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ib
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPY 70%VT 30%EquityEquity
PositionCategory/SectorWeight
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

70%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

30%

S&P 500

Performance

Performance Chart

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


250.00%300.00%350.00%NovemberDecember2024FebruaryMarchApril
343.18%
287.11%
ib
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 26, 2008, corresponding to the inception date of VT

Returns By Period

As of Apr 20, 2024, the ib returned 3.87% Year-To-Date and 10.99% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
ib3.87%-4.88%17.97%19.94%11.77%11.00%
SPY
SPDR S&P 500 ETF
4.50%-5.00%18.41%21.87%12.91%12.20%
VT
Vanguard Total World Stock ETF
2.40%-4.59%16.95%15.50%9.10%8.18%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.11%5.00%3.25%
2023-4.60%-2.40%9.10%4.74%

Expense Ratio

The ib has an expense ratio of 0.08% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.09%
0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

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.


ib
Sharpe ratio
The chart of Sharpe ratio for ib, currently valued at 1.68, compared to the broader market-1.000.001.002.003.004.001.68
Sortino ratio
The chart of Sortino ratio for ib, currently valued at 2.45, compared to the broader market-2.000.002.004.006.002.45
Omega ratio
The chart of Omega ratio for ib, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ib, currently valued at 1.43, compared to the broader market0.002.004.006.008.001.43
Martin ratio
The chart of Martin ratio for ib, currently valued at 6.47, compared to the broader market0.0010.0020.0030.0040.006.47
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
1.822.651.321.567.54
VT
Vanguard Total World Stock ETF
1.301.921.231.014.38

Sharpe Ratio

The current ib Sharpe ratio is 1.68. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.68

The Sharpe ratio of ib lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.68
1.66
ib
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ib granted a 1.60% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ib1.60%1.60%1.82%1.39%1.56%1.92%2.19%1.89%2.14%2.18%2.04%1.89%
SPY
SPDR S&P 500 ETF
1.36%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
VT
Vanguard Total World Stock ETF
2.17%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.25%
-5.46%
ib
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ib. 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 ib was 47.78%, occurring on Mar 9, 2009. Recovery took 445 trading sessions.

The current ib drawdown is 5.25%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.78%Aug 12, 2008144Mar 9, 2009445Dec 10, 2010589
-33.83%Feb 20, 202023Mar 23, 202099Aug 12, 2020122
-24.99%Jan 4, 2022195Oct 12, 2022294Dec 13, 2023489
-20.19%May 2, 2011108Oct 3, 2011101Feb 28, 2012209
-18.89%Sep 21, 201865Dec 24, 201875Apr 12, 2019140

Volatility

Volatility Chart

The current ib volatility is 3.01%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
3.01%
3.15%
ib
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.

SPYVT
SPY1.000.94
VT0.941.00