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Arnab Das IBKR Portfolio - Jan 2024 - Updated
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Arnab Das IBKR Portfolio - Jan 2024 - Updated

Last updated Dec 31, 2024

Asset Allocation

SHV 14%STIP 8%IAU 2%USD=X 21%VWO 20%IRBO 6%EWJ 5%IXJ 4%IUSV 4%ACWI 3%VOO 3%VUG 3%IXG 3%IEUR 2%LIT 2%BondBondCommodityCommodityCurrencyCurrencyEquityEquity
PositionCategory/SectorTarget Weight
ACWI
iShares MSCI ACWI ETF		Large Cap Growth Equities
3%
EWJ
iShares MSCI Japan ETF		Japan Equities
5%
IAU
iShares Gold Trust		Precious Metals, Gold
2%
IEUR
iShares Core MSCI Europe ETF		Europe Equities
2%
IRBO
iShares Robotics and Artificial Intelligence Multisector ETF		Robotics, Technology Equities
6%
IUSV
iShares Core S&P U.S. Value ETF		Large Cap Blend Equities
4%
IXG
iShares Global Financials ETF		Financials Equities
3%
IXJ
iShares Global Healthcare ETF		Health & Biotech Equities
4%
LIT
Global X Lithium & Battery Tech ETF		Commodity Producers Equities
2%
SHV
iShares Short Treasury Bond ETF		Government Bonds
14%
STIP
iShares 0-5 Year TIPS Bond ETF		Inflation-Protected Bonds
8%
USD=X
USD Cash
21%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
3%
VUG
Vanguard Growth ETF		Large Cap Growth Equities
3%
VWO
Vanguard FTSE Emerging Markets ETF		Emerging Markets Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Arnab Das IBKR Portfolio - Jan 2024 - Updated, 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 every 3 months.

-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember
2.23%
6.23%
Arnab Das IBKR Portfolio - Jan 2024 - Updated
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 28, 2018, corresponding to the inception date of IRBO

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.00%-2.50%6.76%23.31%12.57%11.09%
Arnab Das IBKR Portfolio - Jan 2024 - Updated0.00%-1.83%2.23%9.40%4.89%N/A
Portfolio components:
ACWI
iShares MSCI ACWI ETF		0.00%-3.04%3.97%19.41%9.73%9.43%
VOO
Vanguard S&P 500 ETF		0.00%-2.24%7.42%27.23%14.06%13.16%
IEUR
iShares Core MSCI Europe ETF		0.00%-3.21%-5.45%3.63%4.57%5.30%
VWO
Vanguard FTSE Emerging Markets ETF		0.00%-1.77%1.43%12.41%2.76%4.12%
VUG
Vanguard Growth ETF		0.00%-0.04%8.48%37.62%17.79%15.91%
LIT
Global X Lithium & Battery Tech ETF		0.00%-7.81%1.03%-16.42%8.87%7.62%
IXJ
iShares Global Healthcare ETF		0.00%-6.24%-5.52%-0.79%5.85%7.32%
EWJ
iShares MSCI Japan ETF		0.00%-4.75%-1.93%8.61%4.21%5.85%
IUSV
iShares Core S&P U.S. Value ETF		0.00%-5.81%6.70%12.56%10.17%9.90%
IXG
iShares Global Financials ETF		0.00%-3.77%12.30%26.87%9.43%8.32%
IRBO
iShares Robotics and Artificial Intelligence Multisector ETF		0.00%0.00%-1.94%1.07%4.82%N/A
IAU
iShares Gold Trust		0.00%-0.76%11.13%28.13%10.45%7.98%
STIP
iShares 0-5 Year TIPS Bond ETF		0.00%-0.23%2.28%4.72%3.21%2.56%
SHV
iShares Short Treasury Bond ETF		0.00%0.35%2.51%5.12%2.26%1.69%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%
*Annualized

Monthly Returns

The table below presents the monthly returns of Arnab Das IBKR Portfolio - Jan 2024 - Updated, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.00%2.67%1.83%-1.68%2.28%0.72%1.47%1.37%2.07%-1.23%1.12%8.23%
20235.51%-2.77%2.04%-0.01%-0.54%3.43%2.62%-2.72%-2.41%-1.94%5.18%2.97%11.39%
2022-2.74%-1.68%-0.20%-5.31%0.71%-3.91%2.52%-1.92%-5.96%1.89%5.82%-2.39%-12.99%
20211.39%1.16%0.06%1.92%1.20%1.08%-0.45%1.59%-2.38%2.74%-1.62%1.15%8.00%
2020-1.32%-3.30%-7.88%5.44%2.77%2.39%3.75%2.96%-1.30%-0.23%6.44%3.74%13.28%
20194.85%1.07%0.64%1.54%-3.66%3.73%-0.27%-1.22%0.98%1.96%1.11%2.81%14.10%
20180.45%1.70%-0.17%0.05%-4.54%1.70%-3.45%-4.36%

Expense Ratio

Arnab Das IBKR Portfolio - Jan 2024 - Updated has an expense ratio of 0.16%, 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.

LIT
Global X Lithium & Battery Tech ETF
Expense ratio chart for LIT: 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%
EWJ
iShares MSCI Japan ETF
Expense ratio chart for EWJ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
IRBO
iShares Robotics and Artificial Intelligence Multisector ETF
Expense ratio chart for IRBO: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
IXJ
iShares Global Healthcare ETF
Expense ratio chart for IXJ: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
IXG
iShares Global Financials ETF
Expense ratio chart for IXG: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
ACWI
iShares MSCI ACWI ETF
Expense ratio chart for ACWI: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
IAU
iShares Gold Trust
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
SHV
iShares Short Treasury Bond ETF
Expense ratio chart for SHV: 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%
IEUR
iShares Core MSCI Europe ETF
Expense ratio chart for IEUR: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
VWO
Vanguard FTSE Emerging Markets ETF
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
STIP
iShares 0-5 Year TIPS Bond ETF
Expense ratio chart for STIP: 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%
VUG
Vanguard Growth ETF
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
IUSV
iShares Core S&P U.S. Value ETF
Expense ratio chart for IUSV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 26, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 2626
Overall Rank
The Sharpe Ratio Rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 2323
Sortino Ratio Rank
The Omega Ratio Rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 2727
Omega Ratio Rank
The Calmar Ratio Rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 2121
Calmar Ratio Rank
The Martin Ratio Rank of Arnab Das IBKR Portfolio - Jan 2024 - Updated is 3232
Martin 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.

Sharpe ratio
The chart of Sharpe ratio for Arnab Das IBKR Portfolio - Jan 2024 - Updated, currently valued at 1.16, compared to the broader market-1.000.001.002.003.004.001.161.84
The chart of Sortino ratio for Arnab Das IBKR Portfolio - Jan 2024 - Updated, currently valued at 1.64, compared to the broader market-2.000.002.004.001.642.48
The chart of Omega ratio for Arnab Das IBKR Portfolio - Jan 2024 - Updated, currently valued at 1.22, compared to the broader market0.801.001.201.401.601.221.34
The chart of Calmar ratio for Arnab Das IBKR Portfolio - Jan 2024 - Updated, currently valued at 1.25, compared to the broader market0.002.004.006.008.0010.001.252.75
The chart of Martin ratio for Arnab Das IBKR Portfolio - Jan 2024 - Updated, currently valued at 6.83, compared to the broader market0.0010.0020.0030.0040.006.8311.85
Arnab Das IBKR Portfolio - Jan 2024 - Updated
^GSPC
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ACWI
iShares MSCI ACWI ETF		1.522.091.282.209.43
VOO
Vanguard S&P 500 ETF		2.022.701.382.9813.17
IEUR
iShares Core MSCI Europe ETF		0.220.381.050.240.63
VWO
Vanguard FTSE Emerging Markets ETF		0.861.301.160.543.31
VUG
Vanguard Growth ETF		1.932.531.362.5510.00
LIT
Global X Lithium & Battery Tech ETF		-0.37-0.350.96-0.19-0.97
IXJ
iShares Global Healthcare ETF		-0.23-0.240.97-0.16-0.47
EWJ
iShares MSCI Japan ETF		0.190.381.050.270.75
IUSV
iShares Core S&P U.S. Value ETF		1.221.771.221.675.61
IXG
iShares Global Financials ETF		2.152.891.403.6413.01
IRBO
iShares Robotics and Artificial Intelligence Multisector ETF		0.010.131.020.000.03
IAU
iShares Gold Trust		1.872.481.333.429.43
STIP
iShares 0-5 Year TIPS Bond ETF		2.393.551.495.6414.63
SHV
iShares Short Treasury Bond ETF		18.87126.4753.93180.361,855.29
USD=X
USD Cash		—————

The current Arnab Das IBKR Portfolio - Jan 2024 - Updated Sharpe ratio is 1.18. 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 1.20 to 2.02, 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 Arnab Das IBKR Portfolio - Jan 2024 - Updated 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 Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember
1.16
1.84
Arnab Das IBKR Portfolio - Jan 2024 - Updated
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Arnab Das IBKR Portfolio - Jan 2024 - Updated provided a 2.11% dividend yield over the last twelve months.

TTM2023202220212020201920182017201620152014
Portfolio2.11%2.14%2.02%1.37%1.05%1.75%1.69%1.22%1.22%1.26%1.09%
Portfolio components:
ACWI
iShares MSCI ACWI ETF		1.70%1.88%1.79%1.71%1.43%2.33%2.25%1.94%2.19%2.56%2.26%
VOO
Vanguard S&P 500 ETF		1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%
IEUR
iShares Core MSCI Europe ETF		3.54%3.17%3.05%2.87%2.13%3.26%3.76%2.64%3.19%2.79%0.64%
VWO
Vanguard FTSE Emerging Markets ETF		3.19%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%
VUG
Vanguard Growth ETF		0.46%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%
LIT
Global X Lithium & Battery Tech ETF		0.93%1.11%0.99%0.22%0.40%1.85%2.52%3.26%2.15%0.24%1.07%
IXJ
iShares Global Healthcare ETF		1.50%1.38%1.17%1.12%1.27%1.42%2.11%1.47%1.73%2.85%1.38%
EWJ
iShares MSCI Japan ETF		2.34%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%
IUSV
iShares Core S&P U.S. Value ETF		2.15%1.75%2.22%1.87%2.40%2.19%2.66%1.93%2.18%2.54%1.86%
IXG
iShares Global Financials ETF		2.64%2.62%3.71%1.68%2.13%2.87%3.14%2.12%2.21%2.79%2.38%
IRBO
iShares Robotics and Artificial Intelligence Multisector ETF		0.35%0.62%0.13%1.14%0.53%0.69%0.34%0.00%0.00%0.00%0.00%
IAU
iShares Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
STIP
iShares 0-5 Year TIPS Bond ETF		2.62%2.84%6.04%4.15%1.40%2.06%2.43%1.59%0.89%0.00%0.75%
SHV
iShares Short Treasury Bond ETF		5.03%4.73%1.39%0.00%0.74%2.19%1.66%0.72%0.34%0.03%0.00%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.

-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember
-2.43%
-3.43%
Arnab Das IBKR Portfolio - Jan 2024 - Updated
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Arnab Das IBKR Portfolio - Jan 2024 - Updated. 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 Arnab Das IBKR Portfolio - Jan 2024 - Updated was 19.60%, occurring on Oct 14, 2022. Recovery took 415 trading sessions.

The current Arnab Das IBKR Portfolio - Jan 2024 - Updated drawdown is 2.41%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.6%Nov 15, 2021240Oct 14, 2022415May 17, 2024655
-19.06%Jan 21, 202045Mar 23, 202096Aug 4, 2020141
-8.79%Aug 30, 201883Dec 24, 201863Mar 21, 2019146
-5.85%Feb 17, 202114Mar 8, 202179Jun 25, 202193
-5.31%Jul 17, 202414Aug 5, 202414Aug 23, 202428

Volatility

Volatility Chart

The current Arnab Das IBKR Portfolio - Jan 2024 - Updated volatility is 2.04%, 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%6.00%AugustSeptemberOctoberNovemberDecember
2.04%
4.15%
Arnab Das IBKR Portfolio - Jan 2024 - Updated
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.
USD=XSHVIAUSTIPLITIXJEWJVWOIXGVUGIRBOIUSVIEURVOOACWI
USD=X0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00
SHV0.001.000.140.18-0.070.020.040.01-0.030.00-0.02-0.01-0.01-0.01-0.00
IAU0.000.141.000.440.150.120.160.230.080.090.100.080.200.090.15
STIP0.000.180.441.000.140.150.170.160.100.150.140.150.180.160.18
LIT0.00-0.070.150.141.000.420.540.690.540.580.680.560.600.600.67
IXJ0.000.020.120.150.421.000.560.510.580.640.550.690.690.720.73
EWJ0.000.040.160.170.540.561.000.640.680.620.660.650.710.680.77
VWO0.000.010.230.160.690.510.641.000.650.630.750.600.730.660.79
IXG0.00-0.030.080.100.540.580.680.651.000.600.630.890.810.770.82
VUG0.000.000.090.150.580.640.620.630.601.000.830.680.680.930.89
IRBO0.00-0.020.100.140.680.550.660.750.630.831.000.670.710.810.85
IUSV0.00-0.010.080.150.560.690.650.600.890.680.671.000.760.870.86
IEUR0.00-0.010.200.180.600.690.710.730.810.680.710.761.000.770.87
VOO0.00-0.010.090.160.600.720.680.660.770.930.810.870.771.000.96
ACWI0.00-0.000.150.180.670.730.770.790.820.890.850.860.870.961.00
The correlation results are calculated based on daily price changes starting from Jun 29, 2018
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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