Original Portfolio
Through the past 9 years and 7 months of data, this portfolio had a total return of 66.60% . This is equivalent of 5.44% per year. During this period, it had a historical volatility of 6.82% p.a. Resulting in a sharpe-ratio of 0.57 .
+5.44% |
6.82% |
0.57 |
||
| Return (annualized) | Volatility (annualized) |
Sharpe Ratio
"risk free" rate: 1.56% |
Portfolio with
We ran a few simulations and included bitcoin allocations of
1.00% ,
5.00% and
10.00%
to the original portfolio.
The assumption was that the simulations were rebalanced
annually
.
A 10.00% bitcoin allocation resulted in the best return for the period at 319.20% compared to the original portfolio at 66.60% . A bitcoin allocation enhanced this portfolio's returns .
A 10.00% bitcoin allocation resulted in the best risk adjusted return with a sharpe ratio of 0.94 . This is 1.66x 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 = 1.56% |
VaR
CI = 95% |
DrawDown
Maximum |
DrawDown
Average |
DrawDown
at Risk w/ 95% CI |
1yr
Return |
2yr
Return |
3yr
Return |
4yr
Return |
5yr
Return |
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VGLT | Vanguard Long-Treasury ETF | 25.00% | 4% | 0.40% | 0.74% | 14.15% | -0.08 | 1.25% | -46.18% | -14.47% | -39.13% | -7.69% | -13.22% | -26.28% | -36.83% | -15.34% | |
| ITOT | iShares Core S&P Total U.S. Sto | 25.00% | 197% | 11.93% | 0.95% | 18.11% | 0.57 | 1.42% | -35.00% | -4.93% | -18.71% | 27.17% | 33.25% | 24.17% | 84.74% | 88.27% | |
| BIL | SPDR Bloomberg 1-3 Month T-Bill | 25.00% | 14% | 1.33% | 0.01% | 0.26% | -0.89 | 0.02% | -0.21% | -0.05% | -0.17% | 5.32% | 8.33% | 8.29% | 8.24% | 10.04% | |
| GLD | SPDR Gold Trust | 25.00% | 80% | 6.30% | 0.74% | 14.13% | 0.34 | 1.19% | -22.00% | -8.05% | -16.81% | 14.13% | 23.91% | 24.46% | 33.53% | 77.16% | |
| BTC | Bitcoin ₿ | 13,711% | 66.67% | 3.68% | 70.26% | 0.93 | 5.75% | -83.40% | -39.16% | -74.97% | 128.07% | 85.45% | 7.41% | 541.72% | 955.79% | ||
| Original Portfolio | 67% | 5.44% | 0.36% | 6.82% | 0.57 | 0.57% | -17.50% | -3.33% | -11.18% | 9.48% | 12.41% | 7.14% | 17.29% | 37.55% | |||
| Original Portfolio + ₿ (1.00%) | 1.00% | 85% | 6.59% | 0.37% | 7.04% | 0.71 | 0.59% | -18.24% | -3.58% | -11.84% | 10.70% | 13.64% | 6.90% | 22.06% | 43.74% | ||
| Original Portfolio + ₿ (5.00%) | 5.00% | 173% | 10.98% | 0.54% | 10.25% | 0.92 | 0.77% | -21.16% | -5.96% | -16.26% | 15.57% | 18.54% | 6.48% | 41.68% | 69.63% | ||
| Original Portfolio + ₿ (10.00%) | 10.00% | 319% | 16.02% | 0.80% | 15.34% | 0.94 | 1.13% | -29.89% | -9.90% | -25.51% | 21.64% | 24.55% | 6.78% | 67.37% | 104.46% |
| September, 2014 | May, 2024 | 9 year(s) and 7 month(s) | 3,520 | ANNUALLY | USD | ||||||
| Start Date | End Date | Data Lifespan | # data points | Rebalance Frequency | Base Currency |
|
2014
Sep to Dec |
2015
Jan 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 Dec |
2024
Jan to May |
|---|---|---|---|---|---|---|---|---|---|---|
|
+ 11.28%
Vanguard Long-Treasu... (VGLT) |
+ 37.01%
Bitcoin (BTC) |
+ 121.89%
Bitcoin (BTC) |
+ 1,318.02%
Bitcoin (BTC) |
+ 1.73%
SPDR Bloomberg 1-3 M... (BIL) |
+ 87.16%
Bitcoin (BTC) |
+ 302.79%
Bitcoin (BTC) |
+ 57.64%
Bitcoin (BTC) |
+ 1.62%
SPDR Gold Trust (GLD) |
+ 154.23%
Bitcoin (BTC) |
+ 43.01%
Bitcoin (BTC) |
|
+ 3.95%
iShares Core S&P Tot... (ITOT) |
+ 0.98%
iShares Core S&P Tot... (ITOT) |
+ 15.26%
iShares Core S&P Tot... (ITOT) |
+ 21.23%
iShares Core S&P Tot... (ITOT) |
-0.49%
Vanguard Long-Treasu... (VGLT) |
+ 30.74%
iShares Core S&P Tot... (ITOT) |
+ 23.90%
SPDR Gold Trust (GLD) |
+ 27.30%
iShares Core S&P Tot... (ITOT) |
+ 1.43%
SPDR Bloomberg 1-3 M... (BIL) |
+ 25.82%
iShares Core S&P Tot... (ITOT) |
+ 12.32%
SPDR Gold Trust (GLD) |
|
-0.02%
SPDR Bloomberg 1-3 M... (BIL) |
-0.11%
SPDR Bloomberg 1-3 M... (BIL) |
+ 7.37%
SPDR Gold Trust (GLD) |
+ 13.29%
SPDR Gold Trust (GLD) |
-3.12%
SPDR Gold Trust (GLD) |
+ 17.78%
SPDR Gold Trust (GLD) |
+ 19.81%
iShares Core S&P Tot... (ITOT) |
-0.10%
SPDR Bloomberg 1-3 M... (BIL) |
-20.31%
iShares Core S&P Tot... (ITOT) |
+ 11.49%
SPDR Gold Trust (GLD) |
+ 9.19%
iShares Core S&P Tot... (ITOT) |
|
-3.37%
SPDR Gold Trust (GLD) |
-2.04%
Vanguard Long-Treasu... (VGLT) |
+ 0.17%
Vanguard Long-Treasu... (VGLT) |
+ 7.22%
Vanguard Long-Treasu... (VGLT) |
-6.00%
iShares Core S&P Tot... (ITOT) |
+ 13.62%
Vanguard Long-Treasu... (VGLT) |
+ 16.53%
Vanguard Long-Treasu... (VGLT) |
-4.91%
Vanguard Long-Treasu... (VGLT) |
-26.40%
Vanguard Long-Treasu... (VGLT) |
+ 4.94%
SPDR Bloomberg 1-3 M... (BIL) |
+ 1.81%
SPDR Bloomberg 1-3 M... (BIL) |
|
-29.99%
Bitcoin (BTC) |
-11.06%
SPDR Gold Trust (GLD) |
+ 0.13%
SPDR Bloomberg 1-3 M... (BIL) |
+ 0.66%
SPDR Bloomberg 1-3 M... (BIL) |
-72.60%
Bitcoin (BTC) |
+ 2.04%
SPDR Bloomberg 1-3 M... (BIL) |
+ 0.37%
SPDR Bloomberg 1-3 M... (BIL) |
-6.24%
SPDR Gold Trust (GLD) |
-65.30%
Bitcoin (BTC) |
+ 0.97%
Vanguard Long-Treasu... (VGLT) |
-5.65%
Vanguard Long-Treasu... (VGLT) |
Portfolio Optimization
Risk Model Optimization
Risk Measures available:
'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
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