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

IB

Last updated Oct 30, 2024

Asset Allocation

BND 10%DBB 3.85%DBC 3.83%BTC-USD 11.42%LTC-USD 7.16%ETH-USD 7.05%VOO 35%VEA 3.48%FIVG 3.45%LIT 3.06%MCHI 2.59%HERO 2.49%PBW 1.99%VNQ 4.63%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF		Total Bond Market
10%
BTC-USD
Bitcoin
11.42%
DBB
Invesco DB Base Metals Fund		Metals
3.85%
DBC
Invesco DB Commodity Index Tracking Fund		Commodities
3.83%
ETH-USD
Ethereum
7.05%
FIVG
Defiance Next Gen Connectivity ETF		Technology Equities
3.45%
HERO
Global X Video Games & Esports ETF		Large Cap Growth Equities, Gaming, Technology Equities
2.49%
LIT
Global X Lithium & Battery Tech ETF		Commodity Producers Equities
3.06%
LTC-USD
Litecoin
7.16%
MCHI
iShares MSCI China ETF		China Equities
2.59%
PBW
Invesco WilderHill Clean Energy ETF		Small Cap Growth Equities
1.99%
VEA
Vanguard FTSE Developed Markets ETF		Foreign Large Cap Equities
3.48%
VNQ
Vanguard Real Estate ETF		REIT
4.63%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
35%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in IB, 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

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
10.48%
15.83%
IB
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 31, 2019, corresponding to the inception date of HERO

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
IB21.73%1.90%10.48%39.40%24.79%N/A
Portfolio components:
VOO
Vanguard S&P 500 ETF		23.64%1.79%16.67%42.02%15.76%13.26%
VNQ
Vanguard Real Estate ETF		11.11%-1.36%22.28%38.62%4.09%6.10%
VEA
Vanguard FTSE Developed Markets ETF		7.77%-4.28%5.91%24.08%6.71%5.55%
PBW
Invesco WilderHill Clean Energy ETF		-28.92%3.23%2.94%-13.47%-4.39%-1.62%
MCHI
iShares MSCI China ETF		23.44%-1.80%20.11%21.35%-1.33%1.95%
LTC-USD
Litecoin		1.62%6.73%-6.94%6.83%4.68%35.41%
LIT
Global X Lithium & Battery Tech ETF		-13.60%2.89%0.44%-7.75%12.95%7.71%
HERO
Global X Video Games & Esports ETF		16.24%-3.19%20.48%31.62%9.88%N/A
FIVG
Defiance Next Gen Connectivity ETF		25.93%3.53%22.47%56.08%13.92%N/A
ETH-USD
Ethereum		15.63%-0.80%-12.43%45.74%70.34%N/A
DBC
Invesco DB Commodity Index Tracking Fund		0.54%-0.72%-5.06%-5.49%9.16%0.76%
DBB
Invesco DB Base Metals Fund		13.44%-0.81%2.22%20.96%8.47%3.07%
BTC-USD
Bitcoin		72.06%10.79%19.93%110.77%51.21%71.74%
BND
Vanguard Total Bond Market ETF		2.14%-2.57%5.38%10.54%-0.26%1.47%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.56%12.23%7.09%-6.88%6.35%-1.11%0.43%-1.81%3.92%21.73%
202315.14%-2.81%5.70%0.17%-1.52%6.86%0.53%-6.64%-2.43%1.57%7.40%6.27%32.35%
2022-8.84%0.85%3.74%-10.33%-4.35%-12.40%11.61%-5.66%-8.62%5.04%4.76%-5.68%-28.44%
20217.78%8.44%11.14%8.98%-5.77%-2.12%4.15%6.92%-5.70%14.03%-0.44%-5.45%47.15%
202010.11%-3.85%-18.51%16.31%5.61%1.28%13.53%7.25%-6.45%4.30%22.57%17.25%83.27%
2019-3.01%0.34%-2.68%

Expense Ratio

IB 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.

DBC
Invesco DB Commodity Index Tracking Fund
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
DBB
Invesco DB Base Metals Fund
Expense ratio chart for DBB: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
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%
PBW
Invesco WilderHill Clean Energy ETF
Expense ratio chart for PBW: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
MCHI
iShares MSCI China ETF
Expense ratio chart for MCHI: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
HERO
Global X Video Games & Esports ETF
Expense ratio chart for HERO: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
FIVG
Defiance Next Gen Connectivity ETF
Expense ratio chart for FIVG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
VNQ
Vanguard Real Estate ETF
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VEA
Vanguard FTSE Developed Markets ETF
Expense ratio chart for VEA: 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%
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%
BND
Vanguard Total Bond Market ETF
Expense ratio chart for BND: 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 IB is 6, indicating that it is in the bottom 6% 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 IB is 66
Combined Rank
The Sharpe Ratio Rank of IB is 77Sharpe Ratio Rank
The Sortino Ratio Rank of IB is 66Sortino Ratio Rank
The Omega Ratio Rank of IB is 66Omega Ratio Rank
The Calmar Ratio Rank of IB is 44Calmar Ratio Rank
The Martin Ratio Rank of IB is 99Martin 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.

IB
Sharpe ratio
The chart of Sharpe ratio for IB, currently valued at 1.30, compared to the broader market0.002.004.006.001.30
Sortino ratio
The chart of Sortino ratio for IB, currently valued at 1.83, compared to the broader market-2.000.002.004.006.001.83
Omega ratio
The chart of Omega ratio for IB, currently valued at 1.20, compared to the broader market0.801.001.201.401.601.802.001.20
Calmar ratio
The chart of Calmar ratio for IB, currently valued at 0.57, compared to the broader market0.005.0010.000.57
Martin ratio
The chart of Martin ratio for IB, currently valued at 6.24, compared to the broader market0.0010.0020.0030.0040.0050.0060.006.24
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF		2.192.951.411.0113.00
VNQ
Vanguard Real Estate ETF		1.642.241.290.287.08
VEA
Vanguard FTSE Developed Markets ETF		0.791.161.140.284.26
PBW
Invesco WilderHill Clean Energy ETF		-0.49-0.510.95-0.17-1.35
MCHI
iShares MSCI China ETF		1.492.191.300.315.45
LTC-USD
Litecoin		0.130.691.070.020.29
LIT
Global X Lithium & Battery Tech ETF		0.200.551.060.020.50
HERO
Global X Video Games & Esports ETF		1.001.491.170.136.29
FIVG
Defiance Next Gen Connectivity ETF		1.602.171.280.756.48
ETH-USD
Ethereum		-0.270.031.000.00-0.67
DBC
Invesco DB Commodity Index Tracking Fund		0.110.261.030.010.34
DBB
Invesco DB Base Metals Fund		1.692.401.280.334.48
BTC-USD
Bitcoin		1.121.811.180.984.65
BND
Vanguard Total Bond Market ETF		1.101.571.190.074.68

Sharpe Ratio

The current IB Sharpe ratio is 1.30. 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 2.49 to 3.44, 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 IB 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.30
3.43
IB
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IB provided a 1.71% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
IB1.71%1.84%1.37%0.99%1.11%1.48%1.62%1.34%1.45%1.39%1.37%1.33%
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%
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%
VEA
Vanguard FTSE Developed Markets ETF		2.96%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
PBW
Invesco WilderHill Clean Energy ETF		2.66%3.68%4.21%1.71%0.44%1.45%2.89%1.28%2.68%1.53%2.96%2.18%
MCHI
iShares MSCI China ETF		2.37%3.49%2.14%1.03%1.03%1.44%1.58%1.54%1.64%2.76%2.35%2.37%
LTC-USD
Litecoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LIT
Global X Lithium & Battery Tech ETF		1.39%1.11%0.99%0.22%0.40%1.85%2.52%3.26%2.15%0.24%1.07%0.32%
HERO
Global X Video Games & Esports ETF		0.69%0.73%0.28%0.79%0.71%0.17%0.00%0.00%0.00%0.00%0.00%0.00%
FIVG
Defiance Next Gen Connectivity ETF		0.91%1.40%0.00%1.17%0.99%0.75%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DBC
Invesco DB Commodity Index Tracking Fund		4.92%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
DBB
Invesco DB Base Metals Fund		6.36%7.21%0.94%0.00%0.00%1.82%1.58%0.00%0.00%0.00%0.00%0.00%
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%

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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.04%
-0.54%
IB
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IB. 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 IB was 40.22%, occurring on Nov 9, 2022. Recovery took 688 trading sessions.

The current IB drawdown is 0.04%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-40.22%Nov 15, 2021360Nov 9, 2022688Sep 27, 20241048
-36.84%Feb 15, 202033Mar 18, 2020136Aug 1, 2020169
-19.61%May 10, 202171Jul 19, 202192Oct 19, 2021163
-12.45%Sep 2, 202022Sep 23, 202043Nov 5, 202065
-11.88%Feb 20, 20219Feb 28, 202113Mar 13, 202122

Volatility

Volatility Chart

The current IB volatility is 3.74%, 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.

2.00%3.00%4.00%5.00%6.00%7.00%8.00%MayJuneJulyAugustSeptemberOctober
3.74%
2.71%
IB
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.
BNDDBCDBBLTC-USDETH-USDBTC-USDVNQMCHILITPBWHEROFIVGVOOVEA
BND1.00-0.050.000.050.040.040.220.020.050.100.150.090.100.10
DBC-0.051.000.450.100.110.120.140.260.290.250.220.250.270.35
DBB0.000.451.000.150.180.180.210.370.390.260.270.310.290.40
LTC-USD0.050.100.151.000.770.740.170.190.230.230.230.250.240.25
ETH-USD0.040.110.180.771.000.820.190.190.240.250.250.260.250.27
BTC-USD0.040.120.180.740.821.000.200.190.240.270.260.270.270.27
VNQ0.220.140.210.170.190.201.000.260.380.460.380.560.640.57
MCHI0.020.260.370.190.190.190.261.000.590.480.610.460.430.53
LIT0.050.290.390.230.240.240.380.591.000.650.550.550.550.59
PBW0.100.250.260.230.250.270.460.480.651.000.560.630.590.57
HERO0.150.220.270.230.250.260.380.610.550.561.000.630.590.61
FIVG0.090.250.310.250.260.270.560.460.550.630.631.000.840.71
VOO0.100.270.290.240.250.270.640.430.550.590.590.841.000.77
VEA0.100.350.400.250.270.270.570.530.590.570.610.710.771.00
The correlation results are calculated based on daily price changes starting from Nov 1, 2019