Nakamoto Portfolio | Portfolio Analytics

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Analytics More Stats

Original Portfolio

Through the past 9 years and 7 months of data, this portfolio had a total return of 99.89% . This is equivalent of 7.43% per year. During this period, it had a historical volatility of 13.52% p.a. Resulting in a sharpe-ratio of 0.43 .

+7.43%		13.52%		0.43
Return (annualized)		Volatility (annualized)		Sharpe Ratio "risk free" rate: 1.57%

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 376.98% compared to the original portfolio at 99.89% . 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 2.13x 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 = 1.57%	VaR CI = 95%	DrawDown Maximum	DrawDown Average	DrawDown at Risk w/ 95% CI	1yr Return	2yr Return	3yr Return	4yr Return	5yr Return
SPY	SPDR S&P 500	6.67%	214%	12.56%	0.93%	17.75%	0.62	1.38%	-33.72%	-4.52%	-17.33%	29.17%	33.58%	32.99%	90.33%	100.44%
TLT	iShares 20+ Year Treasury Bond	6.67%	3%	0.29%	0.80%	15.26%	-0.08	1.34%	-48.35%	-15.29%	-41.24%	-6.90%	-14.25%	-27.08%	-37.96%	-18.05%
QQQ	Invesco QQQ Trust	6.67%	355%	16.95%	1.14%	21.83%	0.70	1.79%	-35.62%	-6.55%	-27.96%	36.50%	47.62%	39.32%	98.73%	146.93%
SLV	iShares Silver Trust	6.67%	51%	4.34%	1.38%	26.32%	0.10	2.08%	-42.81%	-18.46%	-31.17%	24.01%	35.84%	3.32%	71.37%	100.15%
HYG	iShares iBoxx $ High Yield Corp	6.67%	38%	3.38%	0.46%	8.74%	0.21	0.62%	-22.03%	-3.11%	-11.09%	10.83%	13.22%	3.88%	18.30%	16.08%
KBE	SPDR S&P Bank ETF	6.67%	81%	6.31%	1.54%	29.37%	0.16	2.27%	-53.14%	-13.81%	-37.46%	41.68%	7.09%	-6.26%	83.97%	27.42%
GLD	SPDR Gold Trust	6.67%	85%	6.58%	0.74%	14.14%	0.35	1.19%	-22.00%	-8.04%	-16.80%	19.43%	29.94%	25.95%	35.24%	82.37%
GSG	iShares GSCI Commodity-Indexed	6.67%	-27%	-3.22%	1.18%	22.63%	-0.21	1.91%	-73.82%	-43.42%	-64.31%	14.15%	-9.32%	42.91%	133.23%	35.99%
VEA	Vanguard FTSE Developed Markets	6.67%	64%	5.25%	0.91%	17.42%	0.21	1.39%	-35.74%	-8.23%	-20.46%	14.10%	22.41%	8.91%	58.25%	45.66%
VEU	Vanguard FTSE All World Ex US E	6.67%	55%	4.67%	0.91%	17.39%	0.18	1.36%	-34.98%	-9.11%	-21.19%	14.70%	20.72%	5.84%	52.52%	41.82%
VO	Vanguard Mid-Cap ETF	6.67%	141%	9.53%	1.00%	19.11%	0.42	1.50%	-39.37%	-6.52%	-20.71%	22.54%	19.62%	13.26%	71.69%	65.58%
IEV	iShares Europe ETF	6.67%	60%	5.00%	0.99%	18.94%	0.18	1.47%	-36.62%	-8.63%	-21.38%	15.59%	29.99%	16.21%	70.98%	51.87%
ACWI	iShares MSCI ACWI ETF	6.67%	124%	8.71%	0.90%	17.17%	0.42	1.35%	-33.53%	-5.88%	-18.24%	23.44%	28.04%	19.40%	71.39%	70.90%
VTI	Vanguard Total Stock Market ETF	6.67%	200%	12.05%	0.95%	18.12%	0.58	1.43%	-35.00%	-4.99%	-18.71%	29.02%	32.50%	27.41%	87.39%	94.00%
VNQ	Vanguard Real Estate ETF	6.67%	69%	5.58%	1.09%	20.92%	0.19	1.60%	-42.40%	-10.22%	-26.80%	9.38%	-5.39%	-2.39%	35.40%	16.41%
BTC	Bitcoin ₿		14,390%	67.28%	3.68%	70.24%	0.94	5.74%	-83.40%	-39.10%	-74.96%	141.86%	117.80%	52.21%	585.24%	802.35%
	Original Portfolio		100%	7.43%	0.71%	13.52%	0.43	1.04%	-29.63%	-4.81%	-15.32%	19.81%	19.39%	14.48%	64.35%	62.98%
	Original Portfolio + ₿ (1.00%)	1.00%	120%	8.50%	0.71%	13.55%	0.51	1.05%	-29.66%	-4.98%	-15.83%	21.24%	20.88%	15.57%	71.23%	71.18%
	Original Portfolio + ₿ (5.00%)	5.00%	217%	12.66%	0.77%	14.66%	0.76	1.13%	-29.80%	-6.58%	-19.33%	26.90%	26.78%	19.77%	99.12%	105.25%
	Original Portfolio + ₿ (10.00%)	10.00%	377%	17.54%	0.91%	17.34%	0.92	1.27%	-33.74%	-9.47%	-25.42%	33.71%	33.85%	24.56%	134.31%	150.06%

September, 2014		May, 2024		9 year(s) and 7 month(s)		3,529		SEMI-ANNUALLY		USD
Start Date		End Date		Data Lifespan		# data points		Rebalance Frequency		Base Currency

Portfolio Results from September, 2014 to May, 2024

Asset Results from September, 2014 to May, 2024

Allocation over time from September, 2014 to May, 2024

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

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
+ 12.67% iShares 20+ Year Tre... (TLT)	+ 37.01% Bitcoin (BTC)	+ 121.89% Bitcoin (BTC)	+ 1,318.02% Bitcoin (BTC)	-0.54% iShares 20+ Year Tre... (TLT)	+ 87.16% Bitcoin (BTC)	+ 302.79% Bitcoin (BTC)	+ 57.64% Bitcoin (BTC)	+ 19.79% iShares GSCI Commodi... (GSG)	+ 154.23% Bitcoin (BTC)	+ 50.04% Bitcoin (BTC)
+ 11.68% Vanguard Real Estate... (VNQ)	+ 8.67% Invesco QQQ Trust (QQQ)	+ 34.47% SPDR S&P Bank ETF (KBE)	+ 32.58% Invesco QQQ Trust (QQQ)	-2.11% iShares iBoxx $ High... (HYG)	+ 37.27% Invesco QQQ Trust (QQQ)	+ 46.16% iShares Silver Trust (SLV)	+ 45.26% Vanguard Real Estate... (VNQ)	+ 4.11% iShares Silver Trust (SLV)	+ 52.22% Invesco QQQ Trust (QQQ)	+ 24.99% iShares Silver Trust (SLV)
+ 4.16% Vanguard Mid-Cap ETF (VO)	+ 3.29% SPDR S&P Bank ETF (KBE)	+ 17.06% iShares Silver Trust (SLV)	+ 27.85% Vanguard FTSE All Wo... (VEU)	-2.67% Invesco QQQ Trust (QQQ)	+ 31.77% Vanguard Real Estate... (VNQ)	+ 45.14% Invesco QQQ Trust (QQQ)	+ 39.79% iShares GSCI Commodi... (GSG)	+ 1.62% SPDR Gold Trust (GLD)	+ 26.00% SPDR S&P 500 (SPY)	+ 15.37% SPDR Gold Trust (GLD)
+ 3.74% Invesco QQQ Trust (QQQ)	+ 1.29% SPDR S&P 500 (SPY)	+ 15.40% Vanguard Total Stock... (VTI)	+ 26.72% Vanguard FTSE Develo... (VEA)	-3.12% SPDR Gold Trust (GLD)	+ 31.37% Vanguard Mid-Cap ETF (VO)	+ 23.90% SPDR Gold Trust (GLD)	+ 34.79% SPDR S&P Bank ETF (KBE)	-10.77% iShares iBoxx $ High... (HYG)	+ 25.72% Vanguard Total Stock... (VTI)	+ 12.27% Invesco QQQ Trust (QQQ)
+ 3.43% SPDR S&P 500 (SPY)	+ 0.91% Vanguard Real Estate... (VNQ)	+ 14.57% iShares iBoxx $ High... (HYG)	+ 25.39% iShares Europe ETF (IEV)	-5.25% SPDR S&P 500 (SPY)	+ 31.09% SPDR S&P 500 (SPY)	+ 20.08% Vanguard Total Stock... (VTI)	+ 30.51% SPDR S&P 500 (SPY)	-13.75% iShares Europe ETF (IEV)	+ 21.20% iShares MSCI ACWI ET... (ACWI)	+ 12.20% SPDR S&P 500 (SPY)
+ 3.28% Vanguard Total Stock... (VTI)	+ 0.43% Vanguard Total Stock... (VTI)	+ 14.45% SPDR S&P 500 (SPY)	+ 24.54% iShares MSCI ACWI ET... (ACWI)	-5.67% Vanguard Real Estate... (VNQ)	+ 30.57% Vanguard Total Stock... (VTI)	+ 17.68% Vanguard Mid-Cap ETF (VO)	+ 28.63% Invesco QQQ Trust (QQQ)	-15.39% Vanguard FTSE Develo... (VEA)	+ 17.04% iShares Europe ETF (IEV)	+ 11.74% iShares GSCI Commodi... (GSG)
+ 2.09% SPDR S&P Bank ETF (KBE)	+ 0.13% Vanguard FTSE Develo... (VEA)	+ 13.65% Vanguard Mid-Cap ETF (VO)	+ 21.65% SPDR S&P 500 (SPY)	-5.90% Vanguard Total Stock... (VTI)	+ 27.89% SPDR S&P Bank ETF (KBE)	+ 17.24% SPDR S&P 500 (SPY)	+ 27.50% Vanguard Total Stock... (VTI)	-15.52% Vanguard FTSE All Wo... (VEU)	+ 15.99% Vanguard FTSE Develo... (VEA)	+ 11.55% Vanguard Total Stock... (VTI)
-1.94% iShares iBoxx $ High... (HYG)	-1.36% Vanguard Mid-Cap ETF (VO)	+ 11.21% iShares MSCI ACWI ET... (ACWI)	+ 21.15% Vanguard Total Stock... (VTI)	-9.84% Vanguard Mid-Cap ETF (VO)	+ 26.63% iShares MSCI ACWI ET... (ACWI)	+ 16.83% iShares 20+ Year Tre... (TLT)	+ 26.56% Vanguard Mid-Cap ETF (VO)	-16.82% SPDR S&P Bank ETF (KBE)	+ 15.91% Vanguard Mid-Cap ETF (VO)	+ 10.90% iShares MSCI ACWI ET... (ACWI)
-2.07% iShares MSCI ACWI ET... (ACWI)	-1.97% iShares MSCI ACWI ET... (ACWI)	+ 10.26% Vanguard Real Estate... (VNQ)	+ 19.10% Vanguard Mid-Cap ETF (VO)	-9.97% iShares MSCI ACWI ET... (ACWI)	+ 24.70% iShares Europe ETF (IEV)	+ 15.15% iShares MSCI ACWI ET... (ACWI)	+ 19.32% iShares MSCI ACWI ET... (ACWI)	-18.67% Vanguard Mid-Cap ETF (VO)	+ 13.73% Vanguard FTSE All Wo... (VEU)	+ 10.49% iShares Europe ETF (IEV)
-3.37% SPDR Gold Trust (GLD)	-2.81% iShares Europe ETF (IEV)	+ 9.21% iShares GSCI Commodi... (GSG)	+ 13.29% SPDR Gold Trust (GLD)	-10.43% iShares Silver Trust (SLV)	+ 22.79% Vanguard FTSE Develo... (VEA)	+ 9.69% Vanguard FTSE All Wo... (VEU)	+ 15.50% iShares Europe ETF (IEV)	-18.80% iShares MSCI ACWI ET... (ACWI)	+ 12.70% Vanguard Real Estate... (VNQ)	+ 8.87% Vanguard FTSE All Wo... (VEU)
-6.48% Vanguard FTSE Develo... (VEA)	-2.87% iShares 20+ Year Tre... (TLT)	+ 9.17% Invesco QQQ Trust (QQQ)	+ 10.29% SPDR S&P Bank ETF (KBE)	-14.36% iShares GSCI Commodi... (GSG)	+ 21.96% Vanguard FTSE All Wo... (VEU)	+ 8.82% Vanguard FTSE Develo... (VEA)	+ 11.03% Vanguard FTSE Develo... (VEA)	-18.99% SPDR S&P 500 (SPY)	+ 11.49% SPDR Gold Trust (GLD)	+ 8.12% Vanguard FTSE Develo... (VEA)
-7.07% Vanguard FTSE All Wo... (VEU)	-4.41% Vanguard FTSE All Wo... (VEU)	+ 7.47% Vanguard FTSE All Wo... (VEU)	+ 7.54% iShares 20+ Year Tre... (TLT)	-15.10% Vanguard FTSE All Wo... (VEU)	+ 17.78% SPDR Gold Trust (GLD)	+ 4.03% iShares iBoxx $ High... (HYG)	+ 7.73% Vanguard FTSE All Wo... (VEU)	-20.36% Vanguard Total Stock... (VTI)	+ 10.96% iShares iBoxx $ High... (HYG)	+ 7.74% Vanguard Mid-Cap ETF (VO)
-7.67% iShares Europe ETF (IEV)	-5.02% iShares iBoxx $ High... (HYG)	+ 7.37% SPDR Gold Trust (GLD)	+ 6.16% iShares GSCI Commodi... (GSG)	-15.25% iShares Europe ETF (IEV)	+ 15.05% iShares GSCI Commodi... (GSG)	+ 3.26% iShares Europe ETF (IEV)	+ 3.97% iShares iBoxx $ High... (HYG)	-25.60% Vanguard Real Estate... (VNQ)	+ 6.14% SPDR S&P Bank ETF (KBE)	+ 4.02% SPDR S&P Bank ETF (KBE)
-15.25% iShares Silver Trust (SLV)	-11.06% SPDR Gold Trust (GLD)	+ 4.85% Vanguard FTSE Develo... (VEA)	+ 5.73% iShares iBoxx $ High... (HYG)	-15.48% Vanguard FTSE Develo... (VEA)	+ 14.56% iShares Silver Trust (SLV)	-3.48% Vanguard Real Estate... (VNQ)	-4.48% iShares 20+ Year Tre... (TLT)	-28.03% iShares 20+ Year Tre... (TLT)	+ 0.26% iShares 20+ Year Tre... (TLT)	+ 2.31% iShares iBoxx $ High... (HYG)
-28.76% iShares GSCI Commodi... (GSG)	-12.71% iShares Silver Trust (SLV)	+ 1.52% iShares Europe ETF (IEV)	+ 4.99% iShares Silver Trust (SLV)	-19.86% SPDR S&P Bank ETF (KBE)	+ 14.24% iShares iBoxx $ High... (HYG)	-8.94% SPDR S&P Bank ETF (KBE)	-6.24% SPDR Gold Trust (GLD)	-34.16% Invesco QQQ Trust (QQQ)	-1.81% iShares Silver Trust (SLV)	-3.92% Vanguard Real Estate... (VNQ)
-29.99% Bitcoin (BTC)	-32.94% iShares GSCI Commodi... (GSG)	+ 0.88% iShares 20+ Year Tre... (TLT)	+ 4.17% Vanguard Real Estate... (VNQ)	-72.60% Bitcoin (BTC)	+ 13.52% iShares 20+ Year Tre... (TLT)	-24.31% iShares GSCI Commodi... (GSG)	-15.15% iShares Silver Trust (SLV)	-65.30% Bitcoin (BTC)	-3.55% iShares GSCI Commodi... (GSG)	-5.17% iShares 20+ Year Tre... (TLT)

All Assets from September, 2014 to May, 2024

All Simulations from September, 2014 to May, 2024

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

All Assets from September, 2014 to May, 2024

Scatter Plot of Returns from September, 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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