PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
IBI Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

IBI Portfolio

Last updated Jul 25, 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
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds

6.67%

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

6.67%

CNDX.L
iShares NASDAQ 100 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%

GSG
iShares S&P GSCI Commodity-Indexed Trust		Commodities

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%

MOAT
VanEck Vectors Morningstar Wide Moat ETF		Large Cap Blend Equities

6.67%

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

6.67%

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

6.67%

STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		High Yield Bonds

6.67%

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

6.67%

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

6.67%

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

6.67%

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

6.67%

S&P 500

Performance

Performance Chart

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%20.00%30.00%40.00%50.00%FebruaryMarchAprilMayJuneJuly
19.97%
41.11%
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 By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
IBI Portfolio5.16%0.26%4.39%8.68%N/AN/A
Portfolio components:
VYM
Vanguard High Dividend Yield ETF		10.89%3.16%9.56%14.88%9.95%9.59%
CNDX.L
iShares NASDAQ 100 UCITS ETF		12.94%-3.26%9.11%21.62%19.45%17.72%
SPXS
Direxion Daily S&P 500 Bear 3X Shares		-27.33%4.89%-22.49%-35.53%-44.66%-39.07%
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF		13.34%-4.07%7.02%22.60%30.19%N/A
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		3.95%1.67%3.75%9.88%4.01%N/A
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF		2.03%1.34%2.40%6.45%1.30%N/A
MXUS.L
Invesco MSCI USA UCITS ETF		14.22%-0.12%11.62%20.25%14.21%12.34%
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		11.91%-1.73%15.53%17.11%6.20%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF		4.97%2.67%5.38%9.20%13.47%12.79%
IEF
iShares 7-10 Year Treasury Bond ETF		-0.21%0.97%1.29%2.56%-1.05%1.00%
GSG
iShares S&P GSCI Commodity-Indexed Trust		7.08%-2.81%1.08%0.61%7.10%-3.96%
VNRT.AS
Vanguard FTSE North America UCITS ETF		14.42%-0.07%11.31%19.87%13.94%N/A
C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)		6.87%-0.31%6.37%10.13%N/AN/A
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis		0.01%0.95%-0.09%2.19%-1.73%N/A
BIL
SPDR Barclays 1-3 Month T-Bill ETF		2.97%0.42%2.57%5.30%2.06%1.39%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.58%1.04%1.86%-0.95%0.91%1.85%5.16%
20233.81%-1.28%2.19%0.59%-0.16%2.63%2.19%-1.02%-1.26%-1.79%4.24%3.15%13.85%
2022-1.39%-0.81%0.31%-2.64%-0.22%-3.62%3.00%-2.23%-4.31%1.78%3.39%-1.18%-7.95%
20210.67%0.86%2.21%0.68%1.04%0.37%0.61%-1.16%1.34%-1.23%3.23%8.87%

Expense Ratio

IBI Portfolio features an expense ratio of 0.31%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SPXS
Direxion Daily S&P 500 Bear 3X Shares
Expense ratio chart for SPXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Expense ratio chart for GSG: 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%
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc
Expense ratio chart for STYC.L: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
Expense ratio chart for MOAT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)
Expense ratio chart for EMVL.L: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
CNDX.L
iShares NASDAQ 100 UCITS ETF
Expense ratio chart for CNDX.L: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis
Expense ratio chart for UC81.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF
Expense ratio chart for SXLK.AS: 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%
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF
Expense ratio chart for ICBU.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%
IEF
iShares 7-10 Year Treasury Bond ETF
Expense ratio chart for IEF: 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%
C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)
Expense ratio chart for C50U.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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
VNRT.AS
Vanguard FTSE North America UCITS ETF
Expense ratio chart for VNRT.AS: 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%
VYM
Vanguard High Dividend Yield ETF
Expense ratio chart for VYM: 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%
MXUS.L
Invesco MSCI USA UCITS ETF
Expense ratio chart for MXUS.L: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of IBI Portfolio is 79, placing it in the top 21% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of IBI Portfolio is 7979
IBI Portfolio
The Sharpe Ratio Rank of IBI Portfolio is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of IBI Portfolio is 8585Sortino Ratio Rank
The Omega Ratio Rank of IBI Portfolio is 8282Omega Ratio Rank
The Calmar Ratio Rank of IBI Portfolio is 7777Calmar Ratio Rank
The Martin Ratio Rank of IBI Portfolio is 7777Martin 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.

IBI Portfolio
Sharpe ratio
The chart of Sharpe ratio for IBI Portfolio, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.001.89
Sortino ratio
The chart of Sortino ratio for IBI Portfolio, currently valued at 3.03, compared to the broader market-2.000.002.004.006.003.03
Omega ratio
The chart of Omega ratio for IBI Portfolio, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.801.36
Calmar ratio
The chart of Calmar ratio for IBI Portfolio, currently valued at 2.37, compared to the broader market0.002.004.006.008.002.37
Martin ratio
The chart of Martin ratio for IBI Portfolio, currently valued at 9.38, compared to the broader market0.0010.0020.0030.0040.009.38
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, 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 ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VYM
Vanguard High Dividend Yield ETF		1.532.241.271.565.41
CNDX.L
iShares NASDAQ 100 UCITS ETF		1.532.151.281.759.02
SPXS
Direxion Daily S&P 500 Bear 3X Shares		-1.10-1.650.82-0.47-0.98
SXLK.AS
SPDR S&P U.S. Technology Select Sector UCITS ETF		1.462.041.261.327.61
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		2.514.071.514.8916.73
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF		1.602.671.320.636.77
MXUS.L
Invesco MSCI USA UCITS ETF		1.962.871.361.789.33
EMVL.L
iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)		1.231.861.210.846.78
MOAT
VanEck Vectors Morningstar Wide Moat ETF		0.861.281.160.732.51
IEF
iShares 7-10 Year Treasury Bond ETF		0.480.741.080.171.30
GSG
iShares S&P GSCI Commodity-Indexed Trust		0.020.141.020.010.06
VNRT.AS
Vanguard FTSE North America UCITS ETF		2.083.061.381.729.44
C50U.L
Amundi EURO STOXX 50 UCITS ETF DR USD (C)		0.911.411.161.053.24
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis		0.670.981.120.342.33
BIL
SPDR Barclays 1-3 Month T-Bill ETF		20.13327.91232.87472.735,338.59

Sharpe Ratio

The current IBI Portfolio Sharpe ratio is 1.89. 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 1.24 to 1.94, 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 IBI 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.89
1.58
IBI Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

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

TTM20232022202120202019201820172016201520142013
IBI Portfolio1.57%1.44%0.74%0.51%0.72%0.98%0.95%0.59%0.51%0.61%0.42%0.37%
Portfolio components:
VYM
Vanguard High Dividend Yield ETF		2.92%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		0.03%0.05%0.06%0.03%0.04%0.07%0.06%0.30%0.16%0.16%0.19%0.16%
SPXS
Direxion Daily S&P 500 Bear 3X Shares		6.34%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		3.85%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		0.82%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		3.27%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		1.07%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		0.04%0.03%0.01%0.02%0.03%0.03%0.02%0.02%0.02%0.01%0.00%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.22%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.55%
-4.73%
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.

The current IBI Portfolio drawdown is 1.48%.

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
-2.43%Feb 16, 202114Mar 5, 202121Apr 6, 202135
-2.17%Sep 7, 202122Oct 6, 202119Nov 2, 202141

Volatility

Volatility Chart

The current IBI Portfolio volatility is 1.36%, 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%1.50%2.00%2.50%3.00%3.50%4.00%4.50%FebruaryMarchAprilMayJuneJuly
1.36%
3.80%
IBI 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.
BILUC81.LGSGIEFICBU.LVYMEMVL.LSTYC.LMOATC50U.LSPXSSXLK.ASCNDX.LVNRT.ASMXUS.L
BIL1.000.04-0.030.050.06-0.010.070.020.010.020.000.00-0.00-0.02-0.02
UC81.L0.041.000.090.410.360.21-0.060.120.25-0.07-0.250.05-0.010.08-0.06
GSG-0.030.091.00-0.070.020.320.240.190.210.19-0.220.110.100.190.18
IEF0.050.41-0.071.000.590.030.040.310.140.06-0.100.100.090.130.07
ICBU.L0.060.360.020.591.000.140.200.480.220.23-0.190.190.240.210.24
VYM-0.010.210.320.030.141.000.350.380.810.45-0.800.370.330.490.45
EMVL.L0.07-0.060.240.040.200.351.000.510.400.67-0.390.510.580.550.60
STYC.L0.020.120.190.310.480.380.511.000.440.60-0.420.530.610.600.66
MOAT0.010.250.210.140.220.810.400.441.000.49-0.900.510.490.540.52
C50U.L0.02-0.070.190.060.230.450.670.600.491.00-0.480.600.680.700.77
SPXS0.00-0.25-0.22-0.10-0.19-0.80-0.39-0.42-0.90-0.481.00-0.60-0.56-0.59-0.55
SXLK.AS0.000.050.110.100.190.370.510.530.510.60-0.601.000.860.820.80
CNDX.L-0.00-0.010.100.090.240.330.580.610.490.68-0.560.861.000.830.92
VNRT.AS-0.020.080.190.130.210.490.550.600.540.70-0.590.820.831.000.88
MXUS.L-0.02-0.060.180.070.240.450.600.660.520.77-0.550.800.920.881.00
The correlation results are calculated based on daily price changes starting from Feb 3, 2021