28, 202387
-2.44%Nov 9, 202116Nov 30, 202117Dec 23, 202133
-2.42%Feb 16, 202114Mar 5, 202121Apr 6, 202135
-2.17%Sep 7, 202122Oct 6, 202119Nov 2, 202141

Volatility Chart

The current IBI Portfolio volatility is 1.47%, 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%OctoberNovemberDecember2024FebruaryMarch
1.47%
3.47%
IBI Portfolio
Benchmark (^GSPC)
Portfolio components
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