Nakamoto Portfolio | Portfolio Analytics

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Analytics More Stats

Original Portfolio

Through the past 8 years and 4 months of data, this portfolio had a total return of 41.78% . This is equivalent of 4.27% per year. During this period, it had a historical volatility of 11.28% p.a. Resulting in a sharpe-ratio of 0.27 .

+4.27%		11.28%		0.27
Return (annualized)		Volatility (annualized)		Sharpe Ratio "risk free" rate: 1.23%

Portfolio with

We ran a few simulations and included bitcoin allocations of 1.00% , 2.00% and 5.00% to the original portfolio.
The assumption was that the simulations were rebalanced quarterly .

A 5.00% bitcoin allocation resulted in the best return for the period at 102.73% compared to the original portfolio at 41.78% . A bitcoin allocation enhanced this portfolio's returns .

A 5.00% bitcoin allocation resulted in the best risk adjusted return with a sharpe ratio of 0.63 . This is 2.34x better than the original portfolio. A bitcoin allocation resulted in more 'return' for each unit of risk taken during this period .

click through the tabs for more in-depth statistics

ticker	name	initial weight	return (period)	return (annualized)	volatility (daily)	volatility (annualized)	sharpe ratio rf = 1.23%	VaR CI = 95%	DrawDown Maximum	DrawDown Average	DrawDown at Risk w/ 95% CI	1yr Return	2yr Return	3yr Return	4yr Return	5yr Return
XBB.TO	iSHARES CORE CDN UNIVERSE BOND	22.73%	6%	0.73%	0.35%	6.67%	-0.08	0.47%	-18.16%	-3.89%	-14.25%	-1.16%	1.20%	-7.61%	-9.60%	-2.95%
RWO	SPDR DJ Wilshire Global Real Es	20.00%	6%	0.69%	0.98%	18.73%	-0.03	1.44%	-43.27%	-8.88%	-26.44%	-2.31%	-14.75%	-14.63%	18.94%	-8.33%
ICLN	iShares Global Clean Energy ETF	13.64%	97%	8.49%	1.44%	27.56%	0.26	2.19%	-49.08%	-24.05%	-42.48%	-5.54%	-1.02%	-14.68%	61.15%	88.71%
ACWI	iShares MSCI ACWI ETF	11.82%	84%	7.60%	0.93%	17.83%	0.36	1.39%	-33.53%	-6.16%	-18.67%	2.62%	6.44%	-0.74%	42.48%	42.07%
XAW.TO	ISHARES CORE MSCI ALL CNTRY EX	9.45%	88%	7.85%	0.83%	15.78%	0.42	1.20%	-27.32%	-4.69%	-15.63%	0.60%	9.44%	8.33%	37.13%	37.62%
BKLN	Invesco Senior Loan ETF	8.18%	24%	2.59%	0.36%	6.94%	0.20	0.32%	-24.17%	-1.42%	-5.76%	1.56%	6.70%	4.55%	14.43%	9.77%
HYG	iShares iBoxx $ High Yield Corp	4.09%	24%	2.63%	0.47%	9.02%	0.16	0.64%	-22.03%	-3.10%	-11.53%	0.63%	2.79%	-5.68%	7.41%	5.39%
LQD	iShares iBoxx $ Investment Grad	4.09%	16%	1.79%	0.46%	8.71%	0.06	0.59%	-24.95%	-4.61%	-17.84%	0.80%	0.76%	-12.42%	-9.05%	1.85%
XIC.TO	iSHARES CORE SP TSX CAPPED COMP	2.36%	63%	6.00%	0.82%	15.58%	0.31	1.09%	-37.21%	-4.81%	-14.95%	-3.96%	-1.74%	4.68%	41.15%	32.49%
XGB.TO	iSHARES CORE CDN GOVT BOND INDE	1.82%	2%	0.21%	0.30%	5.76%	-0.18	0.51%	-19.53%	-4.58%	-15.68%	-1.34%	0.43%	-8.58%	-12.34%	-5.05%
EEM	iShares MSCI Emerging Index Fun	1.82%	15%	1.70%	1.13%	21.51%	0.02	1.77%	-39.82%	-15.49%	-31.31%	0.81%	-2.18%	-22.12%	11.82%	6.94%
BTC	Bitcoin ₿		12,492%	78.51%	3.73%	71.32%	1.08	5.79%	-83.40%	-37.16%	-75.36%	12.03%	0.89%	-29.50%	217.41%	317.97%
	Original Portfolio		42%	4.27%	0.59%	11.28%	0.27	0.84%	-27.04%	-4.34%	-14.10%	-1.04%	-0.42%	-6.25%	21.22%	21.20%
	Original Portfolio + ₿ (1.00%)	1.00%	53%	5.19%	0.59%	11.31%	0.35	0.83%	-27.16%	-4.37%	-14.58%	-0.90%	-0.21%	-6.23%	23.87%	24.40%
	Original Portfolio + ₿ (2.00%)	2.00%	64%	6.11%	0.60%	11.41%	0.43	0.84%	-27.28%	-4.49%	-15.16%	-0.77%	-0.01%	-6.21%	26.52%	27.62%
	Original Portfolio + ₿ (5.00%)	5.00%	103%	8.84%	0.63%	12.04%	0.63	0.88%	-27.65%	-5.21%	-17.71%	-0.38%	0.56%	-6.18%	34.50%	37.45%

February, 2015		June, 2023		8 year(s) and 4 month(s)		3,045		QUARTERLY		USD
Start Date		End Date		Data Lifespan		# data points		Rebalance Frequency		Base Currency

Portfolio Results from February, 2015 to June, 2023

Asset Results from February, 2015 to June, 2023

Allocation over time from February, 2015 to June, 2023

Ranking of Annual Returns from February, 2015 to June, 2023

2015 Feb to Dec	2016 Jan to Dec	2017 Jan to Dec	2018 Jan to Dec	2019 Jan to Dec	2020 Jan to Dec	2021 Jan to Dec	2022 Jan to Dec	2023 Jan to Jun
+ 76.62% Bitcoin (BTC)	+ 121.89% Bitcoin (BTC)	+ 1,318.02% Bitcoin (BTC)	+ 1.53% iSHARES CORE CDN GOV... (XGB.TO)	+ 87.16% Bitcoin (BTC)	+ 302.79% Bitcoin (BTC)	+ 57.64% Bitcoin (BTC)	-2.04% Invesco Senior Loan ... (BKLN)	+ 84.63% Bitcoin (BTC)
+ 4.54% ISHARES CORE MSCI AL... (XAW.TO)	+ 22.74% iSHARES CORE SP TSX ... (XIC.TO)	+ 38.20% iShares MSCI Emergin... (EEM)	+ 1.39% iSHARES CORE CDN UNI... (XBB.TO)	+ 43.32% iShares Global Clean... (ICLN)	+ 138.18% iShares Global Clean... (ICLN)	+ 34.51% SPDR DJ Wilshire Glo... (RWO)	-5.56% iSHARES CORE SP TSX ... (XIC.TO)	+ 11.74% iShares MSCI ACWI ET... (ACWI)
-0.33% iSHARES CORE CDN UNI... (XBB.TO)	+ 15.35% iShares MSCI Emergin... (EEM)	+ 24.54% iShares MSCI ACWI ET... (ACWI)	-1.53% Invesco Senior Loan ... (BKLN)	+ 26.63% iShares MSCI ACWI ET... (ACWI)	+ 15.15% iShares MSCI ACWI ET... (ACWI)	+ 22.71% iSHARES CORE SP TSX ... (XIC.TO)	-7.22% iShares Global Clean... (ICLN)	+ 7.03% ISHARES CORE MSCI AL... (XAW.TO)
-0.45% iSHARES CORE CDN GOV... (XGB.TO)	+ 14.57% iShares iBoxx $ High... (HYG)	+ 21.90% iShares Global Clean... (ICLN)	-2.11% iShares iBoxx $ High... (HYG)	+ 23.20% SPDR DJ Wilshire Glo... (RWO)	+ 14.69% iShares MSCI Emergin... (EEM)	+ 19.32% iShares MSCI ACWI ET... (ACWI)	-10.22% iSHARES CORE CDN UNI... (XBB.TO)	+ 5.06% Invesco Senior Loan ... (BKLN)
-2.70% iShares iBoxx $ Inve... (LQD)	+ 11.21% iShares MSCI ACWI ET... (ACWI)	+ 15.79% ISHARES CORE MSCI AL... (XAW.TO)	-2.59% ISHARES CORE MSCI AL... (XAW.TO)	+ 22.71% iSHARES CORE SP TSX ... (XIC.TO)	+ 11.17% ISHARES CORE MSCI AL... (XAW.TO)	+ 18.62% ISHARES CORE MSCI AL... (XAW.TO)	-10.72% iSHARES CORE CDN GOV... (XGB.TO)	+ 3.29% iShares MSCI Emergin... (EEM)
-4.18% Invesco Senior Loan ... (BKLN)	+ 9.33% Invesco Senior Loan ... (BKLN)	+ 8.77% iSHARES CORE SP TSX ... (XIC.TO)	-3.14% iShares iBoxx $ Inve... (LQD)	+ 20.17% ISHARES CORE MSCI AL... (XAW.TO)	+ 10.74% iShares iBoxx $ Inve... (LQD)	+ 3.97% iShares iBoxx $ High... (HYG)	-10.77% iShares iBoxx $ High... (HYG)	+ 3.12% iShares iBoxx $ Inve... (LQD)
-4.22% SPDR DJ Wilshire Glo... (RWO)	+ 6.35% iShares iBoxx $ Inve... (LQD)	+ 7.48% SPDR DJ Wilshire Glo... (RWO)	-5.90% SPDR DJ Wilshire Glo... (RWO)	+ 17.92% iShares MSCI Emergin... (EEM)	+ 8.20% iSHARES CORE CDN UNI... (XBB.TO)	+ 2.50% Invesco Senior Loan ... (BKLN)	-12.01% ISHARES CORE MSCI AL... (XAW.TO)	+ 3.07% iShares iBoxx $ High... (HYG)
-5.29% iShares Global Clean... (ICLN)	+ 5.90% ISHARES CORE MSCI AL... (XAW.TO)	+ 6.25% iShares iBoxx $ Inve... (LQD)	-9.25% iSHARES CORE SP TSX ... (XIC.TO)	+ 17.01% iShares iBoxx $ Inve... (LQD)	+ 7.70% iSHARES CORE CDN GOV... (XGB.TO)	-1.34% iShares iBoxx $ Inve... (LQD)	-16.46% iShares iBoxx $ Inve... (LQD)	+ 1.32% iSHARES CORE SP TSX ... (XIC.TO)
-6.23% iShares MSCI ACWI ET... (ACWI)	+ 5.36% SPDR DJ Wilshire Glo... (RWO)	+ 5.73% iShares iBoxx $ High... (HYG)	-9.97% iShares MSCI ACWI ET... (ACWI)	+ 14.24% iShares iBoxx $ High... (HYG)	+ 5.38% iSHARES CORE SP TSX ... (XIC.TO)	-2.60% iSHARES CORE CDN UNI... (XBB.TO)	-18.80% iShares MSCI ACWI ET... (ACWI)	+ 1.22% iSHARES CORE CDN UNI... (XBB.TO)
-7.28% iShares iBoxx $ High... (HYG)	+ 1.16% iSHARES CORE CDN UNI... (XBB.TO)	+ 2.22% Invesco Senior Loan ... (BKLN)	-10.38% iShares Global Clean... (ICLN)	+ 9.72% Invesco Senior Loan ... (BKLN)	+ 4.03% iShares iBoxx $ High... (HYG)	-2.98% iSHARES CORE CDN GOV... (XGB.TO)	-20.46% iShares MSCI Emergin... (EEM)	+ 0.70% iSHARES CORE CDN GOV... (XGB.TO)
-11.87% iSHARES CORE SP TSX ... (XIC.TO)	+ 0.36% iSHARES CORE CDN GOV... (XGB.TO)	+ 2.18% iSHARES CORE CDN UNI... (XBB.TO)	-16.88% iShares MSCI Emergin... (EEM)	+ 6.89% iSHARES CORE CDN UNI... (XBB.TO)	+ 1.10% Invesco Senior Loan ... (BKLN)	-4.24% iShares MSCI Emergin... (EEM)	-24.74% SPDR DJ Wilshire Glo... (RWO)	-2.30% SPDR DJ Wilshire Glo... (RWO)
-19.02% iShares MSCI Emergin... (EEM)	-15.17% iShares Global Clean... (ICLN)	+ 1.62% iSHARES CORE CDN GOV... (XGB.TO)	-72.60% Bitcoin (BTC)	+ 5.90% iSHARES CORE CDN GOV... (XGB.TO)	-9.86% SPDR DJ Wilshire Glo... (RWO)	-25.35% iShares Global Clean... (ICLN)	-65.30% Bitcoin (BTC)	-8.82% iShares Global Clean... (ICLN)

All Assets from February, 2015 to June, 2023

All Simulations from February, 2015 to June, 2023

Correlation Matrix | Full Period from February, 2015 to June, 2023

All Assets from February, 2015 to June, 2023

Scatter Plot of Returns from February, 2015 to June, 2023

Portfolio Optimization

Risk Model Optimization

Running simulations...

Risk Measures available:

'MV': Standard Deviation.
'MAD': Mean Absolute Deviation.
'MSV': Semi Standard Deviation.
'FLPM': First Lower Partial Moment (Omega Ratio).
'SLPM': Second Lower Partial Moment (Sortino Ratio).
'CVaR': Conditional Value at Risk.
'CDaR': Conditional Drawdown at Risk of uncompounded cumulative returns.
'UCI': Ulcer Index of uncompounded cumulative returns.

Efficient Frontier

Asset Allocation accross the Efficient Frontier

Historical Return Analysis
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Monte Carlo Simulations
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