Asset Allocation
Find the right asset allocation for Investment Banker
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Investment Banker , 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.
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Returns By Period
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.05% | 0.74% | 7.18% | 8.28% | 16.02% | 17.51% | 10.93% | 13.07% | 8.07% |
Portfolio Investment Banker | -0.12% | -0.61% | 12.11% | 17.28% | 27.65% | 19.40% | 12.19% | — | 11.23% |
| Portfolio components: | |||||||||
BBJP JPMorgan BetaBuilders Japan ETF | 0.19% | -2.16% | 6.85% | 11.90% | 24.42% | 16.52% | 8.67% | — | 7.64% |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | -0.12% | 8.15% | 24.14% | 33.14% | 36.27% | 11.70% | 12.15% | 8.89% | 3.55% |
GBIL Goldman Sachs Access Treasury 0-1 Year ETF | 0.03% | 0.29% | 1.70% | 1.90% | 3.77% | 4.57% | 3.42% | — | 2.30% |
HDV iShares Core High Dividend ETF | 1.23% | 4.76% | 13.60% | 20.12% | 24.04% | 15.34% | 12.15% | 9.50% | 10.85% |
IAU iShares Gold Trust | 0.11% | 0.69% | -18.72% | -6.09% | 21.17% | 26.99% | 17.33% | 11.59% | 10.72% |
IEFA iShares Core MSCI EAFE ETF | 0.61% | 0.32% | 4.92% | 9.45% | 17.75% | 15.52% | 8.55% | 9.38% | 8.38% |
IVV iShares Core S&P 500 ETF | 0.10% | 0.80% | 7.81% | 8.96% | 17.37% | 19.07% | 12.51% | 14.93% | 8.41% |
MTUM iShares MSCI USA Momentum Factor ETF | -2.42% | -9.70% | 20.16% | 22.65% | 27.88% | 28.98% | 13.15% | 16.00% | 15.84% |
VLUE iShares MSCI USA Value Factor ETF | -0.49% | -4.86% | 35.25% | 43.48% | 71.63% | 29.42% | 16.55% | 14.56% | 13.64% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 18, 2018, Investment Banker 's average daily return is +0.05%, while the average monthly return is +0.94%. At this rate, an investment would double in approximately 6.2 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +8.4%, while the worst month was Mar 2020 at -10.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Investment Banker closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +6.3%, while the worst single day was Mar 16, 2020 at -7.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.31% | 2.87% | -2.83% | 7.51% | 4.47% | -0.24% | -0.57% | 17.28% | |||||
| 2025 | 3.50% | 0.82% | -0.68% | 0.14% | 3.95% | 3.05% | 0.32% | 2.98% | 3.41% | 1.23% | 1.11% | 0.97% | 22.77% |
| 2024 | 1.31% | 3.19% | 4.08% | -2.67% | 2.83% | 0.83% | 1.87% | 1.70% | 1.53% | -0.83% | 2.48% | -2.71% | 14.20% |
| 2023 | 3.95% | -3.23% | 2.20% | 0.92% | -2.53% | 4.02% | 3.08% | -1.36% | -2.67% | -1.35% | 5.22% | 3.40% | 11.74% |
| 2022 | -2.14% | -0.08% | 2.60% | -5.07% | 1.38% | -6.14% | 3.62% | -3.18% | -6.81% | 6.61% | 5.72% | -2.53% | -6.91% |
| 2021 | 0.18% | 2.24% | 2.14% | 3.19% | 2.07% | -0.24% | 0.84% | 1.26% | -1.89% | 3.47% | -2.82% | 3.76% | 14.88% |
Benchmark Metrics
Investment Banker has an annualized alpha of 2.85%, beta of 0.62, and R2 of 0.87 versus S&P 500 Index. Calculated based on daily prices since June 18, 2018.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (65.52%) than losses (64.78%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.85% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.62 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.85%
- Beta
- 0.62
- R²
- 0.87
- Upside Capture
- 65.52%
- Downside Capture
- 64.78%
Expense Ratio
Investment Banker has an expense ratio of 0.15%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Investment Banker ranks 93 for risk / return — in the top 93% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Investment Banker and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.52 | 1.31 | +1.21 |
| Sortino ratioReturn per unit of downside risk | 3.41 | 1.84 | +1.57 |
| Omega ratioGain probability vs. loss probability | 1.47 | 1.24 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 5.68 | 1.82 | +3.86 |
| Martin ratioReturn relative to average drawdown | 20.68 | 7.79 | +12.88 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BBJP JPMorgan BetaBuilders Japan ETF | 47 | 1.14 | 1.67 | 1.22 | 1.70 | 5.53 |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 64 | 1.62 | 2.22 | 1.28 | 1.99 | 6.40 |
GBIL Goldman Sachs Access Treasury 0-1 Year ETF | 100 | 17.10 | 141.91 | 75.95 | 191.66 | 2,147.30 |
HDV iShares Core High Dividend ETF | 90 | 2.24 | 3.39 | 1.39 | 4.65 | 12.72 |
IAU iShares Gold Trust | 27 | 0.72 | 1.07 | 1.15 | 0.76 | 1.72 |
IEFA iShares Core MSCI EAFE ETF | 46 | 1.14 | 1.67 | 1.21 | 1.54 | 5.85 |
IVV iShares Core S&P 500 ETF | 61 | 1.41 | 1.98 | 1.25 | 2.01 | 8.66 |
MTUM iShares MSCI USA Momentum Factor ETF | 54 | 1.18 | 1.66 | 1.22 | 2.31 | 7.45 |
VLUE iShares MSCI USA Value Factor ETF | 97 | 3.60 | 4.66 | 1.61 | 7.98 | 27.87 |
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Dividends
Dividend yield
Investment Banker provided a 2.55% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.55% | 2.96% | 2.76% | 2.84% | 4.49% | 3.05% | 1.44% | 2.19% | 2.91% | 1.82% | 1.45% | 1.55% |
| Portfolio components: | ||||||||||||
BBJP JPMorgan BetaBuilders Japan ETF | 4.80% | 5.37% | 2.80% | 3.05% | 1.52% | 2.89% | 1.12% | 2.31% | 0.65% | 0.00% | 0.00% | 0.00% |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 5.81% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
GBIL Goldman Sachs Access Treasury 0-1 Year ETF | 3.71% | 4.02% | 4.93% | 4.77% | 1.37% | 0.00% | 0.81% | 2.20% | 1.70% | 0.74% | 0.11% | 0.00% |
HDV iShares Core High Dividend ETF | 3.07% | 3.22% | 3.67% | 3.82% | 3.56% | 3.47% | 4.07% | 3.27% | 3.67% | 3.27% | 3.28% | 3.92% |
IAU iShares Gold 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% |
IEFA iShares Core MSCI EAFE ETF | 3.41% | 3.55% | 3.47% | 3.20% | 2.70% | 3.32% | 1.90% | 3.18% | 3.46% | 2.57% | 2.96% | 2.63% |
IVV iShares Core S&P 500 ETF | 1.10% | 1.17% | 1.30% | 1.44% | 1.66% | 1.20% | 1.57% | 1.85% | 2.21% | 1.75% | 2.01% | 2.27% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.60% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
VLUE iShares MSCI USA Value Factor ETF | 1.44% | 2.11% | 2.73% | 2.66% | 3.18% | 2.22% | 2.42% | 2.61% | 2.70% | 2.14% | 2.07% | 2.39% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Investment Banker . 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 Investment Banker was 25.43%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.
The current Investment Banker drawdown is 1.85%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-25.43%Mar 2020 | 2mo 2d | 5mo 6d | 7mo 8dJan 2020 - Aug 2020 | COVID crash2020 |
-16.73%Sep 2022 | 6mo 4d | 1y 2mo | 1y 8moMar 2022 - Dec 2023 | Bear market2022 |
-13.26%Dec 2018 | 2mo 21d | 5mo 28d | 8mo 19dOct 2018 - Jun 2019 | Rate-hike selloffLate 2018 |
-10.97%Apr 2025 | 1mo 18d | 1mo 4d | 2mo 22dFeb 2025 - May 2025 | 2025 selloff2025 |
-6.21%Aug 2024 | 19d | 18d | 1mo 7dJul 2024 - Aug 2024 | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 9 assets, with an effective number of assets of 8.53, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.51 | 1.40 | 1.35 | 1.28 |
The portfolio has a diversification ratio of 1.28, in line with the typical range across portfolios.
Investment Banker correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.81 |
Correlation (3Y) Balances recent behavior with more history. | 0.85 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.87 |
Correlation (All Time) Calculated using the full available price history since Jun 18, 2018 | 0.90 |
Benchmark Correlations
Correlation vs. S&P 500 Index. IVV has the highest benchmark correlation at 1.00, while GBIL has the lowest at -0.02.
Asset Correlations Table
| GBIL | IAU | COMT | HDV | BBJP | MTUM | VLUE | IEFA | IVV | |
|---|---|---|---|---|---|---|---|---|---|
| GBIL | 1.00 | 0.12 | -0.10 | -0.01 | 0.03 | -0.02 | -0.04 | 0.01 | -0.02 |
| IAU | 0.12 | 1.00 | 0.19 | 0.09 | 0.20 | 0.11 | 0.07 | 0.25 | 0.10 |
| COMT | -0.10 | 0.19 | 1.00 | 0.35 | 0.20 | 0.23 | 0.28 | 0.26 | 0.24 |
| HDV | -0.01 | 0.09 | 0.35 | 1.00 | 0.48 | 0.44 | 0.73 | 0.59 | 0.62 |
| BBJP | 0.03 | 0.20 | 0.20 | 0.48 | 1.00 | 0.58 | 0.65 | 0.84 | 0.67 |
| MTUM | -0.02 | 0.11 | 0.23 | 0.44 | 0.58 | 1.00 | 0.69 | 0.66 | 0.85 |
| VLUE | -0.04 | 0.07 | 0.28 | 0.73 | 0.65 | 0.69 | 1.00 | 0.75 | 0.83 |
| IEFA | 0.01 | 0.25 | 0.26 | 0.59 | 0.84 | 0.66 | 0.75 | 1.00 | 0.79 |
| IVV | -0.02 | 0.10 | 0.24 | 0.62 | 0.67 | 0.85 | 0.83 | 0.79 | 1.00 |
Find what Investment Banker is missing
See which holdings overlap, where Investment Banker is concentrated, and which low-correlation assets could fill the gaps.
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