Original Portfolio
Through the past 9 years and 8 months of data, this portfolio had a total return of 115.00% . This is equivalent of 8.24% per year. During this period, it had a historical volatility of 10.99% p.a. Resulting in a sharpe-ratio of 0.61 .
+8.24% |
10.99% |
0.61 |
||
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
quarterly
.
A 10.00% bitcoin allocation resulted in the best return for the period at 443.70% compared to the original portfolio at 115.00% . 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 1.26 . This is 2.08x 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 |
|
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 | 60.00% | 215% | 12.57% | 0.93% | 17.75% | 0.62 | 1.38% | -33.72% | -4.52% | -17.33% | 28.25% | 37.61% | 33.37% | 90.68% | 100.26% | |
BND | Vanguard Total Bond Market ETF | 40.00% | 14% | 1.39% | 0.28% | 5.39% | -0.03 | 0.41% | -18.58% | -4.07% | -14.53% | 2.22% | 0.30% | -8.41% | -9.01% | 0.96% | |
BTC | Bitcoin ₿ | 14,561% | 67.46% | 3.68% | 70.23% | 0.94 | 5.74% | -83.40% | -39.09% | -74.96% | 150.63% | 127.82% | 79.74% | 638.31% | 742.01% | ||
Original Portfolio | 115% | 8.24% | 0.58% | 10.99% | 0.61 | 0.83% | -21.69% | -3.47% | -14.38% | 17.41% | 21.88% | 15.47% | 43.39% | 55.12% | |||
Original Portfolio + ₿ (1.00%) | 1.00% | 138% | 9.40% | 0.58% | 11.03% | 0.71 | 0.83% | -21.92% | -3.54% | -14.76% | 18.55% | 23.21% | 16.56% | 47.91% | 60.68% | ||
Original Portfolio + ₿ (5.00%) | 5.00% | 251% | 13.87% | 0.62% | 11.87% | 1.04 | 0.87% | -23.68% | -4.13% | -17.46% | 23.16% | 28.50% | 20.90% | 66.72% | 83.97% | ||
Original Portfolio + ₿ (10.00%) | 10.00% | 444% | 19.13% | 0.73% | 13.94% | 1.26 | 1.03% | -27.27% | -5.55% | -21.46% | 29.01% | 35.13% | 26.23% | 91.87% | 115.42% |
September, 2014 | May, 2024 | 9 year(s) and 8 month(s) | 3,530 | 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 Dec |
2024
Jan to May |
---|---|---|---|---|---|---|---|---|---|---|
+ 3.43%
SPDR S&P 500 (SPY) |
+ 37.01%
Bitcoin (BTC) |
+ 121.89%
Bitcoin (BTC) |
+ 1,318.02%
Bitcoin (BTC) |
+ 0.40%
Vanguard Total Bond ... (BND) |
+ 87.16%
Bitcoin (BTC) |
+ 302.79%
Bitcoin (BTC) |
+ 57.64%
Bitcoin (BTC) |
-12.06%
Vanguard Total Bond ... (BND) |
+ 154.23%
Bitcoin (BTC) |
+ 51.81%
Bitcoin (BTC) |
+ 2.20%
Vanguard Total Bond ... (BND) |
+ 1.29%
SPDR S&P 500 (SPY) |
+ 14.45%
SPDR S&P 500 (SPY) |
+ 21.65%
SPDR S&P 500 (SPY) |
-5.25%
SPDR S&P 500 (SPY) |
+ 31.09%
SPDR S&P 500 (SPY) |
+ 17.24%
SPDR S&P 500 (SPY) |
+ 30.51%
SPDR S&P 500 (SPY) |
-18.99%
SPDR S&P 500 (SPY) |
+ 26.00%
SPDR S&P 500 (SPY) |
+ 12.37%
SPDR S&P 500 (SPY) |
-29.99%
Bitcoin (BTC) |
+ 0.22%
Vanguard Total Bond ... (BND) |
+ 2.58%
Vanguard Total Bond ... (BND) |
+ 3.69%
Vanguard Total Bond ... (BND) |
-72.60%
Bitcoin (BTC) |
+ 8.61%
Vanguard Total Bond ... (BND) |
+ 7.57%
Vanguard Total Bond ... (BND) |
-1.73%
Vanguard Total Bond ... (BND) |
-65.30%
Bitcoin (BTC) |
+ 4.66%
Vanguard Total Bond ... (BND) |
-0.80%
Vanguard Total Bond ... (BND) |
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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