Nakamoto Portfolio | Portfolio Analytics

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Analytics More Stats

Original Portfolio

Through the past 9 years and 6 months of data, this portfolio had a total return of 5.58% . This is equivalent of 0.57% per year. During this period, it had a historical volatility of 17.64% p.a. Resulting in a sharpe-ratio of -0.06 .

+0.57%		17.64%		-0.06
Return (annualized)		Volatility (annualized)		Sharpe Ratio "risk free" rate: 1.60%

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 125.00% compared to the original portfolio at 5.58% . 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 0.40 . This is -6.85x 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 = 1.60%	VaR CI = 95%	DrawDown Maximum	DrawDown Average	DrawDown at Risk w/ 95% CI	1yr Return	2yr Return	3yr Return	4yr Return	5yr Return
PDBC	Invesco Optimum Yield Diversifi	20.00%	16%	1.54%	0.95%	18.16%	-0.00	1.54%	-49.52%	-24.32%	-40.79%	8.24%	-13.24%	32.35%	112.07%	55.07%
COMT	iShares GSCI Commodity Dynamic	20.00%	8%	0.82%	1.01%	19.36%	-0.04	1.64%	-51.03%	-24.96%	-42.57%	11.34%	-13.39%	33.16%	93.30%	39.24%
DBC	Invesco DB Commodity Index Trac	20.00%	16%	1.54%	0.94%	18.00%	-0.00	1.53%	-50.83%	-24.65%	-41.49%	8.29%	-13.27%	32.56%	114.48%	56.41%
FTGC	First Trust Global Tactical Com	20.00%	6%	0.58%	0.75%	14.39%	-0.07	1.17%	-51.67%	-25.29%	-40.46%	10.94%	-5.20%	27.48%	99.68%	62.29%
GSG	iShares GSCI Commodity-Indexed	20.00%	-19%	-2.25%	1.19%	22.72%	-0.17	1.91%	-71.09%	-38.14%	-60.63%	15.53%	-10.75%	42.33%	132.28%	34.37%
BTC	Bitcoin ₿		17,876%	72.43%	3.68%	70.26%	1.01	5.73%	-83.40%	-38.83%	-74.98%	127.66%	106.12%	32.50%	556.42%	680.64%
	Original Portfolio		6%	0.57%	0.92%	17.64%	-0.06	1.47%	-54.13%	-27.02%	-44.21%	10.87%	-11.16%	33.68%	110.41%	50.13%
	Original Portfolio + ₿ (1.00%)	1.00%	14%	1.41%	0.92%	17.53%	-0.01	1.47%	-51.42%	-24.87%	-42.27%	11.79%	-10.23%	34.22%	114.70%	54.68%
	Original Portfolio + ₿ (5.00%)	5.00%	56%	4.75%	0.92%	17.50%	0.18	1.45%	-43.91%	-17.53%	-35.61%	15.50%	-6.45%	36.28%	132.22%	73.64%
	Original Portfolio + ₿ (10.00%)	10.00%	125%	8.89%	0.96%	18.31%	0.40	1.59%	-41.88%	-16.05%	-33.99%	20.25%	-1.59%	38.66%	154.87%	99.05%

November, 2014		May, 2024		9 year(s) and 6 month(s)		3,477		QUARTERLY		USD
Start Date		End Date		Data Lifespan		# data points		Rebalance Frequency		Base Currency

Portfolio Results from November, 2014 to May, 2024

Asset Results from November, 2014 to May, 2024

Allocation over time from November, 2014 to May, 2024

Ranking of Annual Returns from November, 2014 to May, 2024

2014 Nov 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
-6.49% Bitcoin (BTC)	+ 37.01% Bitcoin (BTC)	+ 121.89% Bitcoin (BTC)	+ 1,318.02% Bitcoin (BTC)	-7.33% iShares GSCI Commodi... (COMT)	+ 87.16% Bitcoin (BTC)	+ 302.79% Bitcoin (BTC)	+ 57.64% Bitcoin (BTC)	+ 19.79% iShares GSCI Commodi... (GSG)	+ 154.23% Bitcoin (BTC)	+ 39.36% Bitcoin (BTC)
-9.38% First Trust Global T... (FTGC)	-22.33% First Trust Global T... (FTGC)	+ 21.00% iShares GSCI Commodi... (COMT)	+ 13.02% iShares GSCI Commodi... (COMT)	-12.05% Invesco DB Commodity... (DBC)	+ 15.05% iShares GSCI Commodi... (GSG)	+ 1.95% First Trust Global T... (FTGC)	+ 42.19% Invesco Optimum Yiel... (PDBC)	+ 16.04% Invesco DB Commodity... (DBC)	-3.55% iShares GSCI Commodi... (GSG)	+ 11.28% iShares GSCI Commodi... (GSG)
-15.49% Invesco Optimum Yiel... (PDBC)	-26.23% Invesco Optimum Yiel... (PDBC)	+ 18.63% Invesco Optimum Yiel... (PDBC)	+ 6.65% Invesco DB Commodity... (DBC)	-13.09% First Trust Global T... (FTGC)	+ 11.53% Invesco DB Commodity... (DBC)	-7.95% Invesco DB Commodity... (DBC)	+ 42.13% Invesco DB Commodity... (DBC)	+ 15.75% Invesco Optimum Yiel... (PDBC)	-3.73% First Trust Global T... (FTGC)	+ 9.30% iShares GSCI Commodi... (COMT)
-16.06% Invesco DB Commodity... (DBC)	-26.71% Invesco DB Commodity... (DBC)	+ 18.02% Invesco DB Commodity... (DBC)	+ 6.27% Invesco Optimum Yiel... (PDBC)	-13.27% Invesco Optimum Yiel... (PDBC)	+ 11.07% Invesco Optimum Yiel... (PDBC)	-8.29% Invesco Optimum Yiel... (PDBC)	+ 39.79% iShares GSCI Commodi... (GSG)	+ 15.74% iShares GSCI Commodi... (COMT)	-4.64% Invesco Optimum Yiel... (PDBC)	+ 8.75% First Trust Global T... (FTGC)
-17.53% iShares GSCI Commodi... (COMT)	-30.17% iShares GSCI Commodi... (COMT)	+ 9.21% iShares GSCI Commodi... (GSG)	+ 6.16% iShares GSCI Commodi... (GSG)	-14.36% iShares GSCI Commodi... (GSG)	+ 10.20% iShares GSCI Commodi... (COMT)	-19.08% iShares GSCI Commodi... (COMT)	+ 37.03% iShares GSCI Commodi... (COMT)	+ 14.81% First Trust Global T... (FTGC)	-4.68% Invesco DB Commodity... (DBC)	+ 7.20% Invesco Optimum Yiel... (PDBC)
-21.33% iShares GSCI Commodi... (GSG)	-32.94% iShares GSCI Commodi... (GSG)	+ 1.00% First Trust Global T... (FTGC)	+ 3.73% First Trust Global T... (FTGC)	-72.60% Bitcoin (BTC)	+ 6.10% First Trust Global T... (FTGC)	-24.31% iShares GSCI Commodi... (GSG)	+ 27.88% First Trust Global T... (FTGC)	-65.30% Bitcoin (BTC)	-4.95% iShares GSCI Commodi... (COMT)	+ 7.09% Invesco DB Commodity... (DBC)

All Assets from November, 2014 to May, 2024

All Simulations from November, 2014 to May, 2024

Correlation Matrix | Full Period from November, 2014 to May, 2024

All Assets from November, 2014 to May, 2024

Scatter Plot of Returns from November, 2014 to May, 2024

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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