IB Asset Management

VALCOV : Value Portfolio

  • Additional attributes Large cap
  • Strategy Smart Beta
The Value portfolio is a portfolio designed to systematically deliver return and risk characteristics of large and mid cap value stocks within the US equity market.  The portfolio is implemented using a rules-based approach and offered at a relatively low cost.
The portfolio is constructed using a rules-based algorithm to determine position allocations.  The portfolio is rebalanced quarterly and stocks exhibiting attractive value characteristics have a greater chance of being included.
A factor-based approach to portfolio construction is grounded in academic research. The goal is to achieve an alternative risk-return profile, which is more attractive than a simple capitalization-weighted index such as the S&P 500. Covestor has undertaken research and back-testing to decide on the fundamental factors and rules used to construct this portfolio.
The portfolio will target an allocation of 300 long positions.  Stocks with attractive valuation ratios receive higher allocations, and both trailing and forward price-earnings valuation ratios are considered when determining allocations. This contrarian approach to stock selection allows us to allocate capital to companies that may be out of favor with the market, but poised for recovery. As a form of risk control, the portfolio construction process is designed to penalize high volatility in stocks and avoid excessive concentration in single sectors of the market.
Sell decisions will be based only upon the quarterly rebalance criteria: stocks sold are replaced by stocks with more attractive value characteristics.
Positions in stocks undergoing corporate actions may be sold or adjusted.

Actual results (since November 01, 2016) displayed. Hypothetical returns are available. Disclosures.

Hypothetical returns (before November 01, 2016) displayed. Disclosures.

Hypothetical returns (Annualized)


1 year



3 year



5 year



10 year



Since inception


Risk score

  • 21.9%

    Best quarter

  • -24.3%

    Worst quarter

    • 0.08% fee
    • $5,000 min

Hypothetical returns detail

Hypothetical returns (Annualized) from April 30, 1999 to October 31, 2016

as of October 31, 2016 Manager (net of fees ) S&P 500
1 year 6.8% 2.3%
3 year 8.2% 6.6%
5 year 13.2% 11.1%
10 year 7.1% 4.4%
Since inception 10.7% 2.9%

Hypothetical risk metrics from April 30, 1999 to October 31, 2016

as of October 31, 2016 Manager (net of fees ) S&P 500
Volatility (Annualized) 15.6% 14.9%
Sharpe ratio 0.67 0.17
Sortino ratio 0.83 0.24
Maximum drawdown -56.1% -52.6%
Value-at-risk (95%, 1 week) -7.1% -7.2%
vs. S&P 500
Information Ratio 0.98
Alpha 7.9%
Beta 0.91
R-Squared 0.75

Portfolio Manager performance


Last 30 days



Last 90 days



Last 365 days


Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 4.1%

    Best quarter

  • 1.8%

    Worst quarter

    • 0.08% fee
    • $5,000 min

Portfolio Manager performance graph

All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. Client account performance is displayed on the client dashboard.

Performance Portfolio inception November 01, 2016

as of August 16, 2017 Manager (net of fees ) S&P 500
Last 30 days -1.7% 0.4%
Last 90 days 3.6% 4.3%
Last 365 Days - 13.3%
Since inception 18.5% 16.9%
2017 (YTD) 5.7% 10.2%

Risk metrics Last 365 days

This portfolio is new to IB Asset Management and does not have 365 days worth of daily performance data required for us to calculate risk metrics.


  • Financial
  • Consumer, Cyclical
  • Consumer, Non-cyclical
  • Industrial
  • Utilities

Top 5 securities

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Important Information

  1. This portfolio was launched on IB Asset Management on November 01, 2016. Return information prior to the launch date consists of hypothetical back-tested data not based on actual trading of real client funds. These hypothetical results reflect the deduction of (i.e., are net of) IB Asset Management’s advisory fee, Interactive Brokers LLC brokerage and other commissions and other expenses that a client will have to pay if he invests in this portfolio after November 01, 2016. Hypothetical back-tested results are not an indicator of the future returns a client will realize by investing in this portfolio. No IB Asset Management client actually attained these hypothetical results. For a more detailed discussion of the hypothetical nature of this return information and a discussion of the calculation methodology used, review these disclosures.
  2. There is an important distinction between the method used to calculate hypothetical and actual returns for this portfolio. Hypothetical back-tested returns before November 01, 2016 are calculated on a month-end basis with this monthly series of hypothetical returns then used as basis for calculating the various risk and return metrics presented. (Please read these disclosures for a detailed discussion of the calculation of hypothetical returns.) This is different from the returns based on actual trading of this portfolio starting on November 01, 2016 which were calculated daily, like the other portfolios on the IB Asset Management platform. Consequently, the month-end calculation of hypothetical back-tested results for this portfolio may limit their comparability to the daily calculation of actual returns.
  3. Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.  
  4. The actual performance of the manager account is based on the performance of an IB Asset Management proprietary account invested using this strategy and is calculated by IB Asset Management on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the IB Asset Management advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.
  5. None of the performance information displayed on this page is based on the actual performance of any IB Asset Management client account investing in this portfolio. The performance in an IB Asset Management client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions. Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their IB Asset Management account and reviewing their customized dashboard.
  6. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by IB Asset Management, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  7. The hypothetical back-tested and actual performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors (Thomson Reuters Worldscope database) to provide these returns. Neither IB Asset Management nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  8. Benchmark returns displayed have been calculated by IB Asset Management using daily benchmark prices and do not include dividend income. More information here. For certain portfolios IB Asset Management uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  9. Transaction history is available upon request. Portfolio classifications are provided by IB Asset Management, and are intended to serve as a general guide.
  10. Not all transactions listed will appear in accounts due to IB Asset Management's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.