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IBKR

Last updated Mar 2, 2024

Asset Allocation


TIP 30%VOO 40%VGT 10%SCHD 10%O 5%DGRW 5%BondBondEquityEquity
PositionCategory/SectorWeight
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

30%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

40%

VGT
Vanguard Information Technology ETF
Technology Equities

10%

SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

10%

O
Realty Income Corporation
Real Estate

5%

DGRW
WisdomTree U.S. Dividend Growth Fund
Large Cap Growth Equities, Dividend

5%

S&P 500

Performance

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


140.00%160.00%180.00%200.00%220.00%OctoberNovemberDecember2024FebruaryMarch
181.47%
210.33%
IBKR
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 22, 2013, corresponding to the inception date of DGRW

Returns

As of Mar 2, 2024, the IBKR returned 4.13% Year-To-Date and 10.07% of annualized return in the last 10 years.


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%
IBKR4.13%2.20%9.61%17.42%11.41%10.12%
VOO
Vanguard S&P 500 ETF
7.93%3.78%14.58%29.02%15.08%12.68%
VGT
Vanguard Information Technology ETF
8.96%4.40%18.52%47.19%23.67%20.38%
TIP
iShares TIPS Bond ETF
-0.34%0.11%2.69%1.94%2.62%2.02%
SCHD
Schwab US Dividend Equity ETF
2.65%1.49%6.69%7.27%12.52%11.36%
O
Realty Income Corporation
-8.14%-3.12%-4.26%-14.42%-0.56%7.39%
DGRW
WisdomTree U.S. Dividend Growth Fund
6.34%3.56%12.30%22.77%14.52%12.77%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.79%2.49%
2023-1.74%-4.31%-1.94%7.56%4.30%

Sharpe Ratio

The current IBKR Sharpe ratio is 2.19. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.19

The Sharpe ratio of IBKR 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
2.19
2.44
IBKR
Benchmark (^GSPC)
Portfolio components

Dividend yield

IBKR granted a 2.14% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
IBKR2.14%2.17%3.54%2.41%1.69%1.98%2.40%2.00%1.98%1.70%1.93%1.78%
VOO
Vanguard S&P 500 ETF
1.35%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
0.59%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
2.74%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
3.40%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
5.87%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
1.67%1.74%2.15%1.78%1.91%2.20%2.42%1.73%2.13%2.18%1.79%1.05%

Expense Ratio

The IBKR features an expense ratio of 0.10%, falling within the medium range. 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%0.28%
0.50%1.00%1.50%2.00%0.19%
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%0.03%

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
IBKR
2.19
VOO
Vanguard S&P 500 ETF
2.61
VGT
Vanguard Information Technology ETF
2.89
TIP
iShares TIPS Bond ETF
0.46
SCHD
Schwab US Dividend Equity ETF
0.72
O
Realty Income Corporation
-0.66
DGRW
WisdomTree U.S. Dividend Growth Fund
2.29

Asset Correlations Table

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

TIPOVGTSCHDDGRWVOO
TIP1.000.22-0.02-0.05-0.04-0.03
O0.221.000.280.410.390.38
VGT-0.020.281.000.690.820.89
SCHD-0.050.410.691.000.920.87
DGRW-0.040.390.820.921.000.95
VOO-0.030.380.890.870.951.00

Drawdowns Chart

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


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

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, 202023Mar 23, 202091Jul 31, 2020114
-20.4%Dec 30, 2021190Sep 30, 2022311Dec 27, 2023501
-12.57%Sep 21, 201865Dec 24, 201853Mar 13, 2019118
-8.99%Apr 27, 201585Aug 25, 201549Nov 3, 2015134
-7.76%Jan 29, 20189Feb 8, 2018115Jul 25, 2018124

Volatility Chart

The current IBKR volatility is 2.59%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.59%
3.47%
IBKR
Benchmark (^GSPC)
Portfolio components
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