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IBKR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


O 14.29%PB 14.29%SWK 14.29%UNM 14.29%VICI 14.29%VZ 14.29%WTRG 14.29%EquityEquity
PositionCategory/SectorWeight
O
Realty Income Corporation
Real Estate

14.29%

PB
Prosperity Bancshares, Inc.
Financial Services

14.29%

SWK
Stanley Black & Decker, Inc.
Industrials

14.29%

UNM
Unum Group
Financial Services

14.29%

VICI
VICI Properties Inc.
Real Estate

14.29%

VZ
Verizon Communications Inc.
Communication Services

14.29%

WTRG
Essential Utilities, Inc.
Utilities

14.29%

S&P 500

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
9.89%
15.74%
IBKR
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 18, 2017, corresponding to the inception date of VICI

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
IBKR-3.30%-0.99%9.89%4.17%3.76%N/A
O
Realty Income Corporation
-8.74%-0.56%4.80%-10.14%-0.25%7.19%
PB
Prosperity Bancshares, Inc.
-10.24%-0.59%15.86%4.68%-0.51%2.41%
SWK
Stanley Black & Decker, Inc.
-6.57%3.04%12.35%18.69%-6.58%3.34%
UNM
Unum Group
11.32%-4.15%-0.11%28.72%10.53%7.31%
VICI
VICI Properties Inc.
-12.23%-3.28%-3.31%-10.07%10.39%N/A
VZ
Verizon Communications Inc.
9.94%3.21%32.63%9.86%-1.99%3.28%
WTRG
Essential Utilities, Inc.
-6.66%-4.00%3.97%-17.38%2.32%5.72%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.37%-2.34%6.07%
2023-5.98%0.18%6.38%6.33%

Expense Ratio

The IBKR 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.


The portfolio doesn't hold funds that charge fees

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.


IBKR
Sharpe ratio
The chart of Sharpe ratio for IBKR, currently valued at 0.20, compared to the broader market-1.000.001.002.003.004.005.000.20
Sortino ratio
The chart of Sortino ratio for IBKR, currently valued at 0.41, compared to the broader market-2.000.002.004.006.000.41
Omega ratio
The chart of Omega ratio for IBKR, currently valued at 1.05, compared to the broader market0.801.001.201.401.601.801.05
Calmar ratio
The chart of Calmar ratio for IBKR, currently valued at 0.16, compared to the broader market0.002.004.006.008.0010.000.16
Martin ratio
The chart of Martin ratio for IBKR, currently valued at 0.53, compared to the broader market0.0010.0020.0030.0040.0050.000.53
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
O
Realty Income Corporation
-0.57-0.700.92-0.33-0.92
PB
Prosperity Bancshares, Inc.
0.070.321.040.060.24
SWK
Stanley Black & Decker, Inc.
0.601.161.130.291.69
UNM
Unum Group
1.221.601.261.623.99
VICI
VICI Properties Inc.
-0.57-0.690.92-0.59-1.23
VZ
Verizon Communications Inc.
0.400.781.100.231.04
WTRG
Essential Utilities, Inc.
-0.87-1.170.87-0.52-1.35

Sharpe Ratio

The current IBKR Sharpe ratio is 0.20. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.20

The Sharpe ratio of IBKR is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
0.20
1.89
IBKR
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IBKR granted a 4.58% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
IBKR4.58%4.30%4.05%3.48%3.56%3.12%3.44%2.26%2.33%2.56%2.46%2.56%
O
Realty Income Corporation
5.95%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
PB
Prosperity Bancshares, Inc.
3.68%3.26%2.90%2.75%2.70%2.35%2.39%1.97%1.73%2.33%1.79%1.40%
SWK
Stanley Black & Decker, Inc.
3.56%3.28%4.23%1.58%1.56%1.63%2.15%1.43%1.97%2.01%2.12%2.45%
UNM
Unum Group
2.85%3.07%3.07%4.76%4.97%3.74%3.34%1.57%1.75%2.10%1.78%1.57%
VICI
VICI Properties Inc.
5.93%5.05%4.63%4.58%4.92%4.58%5.31%0.00%0.00%0.00%0.00%0.00%
VZ
Verizon Communications Inc.
6.60%6.96%6.53%4.85%4.21%3.95%4.22%4.39%4.26%4.79%4.57%4.22%
WTRG
Essential Utilities, Inc.
3.50%3.18%2.33%1.93%2.05%1.93%2.48%2.02%2.46%2.30%2.37%2.48%

Drawdowns

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-7.93%
-3.66%
IBKR
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IBKR. 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 IBKR was 46.15%, occurring on Mar 23, 2020. Recovery took 232 trading sessions.

The current IBKR drawdown is 7.93%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.15%Feb 18, 202025Mar 23, 2020232Feb 23, 2021257
-19.53%Jun 9, 2021598Oct 23, 2023
-17.81%Jan 23, 2018233Dec 24, 201870Apr 5, 2019303
-7.38%May 6, 201971Aug 14, 201923Sep 17, 201994
-3.84%May 11, 20212May 12, 202112May 28, 202114

Volatility

Volatility Chart

The current IBKR volatility is 5.29%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%NovemberDecember2024FebruaryMarchApril
5.29%
3.44%
IBKR
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.

VZWTRGUNMOVICISWKPB
VZ1.000.390.280.340.240.290.31
WTRG0.391.000.190.520.380.270.28
UNM0.280.191.000.200.340.490.63
O0.340.520.201.000.560.320.29
VICI0.240.380.340.561.000.410.36
SWK0.290.270.490.320.411.000.53
PB0.310.280.630.290.360.531.00