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 Oct 16, 2012, corresponding to the inception date of VTIP
Returns By Period
As of Oct 30, 2024, the IBKR returned 14.64% Year-To-Date and 8.38% 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 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
| IBKR | 14.64% | -1.05% | 11.85% | 30.65% | 9.64% | 8.38% |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | 23.64% | 1.79% | 16.67% | 42.02% | 15.81% | 13.26% |
VXUS Vanguard Total International Stock ETF | 9.71% | -3.84% | 7.56% | 24.87% | 6.31% | 5.09% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 4.37% | -0.55% | 3.64% | 7.05% | 3.53% | 2.39% |
BND Vanguard Total Bond Market ETF | 2.14% | -2.57% | 5.38% | 10.54% | -0.26% | 1.47% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 2.15% | -3.10% | 6.49% | 15.08% | 0.18% | 2.49% |
VNQ Vanguard Real Estate ETF | 11.11% | -1.36% | 22.28% | 38.62% | 4.10% | 6.10% |
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 | -0.20% | 3.23% | 2.88% | -3.30% | 4.12% | 1.45% | 2.18% | 2.39% | 2.29% | 14.64% | |||
| 2023 | 6.92% | -3.35% | 2.99% | 1.46% | -1.46% | 4.77% | 2.96% | -2.59% | -4.01% | -2.56% | 8.29% | 4.87% | 18.75% |
| 2022 | -4.06% | -2.64% | 1.44% | -6.98% | 0.61% | -7.17% | 6.18% | -4.20% | -8.91% | 4.84% | 8.05% | -3.66% | -16.77% |
| 2021 | -0.49% | 2.00% | 2.80% | 3.83% | 1.52% | 1.17% | 1.06% | 1.90% | -3.72% | 4.49% | -1.96% | 3.77% | 17.27% |
| 2020 | -0.93% | -6.06% | -12.62% | 9.22% | 4.20% | 2.65% | 4.53% | 4.58% | -2.52% | -2.16% | 10.11% | 4.00% | 13.43% |
| 2019 | 7.10% | 2.04% | 1.63% | 2.79% | -4.54% | 5.46% | 0.01% | -0.91% | 1.84% | 2.31% | 1.89% | 3.00% | 24.54% |
| 2018 | 4.14% | -4.11% | -0.96% | 0.22% | 0.71% | -0.23% | 2.57% | 0.70% | 0.15% | -6.40% | 1.67% | -5.76% | -7.60% |
| 2017 | 2.29% | 2.44% | 1.04% | 1.33% | 1.77% | 0.62% | 2.26% | 0.41% | 1.53% | 1.71% | 1.67% | 1.42% | 20.12% |
| 2016 | -4.19% | -0.87% | 6.75% | 0.93% | 0.47% | 0.48% | 3.57% | 0.01% | 0.56% | -1.89% | 0.45% | 1.94% | 8.09% |
| 2015 | -0.41% | 4.11% | -1.11% | 1.84% | 0.09% | -2.24% | 1.11% | -5.75% | -2.12% | 6.27% | -0.36% | -1.53% | -0.64% |
| 2014 | -3.09% | 4.34% | 0.56% | 1.08% | 1.99% | 1.67% | -1.27% | 2.47% | -2.88% | 1.61% | 1.22% | -1.43% | 6.15% |
| 2013 | 3.20% | 0.32% | 2.10% | 2.68% | -0.86% | -2.36% | 4.13% | -2.51% | 4.54% | 3.65% | 1.07% | 1.68% | 18.77% |
Expense Ratio
IBKR has an expense ratio of 0.06%, 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 60, 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 | 3.62 | 4.77 | 1.68 | 4.14 | 23.93 |
VXUS Vanguard Total International Stock ETF | 2.06 | 2.90 | 1.37 | 1.53 | 13.22 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.17 | 5.66 | 1.73 | 3.68 | 29.56 |
BND Vanguard Total Bond Market ETF | 1.75 | 2.60 | 1.31 | 0.59 | 6.74 |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 1.92 | 2.86 | 1.34 | 0.67 | 7.33 |
VNQ Vanguard Real Estate ETF | 2.28 | 3.26 | 1.41 | 1.17 | 8.94 |
Dividends
Dividend yield
IBKR provided a 2.38% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| IBKR | 2.38% | 2.54% | 2.65% | 2.22% | 1.97% | 2.52% | 2.75% | 2.36% | 2.55% | 2.49% | 2.61% | 2.38% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.27% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
VXUS Vanguard Total International Stock ETF | 2.92% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.39% | 3.36% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% | 0.82% | 0.05% |
BND Vanguard Total Bond Market ETF | 3.51% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.34% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% | 3.39% | 3.83% |
VNQ Vanguard Real Estate ETF | 3.82% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
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 29.99%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.
The current IBKR drawdown is 1.22%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -29.99% | Feb 13, 2020 | 27 | Mar 23, 2020 | 107 | Aug 24, 2020 | 134 |
| -24.5% | Jan 5, 2022 | 194 | Oct 12, 2022 | 333 | Feb 9, 2024 | 527 |
| -16.17% | Jan 29, 2018 | 229 | Dec 24, 2018 | 122 | Jun 20, 2019 | 351 |
| -14.99% | May 22, 2015 | 183 | Feb 11, 2016 | 117 | Jul 29, 2016 | 300 |
| -8.04% | May 22, 2013 | 23 | Jun 24, 2013 | 58 | Sep 16, 2013 | 81 |
Volatility
Volatility Chart
The current IBKR 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.
Diversification
Asset Correlations Table
| VTIP | VXUS | VOO | BND | VNQ | LQD | |
|---|---|---|---|---|---|---|
| VTIP | 1.00 | 0.15 | 0.08 | 0.54 | 0.20 | 0.50 |
| VXUS | 0.15 | 1.00 | 0.81 | -0.01 | 0.53 | 0.14 |
| VOO | 0.08 | 0.81 | 1.00 | -0.05 | 0.61 | 0.12 |
| BND | 0.54 | -0.01 | -0.05 | 1.00 | 0.20 | 0.89 |
| VNQ | 0.20 | 0.53 | 0.61 | 0.20 | 1.00 | 0.29 |
| LQD | 0.50 | 0.14 | 0.12 | 0.89 | 0.29 | 1.00 |