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Investment Banks/Capital Markets
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Risk-Adjusted Performance
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Investment Banks/Capital Markets

Currency in USD · Last updated May 27, 2025

Asset Allocation

MS 10%GS 10%TW 10%IBKR 10%JEF 10%PIPR 10%JPM 10%EVR 10%HLI 10%HOOD 10%EquityEquity
PositionCategory/SectorTarget Weight
EVR
Evercore Inc.		Financial Services
10%
GS
The Goldman Sachs Group, Inc.		Financial Services
10%
HLI
Houlihan Lokey, Inc.		Financial Services
10%
HOOD
Robinhood Markets, Inc.		Technology
10%
IBKR
Interactive Brokers Group, Inc.		Financial Services
10%
JEF
Jefferies Financial Group Inc.		Financial Services
10%
JPM
JPMorgan Chase & Co.		Financial Services
10%
MS
Morgan Stanley		Financial Services
10%
PIPR
Piper Sandler Companies		Financial Services
10%
TW
Tradeweb Markets Inc.		Financial Services
10%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Jul 29, 2021, corresponding to the inception date of HOOD

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-1.34%5.02%-3.08%9.39%14.45%10.68%
Investment Banks/Capital Markets3.20%12.03%-3.00%43.68%N/AN/A
Portfolio components:
MS
Morgan Stanley		1.76%9.54%-4.29%31.45%29.84%15.99%
GS
The Goldman Sachs Group, Inc.		5.04%9.85%0.24%32.65%30.30%13.48%
TW
Tradeweb Markets Inc.		11.33%7.64%8.04%30.17%18.93%N/A
IBKR
Interactive Brokers Group, Inc.		17.09%22.05%8.46%62.46%40.55%20.06%
JEF
Jefferies Financial Group Inc.		-37.41%4.25%-38.26%6.74%37.24%11.70%
PIPR
Piper Sandler Companies		-15.77%4.77%-27.57%18.91%39.08%21.27%
JPM
JPMorgan Chase & Co.		10.00%7.05%5.35%32.91%27.34%17.97%
EVR
Evercore Inc.		-18.16%14.43%-27.51%12.08%36.88%19.13%
HLI
Houlihan Lokey, Inc.		-0.14%8.53%-8.69%29.19%26.11%N/A
HOOD
Robinhood Markets, Inc.		69.54%27.75%66.90%208.00%N/AN/A
*Annualized

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
202510.71%-5.29%-11.41%0.24%10.83%3.20%
2024-0.57%11.61%6.40%-3.17%9.71%1.97%8.77%2.37%2.83%5.29%20.37%-5.47%75.47%
202315.41%-0.24%-6.55%-0.82%-4.10%7.31%11.64%-1.88%-2.88%-5.15%8.27%13.32%35.95%
2022-8.18%-4.48%-4.31%-11.06%6.37%-12.13%9.09%-1.26%-6.80%16.84%7.28%-7.70%-18.96%
2021-0.49%9.28%-3.35%9.75%-5.07%0.29%9.82%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Investment Banks/Capital Markets has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 84, Investment Banks/Capital Markets is among the top 16% of 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 Investment Banks/Capital Markets is 8484
Overall Rank
The Sharpe Ratio Rank of Investment Banks/Capital Markets is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of Investment Banks/Capital Markets is 8484
Sortino Ratio Rank
The Omega Ratio Rank of Investment Banks/Capital Markets is 8787
Omega Ratio Rank
The Calmar Ratio Rank of Investment Banks/Capital Markets is 8484
Calmar Ratio Rank
The Martin Ratio Rank of Investment Banks/Capital Markets is 7979
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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MS
Morgan Stanley		0.931.321.190.963.01
GS
The Goldman Sachs Group, Inc.		0.991.421.200.973.20
TW
Tradeweb Markets Inc.		1.271.581.241.976.50
IBKR
Interactive Brokers Group, Inc.		1.572.041.301.664.91
JEF
Jefferies Financial Group Inc.		0.190.451.070.100.27
PIPR
Piper Sandler Companies		0.510.971.120.471.17
JPM
JPMorgan Chase & Co.		1.261.751.251.384.62
EVR
Evercore Inc.		0.320.681.090.240.61
HLI
Houlihan Lokey, Inc.		1.041.571.191.143.50
HOOD
Robinhood Markets, Inc.		3.082.841.392.6311.26

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Investment Banks/Capital Markets Sharpe ratios as of May 27, 2025 (values are recalculated daily):

  • 1-Year: 1.38
  • All Time: 0.84

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.49 to 1.03, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Investment Banks/Capital Markets compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Investment Banks/Capital Markets provided a 1.54% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.54%1.28%2.25%2.40%1.68%1.48%1.74%1.81%1.02%0.99%0.93%0.79%
Portfolio components:
MS
Morgan Stanley		2.93%2.82%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%
GS
The Goldman Sachs Group, Inc.		1.96%2.01%2.72%2.62%1.70%1.90%1.80%1.89%1.14%1.09%1.41%1.16%
TW
Tradeweb Markets Inc.		0.29%0.31%0.40%0.49%0.32%0.51%0.52%0.00%0.00%0.00%0.00%0.00%
IBKR
Interactive Brokers Group, Inc.		0.48%0.48%0.48%0.55%0.50%0.66%0.86%0.73%0.68%1.10%0.92%1.37%
JEF
Jefferies Financial Group Inc.		3.10%1.66%7.42%3.67%2.43%0.83%0.68%0.00%0.00%0.00%0.00%0.00%
PIPR
Piper Sandler Companies		1.98%1.17%2.09%5.30%3.81%1.98%3.14%4.74%1.45%0.00%0.00%0.00%
JPM
JPMorgan Chase & Co.		1.94%1.92%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%
EVR
Evercore Inc.		1.42%1.14%1.75%2.60%1.95%2.14%3.00%2.66%1.58%1.85%2.13%1.97%
HLI
Houlihan Lokey, Inc.		1.32%1.30%1.82%2.32%1.56%1.90%2.46%2.74%1.76%2.12%0.57%0.00%
HOOD
Robinhood Markets, 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.

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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 38.26%, occurring on Jul 14, 2022. Recovery took 361 trading sessions.

The current Investment Banks/Capital Markets drawdown is 9.42%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.26%Nov 4, 2021173Jul 14, 2022361Dec 19, 2023534
-31%Feb 18, 202536Apr 8, 2025———
-10.24%Jul 17, 202414Aug 5, 202414Aug 23, 202428
-8.2%Nov 26, 202417Dec 19, 202418Jan 17, 202535
-6.92%Aug 30, 202115Sep 20, 202113Oct 7, 202128
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCTWHOODIBKRJPMHLIPIPRMSJEFGSEVRPortfolio
^GSPC1.000.460.540.500.600.590.620.660.650.670.680.75
TW0.461.000.310.350.290.330.320.310.300.300.340.47
HOOD0.540.311.000.430.350.410.450.440.470.440.510.71
IBKR0.500.350.431.000.490.470.470.490.510.500.510.66
JPM0.600.290.350.491.000.560.590.710.650.740.630.72
HLI0.590.330.410.470.561.000.740.630.680.640.740.77
PIPR0.620.320.450.470.590.741.000.670.730.690.780.82
MS0.660.310.440.490.710.630.671.000.760.840.710.81
JEF0.650.300.470.510.650.680.730.761.000.760.780.84
GS0.670.300.440.500.740.640.690.840.761.000.730.82
EVR0.680.340.510.510.630.740.780.710.780.731.000.85
Portfolio0.750.470.710.660.720.770.820.810.840.820.851.00
The correlation results are calculated based on daily price changes starting from Jul 30, 2021
Go to the full Correlations tool for more customization options