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IB2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BND 11.03%DBC 3.76%DBB 3.63%BTC-USD 9.18%ETH-USD 6.47%LTC-USD 5.6%VOO 39.48%FIVG 3.78%VEA 3.69%MCHI 3.01%LIT 2.65%PBW 1.87%VNQ 5.85%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorTarget Weight
BND
Vanguard Total Bond Market ETF
Total Bond Market
11.03%
BTC-USD
Bitcoin
9.18%
DBB
Invesco DB Base Metals Fund
Metals
3.63%
DBC
Invesco DB Commodity Index Tracking Fund
Commodities
3.76%
ETH-USD
Ethereum
6.47%
FIVG
Defiance Next Gen Connectivity ETF
Technology Equities
3.78%
LIT
Global X Lithium & Battery Tech ETF
Commodity Producers Equities
2.65%
LTC-USD
Litecoin
5.60%
MCHI
iShares MSCI China ETF
China Equities
3.01%
PBW
Invesco WilderHill Clean Energy ETF
Small Cap Growth Equities
1.87%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities
3.69%
VNQ
Vanguard Real Estate ETF
REIT
5.85%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
39.48%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in IB2, 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.


-20.00%-10.00%0.00%10.00%20.00%30.00%AugustSeptemberOctoberNovemberDecember
18.02%
6.76%
IB2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 4, 2019, corresponding to the inception date of FIVG

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.00%-2.50%6.76%23.31%12.57%11.09%
IB20.00%-5.76%18.02%54.15%36.31%N/A
VOO
Vanguard S&P 500 ETF
0.00%-1.94%7.90%25.48%14.40%13.16%
BND
Vanguard Total Bond Market ETF
0.00%-1.68%2.22%1.38%-0.41%1.27%
BTC-USD
Bitcoin
0.00%-3.96%50.62%111.53%67.98%78.72%
ETH-USD
Ethereum
0.00%-10.20%-2.45%41.67%92.09%N/A
VNQ
Vanguard Real Estate ETF
0.00%-9.16%7.86%3.91%3.06%4.82%
LTC-USD
Litecoin
0.00%-14.01%35.86%37.92%21.09%47.37%
FIVG
Defiance Next Gen Connectivity ETF
0.00%3.77%14.33%35.23%13.70%N/A
DBC
Invesco DB Commodity Index Tracking Fund
0.00%1.72%-4.41%2.18%8.28%2.99%
VEA
Vanguard FTSE Developed Markets ETF
0.00%-3.53%-1.84%3.13%4.59%5.55%
DBB
Invesco DB Base Metals Fund
0.00%-1.95%-2.05%7.90%7.25%3.37%
MCHI
iShares MSCI China ETF
0.00%0.92%11.97%17.73%-4.83%1.17%
LIT
Global X Lithium & Battery Tech ETF
0.00%-8.49%4.89%-19.19%8.87%7.62%
PBW
Invesco WilderHill Clean Energy ETF
0.00%-4.27%5.22%-29.08%-7.96%-0.37%
*Annualized

Monthly Returns

The table below presents the monthly returns of IB2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.21%30.21%10.29%-13.10%13.90%-5.40%-0.97%-10.34%4.65%2.50%30.10%57.88%
202321.84%-1.33%10.09%1.54%-1.99%6.73%-1.63%-8.62%-0.34%8.38%9.41%8.93%62.67%
2022-18.00%5.92%7.42%-14.46%-15.81%-27.96%22.12%-7.27%-9.56%8.99%-5.31%-6.06%-51.93%
202117.76%14.65%20.72%14.30%-14.34%-8.13%9.30%17.37%-8.55%30.24%1.42%-14.93%93.26%
20208.98%-4.39%-17.96%17.03%5.50%0.77%14.65%7.56%-6.54%6.11%26.40%19.76%96.92%
20194.35%7.34%12.19%9.33%-5.51%-6.71%-2.15%3.60%-4.22%-0.11%17.45%

Expense Ratio

IB2 has an expense ratio of 0.15%, 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.


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%
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%
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%
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%
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%
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%
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%
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%
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of IB2 is 11, meaning it’s performing worse than 89% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of IB2 is 1111
Overall Rank
The Sharpe Ratio Rank of IB2 is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of IB2 is 1515
Sortino Ratio Rank
The Omega Ratio Rank of IB2 is 1111
Omega Ratio Rank
The Calmar Ratio Rank of IB2 is 66
Calmar Ratio Rank
The Martin Ratio Rank of IB2 is 1010
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 IB2, currently valued at 0.75, compared to the broader market-1.000.001.002.003.004.000.751.84
The chart of Sortino ratio for IB2, currently valued at 1.34, compared to the broader market-2.000.002.004.001.342.48
The chart of Omega ratio for IB2, currently valued at 1.14, compared to the broader market0.801.001.201.401.601.141.34
The chart of Calmar ratio for IB2, currently valued at 0.30, compared to the broader market0.002.004.006.008.0010.000.302.75
The chart of Martin ratio for IB2, currently valued at 2.56, compared to the broader market0.0010.0020.0030.0040.002.5611.85
IB2
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
2.022.641.390.9513.71
BND
Vanguard Total Bond Market ETF
1.181.751.200.083.44
BTC-USD
Bitcoin
1.272.021.191.045.91
ETH-USD
Ethereum
0.080.631.060.010.21
VNQ
Vanguard Real Estate ETF
1.311.811.240.216.56
LTC-USD
Litecoin
0.451.091.120.121.61
FIVG
Defiance Next Gen Connectivity ETF
2.362.941.401.2711.54
DBC
Invesco DB Commodity Index Tracking Fund
-0.41-0.490.950.04-1.03
VEA
Vanguard FTSE Developed Markets ETF
0.050.171.020.000.18
DBB
Invesco DB Base Metals Fund
-0.060.051.010.24-0.14
MCHI
iShares MSCI China ETF
0.771.351.180.152.07
LIT
Global X Lithium & Battery Tech ETF
-0.120.071.01-0.31-0.30
PBW
Invesco WilderHill Clean Energy ETF
0.230.611.060.020.62

The current IB2 Sharpe ratio is 0.75. 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 2.01, 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 IB2 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 Ratio0.000.501.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember
0.75
1.84
IB2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IB2 provided a 1.79% dividend yield over the last twelve months.


TTM2023202220212020201920182017201620152014
Portfolio1.79%1.97%1.52%1.09%1.25%1.63%1.80%1.49%1.62%1.57%1.54%
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%
BND
Vanguard Total Bond Market ETF
3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%
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%
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%
VNQ
Vanguard Real Estate ETF
3.89%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%
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%
FIVG
Defiance Next Gen Connectivity ETF
0.79%1.40%0.00%1.17%0.99%0.75%0.00%0.00%0.00%0.00%0.00%
DBC
Invesco DB Commodity Index Tracking Fund
5.22%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%
DBB
Invesco DB Base Metals Fund
4.75%7.21%0.95%0.00%0.00%1.83%1.59%0.00%0.00%0.00%0.00%
MCHI
iShares MSCI China ETF
2.31%3.49%2.16%1.04%1.04%1.45%1.60%1.56%1.66%2.76%2.35%
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%
PBW
Invesco WilderHill Clean Energy ETF
2.77%3.68%4.21%1.71%0.44%1.45%2.89%1.27%2.69%1.54%2.96%

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.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember
-11.18%
-3.43%
IB2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IB2. 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 IB2 was 63.98%, occurring on Nov 9, 2022. Recovery took 749 trading sessions.

The current IB2 drawdown is 11.33%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-63.98%Nov 9, 2021366Nov 9, 2022749Nov 27, 20241115
-41.83%May 12, 202170Jul 20, 202192Oct 20, 2021162
-37.83%Jun 27, 2019266Mar 18, 2020136Aug 1, 2020402
-17.88%Feb 22, 20217Feb 28, 202113Mar 13, 202120
-13.09%Sep 2, 202022Sep 23, 202042Nov 4, 202064

Volatility

Volatility Chart

The current IB2 volatility is 11.77%, 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.


0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember
11.77%
4.15%
IB2
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-USDBTC-USDETH-USDVNQMCHILITPBWFIVGVOOVEA
BND1.00-0.06-0.000.050.050.040.230.000.030.080.050.070.07
DBC-0.061.000.440.080.100.100.140.260.290.260.250.270.35
DBB-0.000.441.000.140.150.170.200.360.380.270.300.290.41
LTC-USD0.050.080.141.000.720.760.150.170.190.200.230.220.22
BTC-USD0.050.100.150.721.000.810.190.160.210.240.240.240.24
ETH-USD0.040.100.170.760.811.000.170.170.210.230.230.230.24
VNQ0.230.140.200.150.190.171.000.260.360.450.530.610.54
MCHI0.000.260.360.170.160.170.261.000.600.490.470.450.55
LIT0.030.290.380.190.210.210.360.601.000.650.560.560.60
PBW0.080.260.270.200.240.230.450.490.651.000.630.590.57
FIVG0.050.250.300.230.240.230.530.470.560.631.000.830.71
VOO0.070.270.290.220.240.230.610.450.560.590.831.000.77
VEA0.070.350.410.220.240.240.540.550.600.570.710.771.00
The correlation results are calculated based on daily price changes starting from Mar 5, 2019
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Disclaimer

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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