Original Portfolio
Through the past 9 years and 8 months of data, this portfolio had a total return of 46.14% . This is equivalent of 4.00% per year. During this period, it had a historical volatility of 7.10% p.a. Resulting in a sharpe-ratio of 0.34 .
+4.00% |
7.10% |
0.34 |
||
| 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 294.49% compared to the original portfolio at 46.14% . 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 1.22 . This is 3.58x 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 |
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HYG | iShares iBoxx $ Hig...d Corporate Bond ETF | 20.00% | 38% | 3.38% | 0.46% | 8.73% | 0.21 | 0.62% | -22.03% | -3.11% | -11.09% | 10.23% | 13.10% | 3.88% | 17.02% | 15.90% | |
| TLT | iShares 20+ Year Treasury Bond ETF | 20.00% | 2% | 0.19% | 0.80% | 15.26% | -0.09 | 1.34% | -48.35% | -15.32% | -41.31% | -6.12% | -16.61% | -28.25% | -39.13% | -18.55% | |
| IEF | iShares 7-10 Year Treasury Bond ETF | 20.00% | 8% | 0.84% | 0.35% | 6.70% | -0.11 | 0.58% | -23.92% | -6.81% | -19.97% | -1.51% | -4.85% | -13.15% | -17.77% | -4.32% | |
| JNK | SPDR Bloomberg High Yield Bond ETF | 20.00% | 35% | 3.17% | 0.46% | 8.71% | 0.18 | 0.61% | -22.89% | -3.52% | -12.55% | 10.65% | 13.38% | 3.46% | 18.24% | 16.08% | |
| VIG | Vanguard Dividend A...reciation Index Fund | 20.00% | 185% | 11.41% | 0.85% | 16.19% | 0.61 | 1.24% | -31.72% | -3.88% | -12.84% | 20.20% | 28.82% | 25.82% | 74.47% | 80.43% | |
| 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 | 46% | 4.00% | 0.37% | 7.10% | 0.34 | 0.57% | -20.63% | -4.09% | -15.15% | 6.46% | 5.92% | -2.92% | 4.79% | 15.54% | |||
| Original Portfolio + ₿ (1.00%) | 1.00% | 63% | 5.19% | 0.38% | 7.17% | 0.50 | 0.57% | -21.12% | -4.05% | -15.50% | 7.61% | 7.25% | -1.80% | 8.62% | 20.26% | ||
| Original Portfolio + ₿ (5.00%) | 5.00% | 147% | 9.80% | 0.44% | 8.42% | 0.98 | 0.67% | -23.99% | -4.75% | -18.23% | 12.29% | 12.63% | 2.70% | 24.76% | 40.28% | ||
| Original Portfolio + ₿ (10.00%) | 10.00% | 294% | 15.23% | 0.59% | 11.19% | 1.22 | 0.87% | -27.60% | -6.17% | -21.34% | 18.26% | 19.42% | 8.30% | 46.77% | 67.86% |
| September, 2014 | May, 2024 | 9 year(s) and 8 month(s) | 3,533 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
|
+ 12.67%
iShares 20+ Year Tre... (TLT) |
+ 37.01%
Bitcoin (BTC) |
+ 121.89%
Bitcoin (BTC) |
+ 1,318.02%
Bitcoin (BTC) |
+ 1.32%
iShares 7-10 Year Tr... (IEF) |
+ 87.16%
Bitcoin (BTC) |
+ 302.79%
Bitcoin (BTC) |
+ 57.64%
Bitcoin (BTC) |
-9.55%
Vanguard Dividend Ap... (VIG) |
+ 154.23%
Bitcoin (BTC) |
+ 50.06%
Bitcoin (BTC) |
|
+ 4.52%
Vanguard Dividend Ap... (VIG) |
+ 0.99%
iShares 7-10 Year Tr... (IEF) |
+ 16.17%
SPDR Bloomberg High ... (JNK) |
+ 22.23%
Vanguard Dividend Ap... (VIG) |
-0.54%
iShares 20+ Year Tre... (TLT) |
+ 30.46%
Vanguard Dividend Ap... (VIG) |
+ 16.83%
iShares 20+ Year Tre... (TLT) |
+ 25.45%
Vanguard Dividend Ap... (VIG) |
-10.77%
iShares iBoxx $ High... (HYG) |
+ 14.35%
Vanguard Dividend Ap... (VIG) |
+ 8.36%
Vanguard Dividend Ap... (VIG) |
|
+ 3.97%
iShares 7-10 Year Tr... (IEF) |
-1.77%
Vanguard Dividend Ap... (VIG) |
+ 14.57%
iShares iBoxx $ High... (HYG) |
+ 7.54%
iShares 20+ Year Tre... (TLT) |
-2.11%
iShares iBoxx $ High... (HYG) |
+ 15.01%
SPDR Bloomberg High ... (JNK) |
+ 14.81%
Vanguard Dividend Ap... (VIG) |
+ 4.26%
SPDR Bloomberg High ... (JNK) |
-11.96%
SPDR Bloomberg High ... (JNK) |
+ 11.85%
SPDR Bloomberg High ... (JNK) |
+ 2.38%
SPDR Bloomberg High ... (JNK) |
|
-1.94%
iShares iBoxx $ High... (HYG) |
-2.87%
iShares 20+ Year Tre... (TLT) |
+ 13.87%
Vanguard Dividend Ap... (VIG) |
+ 6.08%
SPDR Bloomberg High ... (JNK) |
-2.43%
Vanguard Dividend Ap... (VIG) |
+ 14.24%
iShares iBoxx $ High... (HYG) |
+ 9.50%
iShares 7-10 Year Tr... (IEF) |
+ 3.97%
iShares iBoxx $ High... (HYG) |
-13.69%
iShares 7-10 Year Tr... (IEF) |
+ 10.96%
iShares iBoxx $ High... (HYG) |
+ 2.37%
iShares iBoxx $ High... (HYG) |
|
-3.17%
SPDR Bloomberg High ... (JNK) |
-5.02%
iShares iBoxx $ High... (HYG) |
+ 0.88%
iShares 20+ Year Tre... (TLT) |
+ 5.73%
iShares iBoxx $ High... (HYG) |
-3.38%
SPDR Bloomberg High ... (JNK) |
+ 13.52%
iShares 20+ Year Tre... (TLT) |
+ 4.53%
SPDR Bloomberg High ... (JNK) |
-3.35%
iShares 7-10 Year Tr... (IEF) |
-28.03%
iShares 20+ Year Tre... (TLT) |
+ 2.46%
iShares 7-10 Year Tr... (IEF) |
-2.12%
iShares 7-10 Year Tr... (IEF) |
|
-29.99%
Bitcoin (BTC) |
-6.93%
SPDR Bloomberg High ... (JNK) |
+ 0.52%
iShares 7-10 Year Tr... (IEF) |
+ 2.26%
iShares 7-10 Year Tr... (IEF) |
-72.60%
Bitcoin (BTC) |
+ 7.80%
iShares 7-10 Year Tr... (IEF) |
+ 4.03%
iShares iBoxx $ High... (HYG) |
-4.48%
iShares 20+ Year Tre... (TLT) |
-65.30%
Bitcoin (BTC) |
+ 0.26%
iShares 20+ Year Tre... (TLT) |
-6.09%
iShares 20+ Year Tre... (TLT) |
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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