Original Portfolio
Through the past 8 years and 10 months of data, this portfolio had a total return of 52.56% . This is equivalent of 4.89% per year. During this period, it had a historical volatility of 8.00% p.a. Resulting in a sharpe-ratio of 0.46 .
+4.89% |
8.00% |
0.46 |
||
| Return (annualized) | Volatility (annualized) |
Sharpe Ratio
"risk free" rate: 1.21% |
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
quarterly
.
A 10.00% bitcoin allocation resulted in the best return for the period at 268.50% compared to the original portfolio at 52.56% . 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 1.23 . This is 2.68x 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 = 1.21% |
VaR
CI = 95% |
DrawDown
Maximum |
DrawDown
Average |
DrawDown
at Risk w/ 95% CI |
1yr
Return |
2yr
Return |
3yr
Return |
4yr
Return |
5yr
Return |
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VGLT | Long Term Bonds | 40.00% | 11% | 1.20% | 0.73% | 13.98% | -0.00 | 1.22% | -42.50% | -12.20% | -35.15% | 1.27% | -8.83% | -20.98% | -32.69% | -10.32% | |
| ITOT | Total Stock Market | 30.00% | 158% | 11.30% | 0.97% | 18.55% | 0.54 | 1.45% | -35.00% | -5.01% | -18.85% | 8.85% | 15.85% | 8.49% | 59.15% | 64.51% | |
| VGIT | Intermediate Bonds | 15.00% | 9% | 0.97% | 0.23% | 4.39% | -0.05 | 0.36% | -16.05% | -3.43% | -12.37% | -0.71% | -2.11% | -9.53% | -11.37% | -1.00% | |
| GLD | Gold | 7.50% | 53% | 4.95% | 0.75% | 14.26% | 0.26 | 1.24% | -22.00% | -8.37% | -16.97% | -0.56% | 5.41% | 3.49% | 12.28% | 51.36% | |
| GSP | Commodities | 7.50% | -36% | -4.94% | 1.50% | 28.62% | -0.21 | 2.33% | -80.76% | -47.54% | -69.95% | 1.57% | -22.57% | 37.69% | 146.96% | 25.59% | |
| BTC | Bitcoin ₿ | 6,440% | 60.39% | 3.76% | 71.87% | 0.82 | 5.81% | -83.40% | -39.30% | -75.14% | 11.79% | 1.62% | -19.83% | 229.33% | 275.58% | ||
| Original Portfolio | 53% | 4.89% | 0.42% | 8.00% | 0.46 | 0.65% | -21.77% | -3.80% | -15.01% | 3.16% | -0.45% | -3.92% | 7.28% | 23.16% | |||
| Original Portfolio + ₿ (1.00%) | 1.00% | 68% | 6.07% | 0.42% | 8.06% | 0.60 | 0.65% | -22.49% | -3.85% | -15.57% | 3.25% | -0.17% | -3.79% | 10.01% | 26.75% | ||
| Original Portfolio + ₿ (5.00%) | 5.00% | 144% | 10.60% | 0.48% | 9.24% | 1.02 | 0.73% | -25.31% | -4.42% | -18.44% | 3.61% | 0.90% | -3.36% | 21.10% | 41.45% | ||
| Original Portfolio + ₿ (10.00%) | 10.00% | 269% | 15.89% | 0.62% | 11.93% | 1.23 | 0.95% | -29.01% | -5.78% | -21.95% | 4.07% | 2.13% | -2.95% | 35.31% | 60.40% |
| September, 2014 | July, 2023 | 8 year(s) and 10 month(s) | 3,229 | QUARTERLY | 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 Jul |
|---|---|---|---|---|---|---|---|---|---|
|
+ 11.28%
Long Term Bonds (VGLT) |
+ 37.01%
Bitcoin (BTC) |
+ 121.89%
Bitcoin (BTC) |
+ 1,318.02%
Bitcoin (BTC) |
+ 1.56%
Intermediate Bonds (VGIT) |
+ 87.16%
Bitcoin (BTC) |
+ 302.79%
Bitcoin (BTC) |
+ 57.64%
Bitcoin (BTC) |
+ 24.69%
Commodities (GSP) |
+ 79.90%
Bitcoin (BTC) |
|
+ 3.95%
Total Stock Market (ITOT) |
+ 1.20%
Intermediate Bonds (VGIT) |
+ 15.26%
Total Stock Market (ITOT) |
+ 21.23%
Total Stock Market (ITOT) |
-0.49%
Long Term Bonds (VGLT) |
+ 30.74%
Total Stock Market (ITOT) |
+ 23.90%
Gold (GLD) |
+ 53.21%
Commodities (GSP) |
+ 1.62%
Gold (GLD) |
+ 19.44%
Total Stock Market (ITOT) |
|
+ 2.21%
Intermediate Bonds (VGIT) |
+ 0.98%
Total Stock Market (ITOT) |
+ 11.08%
Commodities (GSP) |
+ 13.29%
Gold (GLD) |
-3.12%
Gold (GLD) |
+ 19.39%
Commodities (GSP) |
+ 19.81%
Total Stock Market (ITOT) |
+ 27.30%
Total Stock Market (ITOT) |
-9.72%
Intermediate Bonds (VGIT) |
+ 6.50%
Gold (GLD) |
|
-3.37%
Gold (GLD) |
-2.04%
Long Term Bonds (VGLT) |
+ 7.37%
Gold (GLD) |
+ 8.75%
Commodities (GSP) |
-6.00%
Total Stock Market (ITOT) |
+ 17.78%
Gold (GLD) |
+ 16.53%
Long Term Bonds (VGLT) |
-2.68%
Intermediate Bonds (VGIT) |
-20.31%
Total Stock Market (ITOT) |
+ 1.86%
Long Term Bonds (VGLT) |
|
-29.99%
Bitcoin (BTC) |
-11.06%
Gold (GLD) |
+ 0.87%
Intermediate Bonds (VGIT) |
+ 7.22%
Long Term Bonds (VGLT) |
-16.83%
Commodities (GSP) |
+ 13.62%
Long Term Bonds (VGLT) |
+ 7.48%
Intermediate Bonds (VGIT) |
-4.91%
Long Term Bonds (VGLT) |
-26.40%
Long Term Bonds (VGLT) |
+ 1.24%
Intermediate Bonds (VGIT) |
|
-31.08%
Commodities (GSP) |
-37.03%
Commodities (GSP) |
+ 0.17%
Long Term Bonds (VGLT) |
+ 1.42%
Intermediate Bonds (VGIT) |
-72.60%
Bitcoin (BTC) |
+ 6.16%
Intermediate Bonds (VGIT) |
-29.36%
Commodities (GSP) |
-6.24%
Gold (GLD) |
-65.30%
Bitcoin (BTC) |
-5.78%
Commodities (GSP) |
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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