IBKR
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in IBKR, 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
The earliest data available for this chart is May 22, 2013, corresponding to the inception date of DGRW
Returns By Period
As of Aug 28, 2024, the IBKR returned 13.39% Year-To-Date and 10.31% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.95% | 3.05% | 10.78% | 26.90% | 14.03% | 10.90% |
| IBKR | 13.39% | 2.83% | 10.22% | 19.68% | 11.75% | 10.31% |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | 18.95% | 3.07% | 11.69% | 26.92% | 15.88% | 12.94% |
VGT Vanguard Information Technology ETF | 19.70% | 3.17% | 12.96% | 32.46% | 23.18% | 20.38% |
TIP iShares TIPS Bond ETF | 3.79% | 1.90% | 4.86% | 6.46% | 1.96% | 2.01% |
SCHD Schwab US Dividend Equity ETF | 11.68% | 1.62% | 9.80% | 16.39% | 13.36% | 11.47% |
O Realty Income Corporation | 11.94% | 7.26% | 22.99% | 16.64% | 1.83% | 8.46% |
DGRW WisdomTree U.S. Dividend Growth Fund | 17.23% | 3.50% | 11.41% | 23.97% | 15.55% | 13.03% |
Monthly Returns
The table below presents the monthly returns of IBKR, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.79% | 2.49% | 2.52% | -3.36% | 3.68% | 2.64% | 2.04% | 13.39% | |||||
| 2023 | 4.85% | -2.06% | 3.37% | 0.62% | -0.03% | 4.09% | 2.29% | -1.74% | -4.31% | -1.94% | 7.56% | 4.30% | 17.59% |
| 2022 | -4.06% | -1.88% | 1.90% | -5.91% | -0.01% | -6.20% | 7.43% | -3.85% | -8.74% | 6.45% | 4.40% | -4.06% | -14.92% |
| 2021 | -0.81% | 1.53% | 3.42% | 3.87% | 0.81% | 1.69% | 2.61% | 1.94% | -3.84% | 5.20% | -0.02% | 3.57% | 21.49% |
| 2020 | 1.10% | -5.40% | -9.61% | 9.76% | 3.58% | 2.16% | 4.48% | 5.27% | -2.63% | -2.01% | 8.02% | 3.09% | 17.34% |
| 2019 | 5.79% | 2.71% | 2.36% | 2.57% | -4.11% | 4.86% | 1.34% | -0.03% | 1.32% | 1.82% | 2.28% | 1.89% | 24.92% |
| 2018 | 3.13% | -2.92% | -1.20% | -0.14% | 2.39% | 0.56% | 2.41% | 3.04% | 0.04% | -4.62% | 1.57% | -5.39% | -1.60% |
| 2017 | 1.66% | 2.90% | 0.21% | 0.80% | 0.99% | -0.20% | 1.78% | 0.84% | 1.08% | 1.95% | 2.19% | 1.26% | 16.54% |
| 2016 | -2.10% | 0.65% | 5.39% | -0.55% | 1.31% | 1.67% | 3.07% | -0.26% | 0.59% | -1.75% | 1.20% | 1.46% | 10.96% |
| 2015 | -0.30% | 2.96% | -1.16% | 0.41% | 0.43% | -2.03% | 1.84% | -4.54% | -1.07% | 6.11% | 0.33% | -1.26% | 1.34% |
| 2014 | -1.22% | 3.50% | -0.01% | 1.17% | 2.08% | 1.61% | -0.90% | 2.94% | -1.95% | 2.42% | 2.21% | -0.46% | 11.82% |
| 2013 | -1.81% | -2.57% | 3.81% | -2.73% | 2.77% | 3.25% | 1.28% | 1.34% | 5.21% |
Expense Ratio
IBKR has an expense ratio of 0.10%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of IBKR is 70, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 2.38 | 3.23 | 1.43 | 2.54 | 11.25 |
VGT Vanguard Information Technology ETF | 1.80 | 2.37 | 1.31 | 2.37 | 8.22 |
TIP iShares TIPS Bond ETF | 1.28 | 1.93 | 1.23 | 0.49 | 5.69 |
SCHD Schwab US Dividend Equity ETF | 1.55 | 2.26 | 1.27 | 1.37 | 5.83 |
O Realty Income Corporation | 0.90 | 1.35 | 1.17 | 0.51 | 2.24 |
DGRW WisdomTree U.S. Dividend Growth Fund | 2.40 | 3.37 | 1.44 | 2.63 | 10.27 |
Dividends
Dividend yield
IBKR granted a 2.15% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| IBKR | 2.15% | 2.17% | 3.54% | 2.41% | 1.69% | 1.98% | 2.40% | 2.00% | 1.98% | 1.70% | 1.93% | 1.78% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.28% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
VGT Vanguard Information Technology ETF | 0.64% | 0.65% | 0.91% | 0.64% | 0.82% | 1.11% | 1.29% | 0.99% | 1.31% | 1.28% | 1.12% | 1.05% |
TIP iShares TIPS Bond ETF | 3.01% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% | 1.15% |
SCHD Schwab US Dividend Equity ETF | 3.39% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% | 2.47% |
O Realty Income Corporation | 4.98% | 5.33% | 4.68% | 3.87% | 4.50% | 3.69% | 4.18% | 4.45% | 4.18% | 4.41% | 4.59% | 5.83% |
DGRW WisdomTree U.S. Dividend Growth Fund | 1.54% | 1.74% | 2.15% | 1.78% | 1.91% | 2.20% | 2.42% | 1.73% | 2.13% | 2.18% | 1.79% | 1.05% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the IBKR. 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 was 24.39%, occurring on Mar 23, 2020. Recovery took 91 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.39% | Feb 20, 2020 | 23 | Mar 23, 2020 | 91 | Jul 31, 2020 | 114 |
| -20.4% | Dec 30, 2021 | 190 | Sep 30, 2022 | 311 | Dec 27, 2023 | 501 |
| -12.57% | Sep 21, 2018 | 65 | Dec 24, 2018 | 53 | Mar 13, 2019 | 118 |
| -8.99% | Apr 27, 2015 | 85 | Aug 25, 2015 | 49 | Nov 3, 2015 | 134 |
| -7.76% | Jan 29, 2018 | 9 | Feb 8, 2018 | 115 | Jul 25, 2018 | 124 |
Volatility
Volatility Chart
The current IBKR volatility is 3.71%, 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.
Diversification
Asset Correlations Table
| TIP | O | VGT | SCHD | VOO | DGRW | |
|---|---|---|---|---|---|---|
| TIP | 1.00 | 0.23 | -0.01 | -0.04 | -0.02 | -0.02 |
| O | 0.23 | 1.00 | 0.27 | 0.41 | 0.37 | 0.38 |
| VGT | -0.01 | 0.27 | 1.00 | 0.67 | 0.89 | 0.82 |
| SCHD | -0.04 | 0.41 | 0.67 | 1.00 | 0.85 | 0.91 |
| VOO | -0.02 | 0.37 | 0.89 | 0.85 | 1.00 | 0.95 |
| DGRW | -0.02 | 0.38 | 0.82 | 0.91 | 0.95 | 1.00 |