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IBI Portfolio Playground
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

IBI Portfolio Playground

Last updated Sep 20, 2024

Asset Allocation

STYC.L 8.33%ICBU.L 8.33%IEF 8.33%UC81.L 8.33%BIL 8.33%GSG 8.33%VYM 8.33%CNDX.L 8.33%SPXS 8.33%MXUS.L 8.33%MOAT 8.33%VNRT.AS 8.33%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
8.33%
CNDX.L
iShares NASDAQ 100 UCITS ETF		Large Cap Blend Equities
8.33%
GSG
iShares S&P GSCI Commodity-Indexed Trust		Commodities
8.33%
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF		Corporate Bonds
8.33%
IEF
iShares 7-10 Year Treasury Bond ETF		Government Bonds
8.33%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		Large Cap Blend Equities
8.33%
MXUS.L
Invesco MSCI USA UCITS ETF		Large Cap Blend Equities
8.33%
SPXS
Direxion Daily S&P 500 Bear 3X Shares		Leveraged Equities, Leveraged
8.33%
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		High Yield Bonds
8.33%
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis		Corporate Bonds
8.33%
VNRT.AS
Vanguard FTSE North America UCITS ETF		Large Cap Blend Equities
8.33%
VYM
Vanguard High Dividend Yield ETF		Dividend, Large Cap Value Equities
8.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in IBI Portfolio Playground , 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
3.34%
9.01%
IBI Portfolio Playground
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 27, 2017, corresponding to the inception date of ICBU.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.79%2.08%9.01%29.79%13.85%11.12%
IBI Portfolio Playground 5.97%1.16%3.34%9.32%4.34%N/A
Portfolio components:
VYM
Vanguard High Dividend Yield ETF		16.36%3.36%7.92%23.37%10.65%10.01%
CNDX.L
iShares NASDAQ 100 UCITS ETF		18.03%0.91%7.96%31.74%20.28%17.92%
SPXS
Direxion Daily S&P 500 Bear 3X Shares		-38.92%-5.91%-20.46%-51.06%-45.70%-39.84%
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		7.51%2.20%5.91%12.89%4.46%N/A
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF		5.65%1.67%5.81%10.84%1.75%N/A
MXUS.L
Invesco MSCI USA UCITS ETF		20.11%2.39%9.12%30.23%14.96%12.76%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		12.50%3.20%7.09%23.74%14.55%13.24%
IEF
iShares 7-10 Year Treasury Bond ETF		4.52%1.18%6.58%9.80%-0.64%1.49%
GSG
iShares S&P GSCI Commodity-Indexed Trust		4.74%0.53%-3.98%-6.95%6.26%-3.29%
VNRT.AS
Vanguard FTSE North America UCITS ETF		20.91%2.40%9.43%30.59%14.46%N/A
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis		5.00%0.77%3.26%9.42%1.87%N/A
BIL
SPDR Barclays 1-3 Month T-Bill ETF		3.84%0.46%2.63%5.40%2.11%1.48%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.58%0.40%1.63%-0.72%0.19%1.33%0.95%0.59%5.97%
20232.39%-1.19%1.34%0.42%-0.32%1.78%1.97%-0.30%-0.62%-1.45%2.52%2.69%9.48%
2022-0.61%0.57%0.41%-1.42%-0.32%-2.06%2.33%-1.66%-2.99%1.03%1.45%-1.02%-4.34%
20210.40%1.15%0.45%1.66%0.49%1.09%0.53%0.23%-0.39%0.88%-1.14%1.53%7.07%
2020-0.32%-1.86%-7.91%1.84%2.67%1.33%1.48%2.43%-1.68%-1.06%3.95%1.85%2.19%
20192.99%1.45%0.91%1.15%-1.62%1.86%0.78%-0.77%0.67%0.73%0.86%1.32%10.76%
20181.28%-1.37%-0.78%0.77%0.75%0.47%0.26%0.92%0.42%-1.69%-0.73%-0.85%-0.59%
20170.05%0.32%0.02%0.99%0.10%0.41%0.78%0.60%0.92%4.27%

Expense Ratio

IBI Portfolio Playground features an expense ratio of 0.34%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SPXS
Direxion Daily S&P 500 Bear 3X Shares
Expense ratio chart for SPXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Expense ratio chart for GSG: 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%
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc
Expense ratio chart for STYC.L: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
Expense ratio chart for MOAT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
CNDX.L
iShares NASDAQ 100 UCITS ETF
Expense ratio chart for CNDX.L: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis
Expense ratio chart for UC81.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF
Expense ratio chart for ICBU.L: 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%
IEF
iShares 7-10 Year Treasury Bond ETF
Expense ratio chart for IEF: 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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
VNRT.AS
Vanguard FTSE North America UCITS ETF
Expense ratio chart for VNRT.AS: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VYM
Vanguard High Dividend Yield ETF
Expense ratio chart for VYM: 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%
MXUS.L
Invesco MSCI USA UCITS ETF
Expense ratio chart for MXUS.L: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of IBI Portfolio Playground is 90, placing it in the top 10% 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 IBI Portfolio Playground is 9090
IBI Portfolio Playground
The Sharpe Ratio Rank of IBI Portfolio Playground is 8282Sharpe Ratio Rank
The Sortino Ratio Rank of IBI Portfolio Playground is 9494Sortino Ratio Rank
The Omega Ratio Rank of IBI Portfolio Playground is 9090Omega Ratio Rank
The Calmar Ratio Rank of IBI Portfolio Playground is 9090Calmar Ratio Rank
The Martin Ratio Rank of IBI Portfolio Playground is 9393Martin 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.

IBI Portfolio Playground
Sharpe ratio
The chart of Sharpe ratio for IBI Portfolio Playground , currently valued at 2.60, compared to the broader market-1.000.001.002.003.004.002.60
Sortino ratio
The chart of Sortino ratio for IBI Portfolio Playground , currently valued at 4.34, compared to the broader market-2.000.002.004.006.004.34
Omega ratio
The chart of Omega ratio for IBI Portfolio Playground , currently valued at 1.52, compared to the broader market0.801.001.201.401.601.801.52
Calmar ratio
The chart of Calmar ratio for IBI Portfolio Playground , currently valued at 3.99, compared to the broader market0.002.004.006.008.003.99
Martin ratio
The chart of Martin ratio for IBI Portfolio Playground , currently valued at 19.90, compared to the broader market0.0010.0020.0030.0019.90
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.02, compared to the broader market0.002.004.006.008.002.02
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0013.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VYM
Vanguard High Dividend Yield ETF		2.493.481.452.7115.62
CNDX.L
iShares NASDAQ 100 UCITS ETF		2.082.791.372.529.73
SPXS
Direxion Daily S&P 500 Bear 3X Shares		-1.48-2.620.72-0.56-1.24
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		3.105.101.666.1129.98
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF		2.794.831.601.0616.36
MXUS.L
Invesco MSCI USA UCITS ETF		2.793.871.522.7016.98
MOAT
VanEck Vectors Morningstar Wide Moat ETF		2.102.931.381.7910.72
IEF
iShares 7-10 Year Treasury Bond ETF		1.462.141.260.475.20
GSG
iShares S&P GSCI Commodity-Indexed Trust		-0.40-0.460.95-0.26-0.99
VNRT.AS
Vanguard FTSE North America UCITS ETF		2.864.011.562.6517.13
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis		1.542.281.291.3611.86
BIL
SPDR Barclays 1-3 Month T-Bill ETF		19.94468.83469.83480.897,633.93

Sharpe Ratio

The current IBI Portfolio Playground Sharpe ratio is 2.60. 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 1.88 to 2.55, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of IBI Portfolio Playground 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.60
2.23
IBI Portfolio Playground
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IBI Portfolio Playground granted a 2.26% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
IBI Portfolio Playground 2.26%2.07%1.03%0.77%1.13%1.46%1.36%0.91%0.80%0.83%0.53%0.46%
Portfolio components:
VYM
Vanguard High Dividend Yield ETF		2.83%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
CNDX.L
iShares NASDAQ 100 UCITS ETF		0.02%0.05%0.06%0.03%0.04%0.07%0.06%0.30%0.16%0.16%0.19%0.16%
SPXS
Direxion Daily S&P 500 Bear 3X Shares		5.23%5.66%0.00%0.00%0.51%1.74%0.58%0.00%0.00%0.00%0.00%0.00%
STYC.L
PIMCO US Short-Term High Yield Corporate Bond Index UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ICBU.L
iShares USD Intermediate Credit Bond UCITS ETF		3.72%2.77%1.93%1.93%2.78%2.93%2.65%0.44%0.00%0.00%0.00%0.00%
MXUS.L
Invesco MSCI USA UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		0.76%0.86%1.25%1.08%1.46%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
IEF
iShares 7-10 Year Treasury Bond ETF		3.24%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
GSG
iShares S&P GSCI Commodity-Indexed Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VNRT.AS
Vanguard FTSE North America UCITS ETF		1.06%1.25%1.45%1.00%1.42%1.44%1.77%1.64%1.58%1.70%0.00%0.00%
UC81.L
UBS ETF (LU) Bloomberg US Liquid Corporates 1-5 Year UCITS ETF (USD) A-dis		5.01%3.28%1.36%1.58%2.75%2.90%2.20%2.16%1.86%0.84%0.00%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.23%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%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%AprilMayJuneJulyAugustSeptember00
IBI Portfolio Playground
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IBI Portfolio Playground . 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 IBI Portfolio Playground was 11.61%, occurring on Apr 1, 2020. Recovery took 175 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-11.61%Feb 20, 202030Apr 1, 2020175Dec 3, 2020205
-8.19%Mar 8, 2022145Sep 27, 2022304Nov 29, 2023449
-4.43%Oct 3, 201860Dec 26, 201835Feb 14, 201995
-3.19%Jan 30, 20189Feb 9, 2018126Aug 7, 2018135
-2.27%Nov 8, 202119Dec 2, 202163Mar 1, 202282

Volatility

Volatility Chart

The current IBI Portfolio Playground volatility is 1.23%, 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%AprilMayJuneJulyAugustSeptember
1.23%
4.31%
IBI Portfolio Playground
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.
BILUC81.LIEFICBU.LGSGSTYC.LCNDX.LVYMVNRT.ASMOATMXUS.LSPXS
BIL1.000.010.030.04-0.040.02-0.010.02-0.010.03-0.01-0.01
UC81.L0.011.000.300.310.060.04-0.040.150.080.17-0.06-0.18
IEF0.030.301.000.56-0.140.09-0.04-0.16-0.04-0.09-0.080.11
ICBU.L0.040.310.561.000.000.310.130.060.090.110.10-0.10
GSG-0.040.06-0.140.001.000.230.170.330.230.260.23-0.28
STYC.L0.020.040.090.310.231.000.620.410.620.450.68-0.45
CNDX.L-0.01-0.04-0.040.130.170.621.000.360.820.480.90-0.55
VYM0.020.15-0.160.060.330.410.361.000.510.850.49-0.84
VNRT.AS-0.010.08-0.040.090.230.620.820.511.000.550.88-0.59
MOAT0.030.17-0.090.110.260.450.480.850.551.000.54-0.89
MXUS.L-0.01-0.06-0.080.100.230.680.900.490.880.541.00-0.57
SPXS-0.01-0.180.11-0.10-0.28-0.45-0.55-0.84-0.59-0.89-0.571.00
The correlation results are calculated based on daily price changes starting from Apr 28, 2017