Original Portfolio
Through the past 9 years and 8 months of data, this portfolio had a total return of 77.23% . This is equivalent of 6.09% per year. During this period, it had a historical volatility of 11.86% p.a. Resulting in a sharpe-ratio of 0.38 .
+6.09% |
11.86% |
0.38 |
||
| Return (annualized) | Volatility (annualized) |
Sharpe Ratio
"risk free" rate: 1.58% |
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
semi-annually
.
A 10.00% bitcoin allocation resulted in the best return for the period at 340.16% compared to the original portfolio at 77.23% . 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 0.92 . This is 2.42x 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 = 1.58% |
VaR
CI = 95% |
DrawDown
Maximum |
DrawDown
Average |
DrawDown
at Risk w/ 95% CI |
1yr
Return |
2yr
Return |
3yr
Return |
4yr
Return |
5yr
Return |
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ITOT | iShares Core S&P Total U.S. Sto | 30.00% | 204% | 12.16% | 0.95% | 18.08% | 0.59 | 1.42% | -35.00% | -4.92% | -18.70% | 28.19% | 36.45% | 27.77% | 87.43% | 93.75% | |
| VGIT | Vanguard Intermediate-Term Trea | 30.00% | 10% | 1.02% | 0.24% | 4.50% | -0.12 | 0.37% | -16.05% | -4.17% | -13.32% | 0.52% | -0.90% | -8.41% | -10.27% | 0.23% | |
| SCHH | Schwab U.S. REIT ETF | 20.00% | 48% | 4.13% | 1.11% | 21.25% | 0.12 | 1.65% | -44.22% | -10.87% | -27.35% | 8.98% | -4.09% | -1.50% | 33.11% | 1.95% | |
| SPDW | SPDR Portfolio Developed World | 15.00% | 62% | 5.09% | 0.90% | 17.26% | 0.20 | 1.37% | -34.98% | -8.37% | -20.67% | 14.11% | 21.45% | 7.48% | 58.04% | 45.00% | |
| VWO | Vanguard FTSE Emerging Markets | 5.00% | 33% | 2.96% | 1.05% | 20.01% | 0.07 | 1.64% | -36.39% | -14.30% | -27.02% | 15.62% | 13.48% | -4.87% | 37.43% | 29.34% | |
| BTC | Bitcoin ₿ | 14,392% | 67.19% | 3.67% | 70.21% | 0.93 | 5.74% | -83.40% | -39.06% | -74.96% | 147.73% | 125.19% | 77.67% | 629.80% | 732.29% | ||
| Original Portfolio | 77% | 6.09% | 0.62% | 11.86% | 0.38 | 0.91% | -25.64% | -4.49% | -15.94% | 13.11% | 13.07% | 6.20% | 37.15% | 35.46% | |||
| Original Portfolio + ₿ (1.00%) | 1.00% | 96% | 7.20% | 0.62% | 11.91% | 0.47 | 0.92% | -25.75% | -4.51% | -16.29% | 14.57% | 14.61% | 7.44% | 43.59% | 42.70% | ||
| Original Portfolio + ₿ (5.00%) | 5.00% | 187% | 11.50% | 0.69% | 13.23% | 0.75 | 1.03% | -26.18% | -6.43% | -19.16% | 20.38% | 20.74% | 12.28% | 70.03% | 72.97% | ||
| Original Portfolio + ₿ (10.00%) | 10.00% | 340% | 16.54% | 0.85% | 16.24% | 0.92 | 1.20% | -31.55% | -9.20% | -25.12% | 27.59% | 28.32% | 18.15% | 104.39% | 113.41% |
| September, 2014 | May, 2024 | 9 year(s) and 8 month(s) | 3,533 | SEMI-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 |
|---|---|---|---|---|---|---|---|---|---|---|
|
+ 12.60%
Schwab U.S. REIT ETF (SCHH) |
+ 37.01%
Bitcoin (BTC) |
+ 121.89%
Bitcoin (BTC) |
+ 1,318.02%
Bitcoin (BTC) |
+ 1.56%
Vanguard Intermediat... (VGIT) |
+ 87.16%
Bitcoin (BTC) |
+ 302.79%
Bitcoin (BTC) |
+ 57.64%
Bitcoin (BTC) |
-9.72%
Vanguard Intermediat... (VGIT) |
+ 154.23%
Bitcoin (BTC) |
+ 50.06%
Bitcoin (BTC) |
|
+ 3.95%
iShares Core S&P Tot... (ITOT) |
+ 1.90%
Schwab U.S. REIT ETF (SCHH) |
+ 16.71%
Vanguard FTSE Emergi... (VWO) |
+ 32.31%
Vanguard FTSE Emergi... (VWO) |
-4.01%
Schwab U.S. REIT ETF (SCHH) |
+ 30.74%
iShares Core S&P Tot... (ITOT) |
+ 19.81%
iShares Core S&P Tot... (ITOT) |
+ 45.91%
Schwab U.S. REIT ETF (SCHH) |
-16.02%
SPDR Portfolio Devel... (SPDW) |
+ 25.82%
iShares Core S&P Tot... (ITOT) |
+ 11.80%
iShares Core S&P Tot... (ITOT) |
|
+ 2.21%
Vanguard Intermediat... (VGIT) |
+ 1.20%
Vanguard Intermediat... (VGIT) |
+ 15.26%
iShares Core S&P Tot... (ITOT) |
+ 26.11%
SPDR Portfolio Devel... (SPDW) |
-6.00%
iShares Core S&P Tot... (ITOT) |
+ 26.20%
Schwab U.S. REIT ETF (SCHH) |
+ 12.49%
Vanguard FTSE Emergi... (VWO) |
+ 27.30%
iShares Core S&P Tot... (ITOT) |
-17.68%
Vanguard FTSE Emergi... (VWO) |
+ 15.98%
SPDR Portfolio Devel... (SPDW) |
+ 10.37%
Vanguard FTSE Emergi... (VWO) |
|
-6.58%
SPDR Portfolio Devel... (SPDW) |
+ 0.98%
iShares Core S&P Tot... (ITOT) |
+ 8.12%
Schwab U.S. REIT ETF (SCHH) |
+ 21.23%
iShares Core S&P Tot... (ITOT) |
-14.89%
SPDR Portfolio Devel... (SPDW) |
+ 22.60%
SPDR Portfolio Devel... (SPDW) |
+ 9.03%
SPDR Portfolio Devel... (SPDW) |
+ 10.79%
SPDR Portfolio Devel... (SPDW) |
-20.31%
iShares Core S&P Tot... (ITOT) |
+ 12.42%
Schwab U.S. REIT ETF (SCHH) |
+ 8.71%
SPDR Portfolio Devel... (SPDW) |
|
-8.11%
Vanguard FTSE Emergi... (VWO) |
-1.21%
SPDR Portfolio Devel... (SPDW) |
+ 5.21%
SPDR Portfolio Devel... (SPDW) |
+ 3.18%
Schwab U.S. REIT ETF (SCHH) |
-16.20%
Vanguard FTSE Emergi... (VWO) |
+ 20.21%
Vanguard FTSE Emergi... (VWO) |
+ 7.48%
Vanguard Intermediat... (VGIT) |
+ 0.80%
Vanguard FTSE Emergi... (VWO) |
-24.50%
Schwab U.S. REIT ETF (SCHH) |
+ 6.83%
Vanguard FTSE Emergi... (VWO) |
-1.00%
Vanguard Intermediat... (VGIT) |
|
-29.99%
Bitcoin (BTC) |
-14.84%
Vanguard FTSE Emergi... (VWO) |
+ 0.87%
Vanguard Intermediat... (VGIT) |
+ 1.42%
Vanguard Intermediat... (VGIT) |
-72.60%
Bitcoin (BTC) |
+ 6.16%
Vanguard Intermediat... (VGIT) |
-13.49%
Schwab U.S. REIT ETF (SCHH) |
-2.68%
Vanguard Intermediat... (VGIT) |
-65.30%
Bitcoin (BTC) |
+ 3.53%
Vanguard Intermediat... (VGIT) |
-4.31%
Schwab U.S. REIT ETF (SCHH) |
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
Select an asset
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