Investment Banks/Capital Markets
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
EVR Evercore Inc. | Financial Services | 11.11% |
GS The Goldman Sachs Group, Inc. | Financial Services | 11.11% |
IBKR Interactive Brokers Group, Inc. | Financial Services | 11.11% |
JEF Jefferies Financial Group Inc. | Financial Services | 11.11% |
JPM JPMorgan Chase & Co. | Financial Services | 11.11% |
MS Morgan Stanley | Financial Services | 11.11% |
NMR Nomura Holdings, Inc. | Financial Services | 11.11% |
PIPR Piper Sandler Companies | Financial Services | 11.11% |
TW Tradeweb Markets Inc. | Financial Services | 11.11% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Investment Banks/Capital Markets, 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
The earliest data available for this chart is Apr 1, 2019, corresponding to the inception date of TW
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
| Investment Banks/Capital Markets | 40.34% | 3.97% | 18.55% | 54.24% | 25.24% | N/A |
| Portfolio components: | ||||||
MS Morgan Stanley | 11.08% | -0.05% | 9.82% | 20.32% | 22.12% | 14.12% |
GS The Goldman Sachs Group, Inc. | 33.11% | 1.90% | 23.25% | 53.76% | 21.72% | 12.73% |
TW Tradeweb Markets Inc. | 32.82% | 4.01% | 14.17% | 43.46% | 25.14% | N/A |
NMR Nomura Holdings, Inc. | 22.39% | -4.83% | -15.98% | 26.32% | 7.88% | 1.60% |
IBKR Interactive Brokers Group, Inc. | 60.55% | 9.90% | 20.94% | 46.98% | 21.31% | 18.86% |
JEF Jefferies Financial Group Inc. | 57.24% | 9.07% | 37.53% | 69.03% | 34.08% | 13.46% |
PIPR Piper Sandler Companies | 64.56% | 8.01% | 43.43% | 94.03% | 34.15% | 20.83% |
JPM JPMorgan Chase & Co. | 25.92% | -1.88% | 6.94% | 45.50% | 15.47% | 16.41% |
EVR Evercore Inc. | 51.14% | 8.26% | 31.94% | 84.28% | 27.87% | 20.97% |
Monthly Returns
The table below presents the monthly returns of Investment Banks/Capital Markets, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 4.12% | 6.86% | 5.75% | -2.67% | 8.18% | 0.73% | 10.29% | 1.74% | 40.34% | ||||
| 2023 | 11.99% | 0.78% | -6.76% | -1.11% | -4.29% | 6.31% | 10.56% | -1.52% | -1.94% | -4.70% | 9.43% | 10.01% | 29.69% |
| 2022 | -6.88% | -2.77% | -4.55% | -9.92% | 6.65% | -11.71% | 8.96% | -1.89% | -8.72% | 14.78% | 10.27% | -5.74% | -14.65% |
| 2021 | -1.50% | 16.28% | 2.43% | 4.93% | 4.26% | -0.75% | -1.94% | 6.74% | -3.05% | 9.53% | -4.03% | 3.40% | 40.49% |
| 2020 | 0.98% | -8.48% | -21.01% | 8.68% | 9.56% | 0.62% | 2.88% | 9.17% | -2.76% | 3.52% | 16.31% | 11.25% | 27.96% |
| 2019 | 11.16% | -9.41% | 6.79% | 2.79% | -4.92% | 4.14% | 2.70% | 6.93% | 1.45% | 21.95% |
Expense Ratio
Investment Banks/Capital Markets has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Investment Banks/Capital Markets is 88, placing it in the top 12% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
MS Morgan Stanley | 0.74 | 1.11 | 1.15 | 0.58 | 2.65 |
GS The Goldman Sachs Group, Inc. | 2.20 | 2.92 | 1.39 | 1.85 | 13.45 |
TW Tradeweb Markets Inc. | 2.08 | 2.95 | 1.37 | 2.11 | 11.49 |
NMR Nomura Holdings, Inc. | 0.71 | 1.17 | 1.16 | 0.62 | 2.55 |
IBKR Interactive Brokers Group, Inc. | 2.01 | 2.56 | 1.32 | 2.55 | 7.89 |
JEF Jefferies Financial Group Inc. | 2.74 | 3.45 | 1.43 | 3.10 | 12.53 |
PIPR Piper Sandler Companies | 3.27 | 3.91 | 1.50 | 3.79 | 23.14 |
JPM JPMorgan Chase & Co. | 2.32 | 2.72 | 1.42 | 2.79 | 14.15 |
EVR Evercore Inc. | 3.01 | 3.67 | 1.45 | 4.30 | 21.75 |
Dividends
Dividend yield
Investment Banks/Capital Markets granted a 1.45% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Banks/Capital Markets | 1.45% | 1.81% | 2.45% | 2.07% | 2.09% | 2.00% | 2.20% | 1.41% | 1.18% | 1.49% | 1.27% | 1.21% |
| Portfolio components: | ||||||||||||
MS Morgan Stanley | 3.45% | 3.49% | 3.47% | 2.14% | 2.04% | 2.54% | 2.77% | 1.72% | 1.66% | 1.73% | 0.90% | 0.64% |
GS The Goldman Sachs Group, Inc. | 2.23% | 2.72% | 2.62% | 1.70% | 1.90% | 1.80% | 1.89% | 1.14% | 1.09% | 1.41% | 1.16% | 1.16% |
TW Tradeweb Markets Inc. | 0.32% | 0.40% | 0.49% | 0.32% | 0.51% | 0.52% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
NMR Nomura Holdings, Inc. | 0.00% | 0.00% | 3.86% | 4.79% | 4.45% | 3.19% | 3.41% | 3.07% | 1.79% | 3.34% | 2.44% | 2.73% |
IBKR Interactive Brokers Group, Inc. | 0.53% | 0.48% | 0.55% | 0.50% | 0.66% | 0.86% | 0.73% | 0.68% | 1.10% | 0.92% | 1.37% | 1.64% |
JEF Jefferies Financial Group Inc. | 2.01% | 2.97% | 0.17% | 1.04% | 2.32% | 0.56% | 1.09% | 1.16% | 1.02% | 1.37% | 1.06% | 0.84% |
PIPR Piper Sandler Companies | 1.21% | 2.08% | 5.28% | 3.81% | 1.98% | 3.14% | 4.74% | 1.45% | 0.00% | 0.00% | 0.00% | 0.00% |
JPM JPMorgan Chase & Co. | 2.09% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
EVR Evercore Inc. | 1.22% | 1.75% | 2.60% | 1.95% | 2.14% | 3.00% | 2.66% | 1.58% | 1.85% | 2.13% | 1.97% | 1.52% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Investment Banks/Capital Markets. 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 Banks/Capital Markets was 42.90%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.9% | Feb 20, 2020 | 23 | Mar 23, 2020 | 161 | Nov 9, 2020 | 184 |
| -31.38% | Nov 4, 2021 | 173 | Jul 14, 2022 | 355 | Dec 11, 2023 | 528 |
| -10.68% | Aug 1, 2024 | 3 | Aug 5, 2024 | 14 | Aug 23, 2024 | 17 |
| -10.51% | Apr 30, 2019 | 75 | Aug 14, 2019 | 52 | Oct 28, 2019 | 127 |
| -9.88% | Jan 15, 2021 | 10 | Jan 29, 2021 | 6 | Feb 8, 2021 | 16 |
Volatility
Volatility Chart
The current Investment Banks/Capital Markets volatility is 6.58%, 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.
Diversification
Asset Correlations Table
| TW | NMR | IBKR | PIPR | EVR | JPM | JEF | MS | GS | |
|---|---|---|---|---|---|---|---|---|---|
| TW | 1.00 | 0.18 | 0.32 | 0.27 | 0.27 | 0.23 | 0.24 | 0.26 | 0.25 |
| NMR | 0.18 | 1.00 | 0.31 | 0.36 | 0.38 | 0.43 | 0.44 | 0.42 | 0.44 |
| IBKR | 0.32 | 0.31 | 1.00 | 0.49 | 0.49 | 0.51 | 0.51 | 0.50 | 0.51 |
| PIPR | 0.27 | 0.36 | 0.49 | 1.00 | 0.74 | 0.62 | 0.70 | 0.66 | 0.67 |
| EVR | 0.27 | 0.38 | 0.49 | 0.74 | 1.00 | 0.65 | 0.71 | 0.69 | 0.70 |
| JPM | 0.23 | 0.43 | 0.51 | 0.62 | 0.65 | 1.00 | 0.70 | 0.77 | 0.78 |
| JEF | 0.24 | 0.44 | 0.51 | 0.70 | 0.71 | 0.70 | 1.00 | 0.76 | 0.75 |
| MS | 0.26 | 0.42 | 0.50 | 0.66 | 0.69 | 0.77 | 0.76 | 1.00 | 0.85 |
| GS | 0.25 | 0.44 | 0.51 | 0.67 | 0.70 | 0.78 | 0.75 | 0.85 | 1.00 |