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Interactive Brokers Long Term Total
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Interactive Brokers Long Term Total

Last updated Sep 21, 2024

Asset Allocation

SPYG 30%SXR8.DE 25%BRK-B 20%VWCE.DE 15%XMMO 10%EquityEquity
PositionCategory/SectorWeight
BRK-B
Berkshire Hathaway Inc.		Financial Services
20%
SPYG
SPDR Portfolio S&P 500 Growth ETF		Large Cap Growth Equities
30%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		Large Cap Blend Equities
25%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		Global Equities
15%
XMMO
Invesco S&P MidCap Momentum ETF		Mid Cap Growth Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Interactive Brokers Long Term Total, 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
9.85%
8.95%
Interactive Brokers Long Term Total
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VWCE.DE

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
Interactive Brokers Long Term Total24.63%1.35%9.86%34.32%15.59%N/A
Portfolio components:
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		20.20%1.45%9.50%32.24%14.69%14.30%
XMMO
Invesco S&P MidCap Momentum ETF		33.54%1.43%4.69%52.08%15.85%15.38%
SPYG
SPDR Portfolio S&P 500 Growth ETF		26.71%0.88%11.65%38.86%16.63%14.93%
VWCE.DE
Vanguard FTSE All-World UCITS ETF		16.41%1.19%8.25%27.32%11.12%N/A
BRK-B
Berkshire Hathaway Inc.		27.66%1.95%10.62%25.33%16.50%12.64%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.38%6.57%3.36%-4.06%4.53%3.68%2.00%2.87%24.63%
20234.72%-1.99%2.88%2.35%0.11%6.50%3.25%-0.35%-3.92%-3.04%8.11%3.97%24.14%
2022-4.96%-1.15%5.09%-8.91%-1.72%-9.64%10.18%-4.43%-8.19%6.79%5.24%-4.86%-17.46%
2021-0.25%2.31%3.69%5.65%0.86%1.96%1.93%3.13%-4.53%6.60%-0.58%4.09%27.29%
20200.55%-8.31%-10.64%9.64%4.04%1.67%6.90%8.66%-3.20%-2.94%10.69%4.09%20.15%
2019-0.78%-1.56%1.46%1.92%3.39%2.96%7.51%

Expense Ratio

Interactive Brokers Long Term Total has an expense ratio of 0.11%, 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.

XMMO
Invesco S&P MidCap Momentum ETF
Expense ratio chart for XMMO: 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%
VWCE.DE
Vanguard FTSE All-World UCITS ETF
Expense ratio chart for VWCE.DE: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
Expense ratio chart for SXR8.DE: 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%
SPYG
SPDR Portfolio S&P 500 Growth ETF
Expense ratio chart for SPYG: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Interactive Brokers Long Term Total 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 Interactive Brokers Long Term Total is 9090
Interactive Brokers Long Term Total
The Sharpe Ratio Rank of Interactive Brokers Long Term Total is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of Interactive Brokers Long Term Total is 9292Sortino Ratio Rank
The Omega Ratio Rank of Interactive Brokers Long Term Total is 9494Omega Ratio Rank
The Calmar Ratio Rank of Interactive Brokers Long Term Total is 8282Calmar Ratio Rank
The Martin Ratio Rank of Interactive Brokers Long Term Total is 8787Martin 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.

Interactive Brokers Long Term Total
Sharpe ratio
The chart of Sharpe ratio for Interactive Brokers Long Term Total, currently valued at 3.12, compared to the broader market-1.000.001.002.003.004.003.12
Sortino ratio
The chart of Sortino ratio for Interactive Brokers Long Term Total, currently valued at 4.16, compared to the broader market-2.000.002.004.006.004.16
Omega ratio
The chart of Omega ratio for Interactive Brokers Long Term Total, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.801.58
Calmar ratio
The chart of Calmar ratio for Interactive Brokers Long Term Total, currently valued at 3.29, compared to the broader market0.002.004.006.008.0010.003.29
Martin ratio
The chart of Martin ratio for Interactive Brokers Long Term Total, currently valued at 17.86, compared to the broader market0.0010.0020.0030.0040.0017.86
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)		2.874.011.542.8717.32
XMMO
Invesco S&P MidCap Momentum ETF		2.463.301.412.3915.16
SPYG
SPDR Portfolio S&P 500 Growth ETF		2.363.091.431.8911.94
VWCE.DE
Vanguard FTSE All-World UCITS ETF		2.533.581.472.0715.61
BRK-B
Berkshire Hathaway Inc.		2.283.051.392.8612.20

Sharpe Ratio

The current Interactive Brokers Long Term Total Sharpe ratio is 3.12. 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 1.91 to 2.59, 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 Interactive Brokers Long Term Total 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
3.12
2.32
Interactive Brokers Long Term Total
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Interactive Brokers Long Term Total granted a 0.18% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Interactive Brokers Long Term Total0.18%0.43%0.45%0.23%0.33%0.47%0.47%0.44%0.49%0.53%0.54%0.56%
Portfolio components:
SXR8.DE
iShares Core S&P 500 UCITS ETF USD (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%
XMMO
Invesco S&P MidCap Momentum ETF		0.24%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%1.24%1.30%
SPYG
SPDR Portfolio S&P 500 Growth ETF		0.53%1.15%1.03%0.62%0.90%1.37%1.51%1.41%1.55%1.57%1.37%1.42%
VWCE.DE
Vanguard FTSE All-World 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%
BRK-B
Berkshire Hathaway Inc.		0.00%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%AprilMayJuneJulyAugustSeptember
-0.55%
-0.19%
Interactive Brokers Long Term Total
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Interactive Brokers Long Term Total. 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 Interactive Brokers Long Term Total was 32.58%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current Interactive Brokers Long Term Total drawdown is 0.55%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.58%Feb 20, 202023Mar 23, 202097Aug 6, 2020120
-24.1%Jan 5, 2022200Oct 12, 2022303Dec 13, 2023503
-8.59%Jul 17, 202414Aug 5, 202419Aug 30, 202433
-8.27%Sep 3, 202016Sep 24, 202032Nov 9, 202048
-5.71%Jul 29, 201913Aug 14, 201953Oct 28, 201966

Volatility

Volatility Chart

The current Interactive Brokers Long Term Total volatility is 3.93%, 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
3.93%
4.31%
Interactive Brokers Long Term Total
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.
BRK-BXMMOSPYGSXR8.DEVWCE.DE
BRK-B1.000.560.540.450.46
XMMO0.561.000.750.550.58
SPYG0.540.751.000.580.59
SXR8.DE0.450.550.581.000.96
VWCE.DE0.460.580.590.961.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019