Nakamoto Portfolio | Portfolio Analytics

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Analytics More Stats

Original Portfolio

Through the past 6 years and of data, this portfolio had a total return of 46.70% . This is equivalent of 6.58% per year. During this period, it had a historical volatility of 24.14% p.a. Resulting in a sharpe-ratio of 0.18 .

+6.58%		24.14%		0.18
Return (annualized)		Volatility (annualized)		Sharpe Ratio "risk free" rate: 2.21%

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 semi-annually .

A 10.00% bitcoin allocation resulted in the best return for the period at 96.97% compared to the original portfolio at 46.70% . 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 0.41 . This is 2.24x 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 = 2.21%	VaR CI = 95%	DrawDown Maximum	DrawDown Average	DrawDown at Risk w/ 95% CI	1yr Return	2yr Return	3yr Return	4yr Return	5yr Return
WPC	W. P. Carey Inc. REIT	14.00%	33%	4.86%	1.57%	29.94%	0.09	1.86%	-52.45%	-12.27%	-31.34%	-5.48%	-14.96%	-2.80%	25.85%	2.14%
FRT	Federal Realty Investment Trust	8.00%	10%	1.66%	1.81%	34.52%	-0.02	2.36%	-52.52%	-17.99%	-43.22%	18.53%	2.11%	2.67%	53.25%	-3.64%
SPG	Simon Property Group, Inc.	8.00%	31%	4.65%	2.32%	44.36%	0.06	2.90%	-75.34%	-24.28%	-63.42%	49.15%	54.58%	43.61%	237.52%	14.98%
UDR	UDR, Inc.	7.00%	35%	5.16%	1.51%	28.88%	0.10	2.27%	-44.44%	-16.02%	-35.97%	1.63%	-7.82%	-5.11%	26.22%	6.67%
CPT	Camden Property Trust	7.00%	50%	7.00%	1.43%	27.38%	0.18	2.09%	-50.22%	-16.84%	-42.56%	4.40%	-17.31%	-4.77%	35.67%	23.21%
ARE	Alexandria Real Estate Equities	7.00%	18%	2.74%	1.52%	29.00%	0.02	2.31%	-56.20%	-16.32%	-46.13%	10.24%	-15.88%	-21.52%	-3.54%	0.10%
BXP	Boston Properties, Inc.	7.00%	-33%	-6.45%	1.88%	36.01%	-0.24	3.00%	-63.59%	-26.14%	-57.07%	34.61%	-32.20%	-33.26%	-4.72%	-39.81%
LAND	Gladstone Land Corporation	5.00%	31%	4.62%	1.70%	32.42%	0.07	2.64%	-68.33%	-23.52%	-65.44%	-9.27%	-37.94%	-40.40%	5.27%	25.23%
REZ	iShares Residential and Multise	5.00%	52%	7.18%	1.29%	24.72%	0.20	1.79%	-44.15%	-13.08%	-29.87%	10.34%	-2.60%	3.16%	47.53%	22.03%
FPI	Farmland Partners Inc.	5.00%	75%	9.70%	2.16%	41.26%	0.18	2.72%	-49.23%	-21.16%	-35.69%	6.13%	-15.01%	-4.17%	83.37%	114.03%
DBA	Invesco DB Agriculture Fund	5.00%	34%	5.04%	0.72%	13.70%	0.21	1.13%	-30.22%	-10.70%	-26.88%	18.32%	10.99%	34.30%	80.44%	55.43%
ESS	Essex Property Trust, Inc.	5.00%	34%	5.02%	1.52%	28.98%	0.10	2.27%	-44.84%	-17.11%	-38.94%	31.44%	2.24%	2.55%	29.99%	11.04%
EQR	Equity Residential	5.00%	34%	4.95%	1.48%	28.24%	0.10	2.19%	-45.90%	-16.55%	-36.01%	13.38%	-1.45%	0.76%	32.65%	6.46%
STAG	Stag Industrial, Inc.	4.00%	83%	10.60%	1.53%	29.26%	0.29	2.04%	-45.08%	-12.06%	-33.10%	9.63%	22.65%	15.45%	71.60%	54.71%
INDS	Pacer Industrial Real Estate ET	4.00%	80%	10.30%	1.28%	24.54%	0.33	1.85%	-40.45%	-12.52%	-33.09%	1.03%	-1.34%	-0.64%	44.07%	48.30%
PLD	Prologis, Inc.	4.00%	100%	12.17%	1.54%	29.47%	0.34	2.32%	-42.06%	-12.31%	-34.92%	-7.71%	-1.56%	2.32%	41.17%	67.21%
BTC	Bitcoin ₿		669%	40.37%	3.46%	66.07%	0.58	5.18%	-76.63%	-36.38%	-70.84%	147.15%	129.62%	64.41%	604.11%	740.43%
	Original Portfolio		47%	6.58%	1.26%	24.14%	0.18	1.80%	-40.86%	-12.34%	-30.03%	11.97%	-3.80%	1.03%	50.51%	25.94%
	Original Portfolio + ₿ (1.00%)	1.00%	51%	7.13%	1.26%	24.00%	0.21	1.79%	-40.85%	-12.19%	-29.73%	13.04%	-2.55%	2.13%	54.73%	30.08%
	Original Portfolio + ₿ (5.00%)	5.00%	71%	9.31%	1.24%	23.72%	0.30	1.75%	-40.81%	-11.72%	-29.40%	17.36%	2.51%	6.53%	72.26%	47.48%
	Original Portfolio + ₿ (10.00%)	10.00%	97%	11.93%	1.25%	23.94%	0.41	1.77%	-40.75%	-11.43%	-29.22%	22.90%	8.97%	11.97%	95.52%	71.16%

May, 2018		May, 2024		6 year(s) and		2,195		SEMI-ANNUALLY		USD
Start Date		End Date		Data Lifespan		# data points		Rebalance Frequency		Base Currency

Portfolio Results from May, 2018 to May, 2024

Asset Results from May, 2018 to May, 2024

Allocation over time from May, 2018 to May, 2024

Ranking of Annual Returns from May, 2018 to May, 2024

2018 May 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
+ 11.66% UDR, Inc. (UDR)	+ 87.16% Bitcoin (BTC)	+ 302.79% Bitcoin (BTC)	+ 142.03% Gladstone Land Corpo... (LAND)	+ 3.91% Farmland Partners In... (FPI)	+ 154.23% Bitcoin (BTC)	+ 51.81% Bitcoin (BTC)
+ 10.07% Simon Property Group... (SPG)	+ 60.48% Prologis, Inc. (PLD)	+ 31.71% Farmland Partners In... (FPI)	+ 101.55% Simon Property Group... (SPG)	+ 1.82% Invesco DB Agricultu... (DBA)	+ 29.53% Simon Property Group... (SPG)	+ 13.53% Invesco DB Agricultu... (DBA)
+ 8.63% Equity Residential (EQR)	+ 49.05% Alexandria Real Esta... (ARE)	+ 19.58% Gladstone Land Corpo... (LAND)	+ 90.07% Camden Property Trus... (CPT)	+ 1.60% W. P. Carey Inc. REI... (WPC)	+ 27.66% Stag Industrial, Inc... (STAG)	+ 9.17% Equity Residential (EQR)
+ 7.63% iShares Residential ... (REZ)	+ 45.76% Pacer Industrial Rea... (INDS)	+ 15.70% Prologis, Inc. (PLD)	+ 78.83% Prologis, Inc. (PLD)	-21.65% Federal Realty Inves... (FRT)	+ 23.28% Essex Property Trust... (ESS)	+ 7.68% Essex Property Trust... (ESS)
+ 4.78% Camden Property Trus... (CPT)	+ 37.22% Farmland Partners In... (FPI)	+ 14.58% Alexandria Real Esta... (ARE)	+ 71.72% Federal Realty Inves... (FRT)	-22.13% Simon Property Group... (SPG)	+ 22.83% Prologis, Inc. (PLD)	+ 7.24% Camden Property Trus... (CPT)
+ 4.76% W. P. Carey Inc. REI... (WPC)	+ 36.76% Stag Industrial, Inc... (STAG)	+ 13.77% Pacer Industrial Rea... (INDS)	+ 68.03% UDR, Inc. (UDR)	-27.88% iShares Residential ... (REZ)	+ 18.63% Pacer Industrial Rea... (INDS)	+ 5.38% Simon Property Group... (SPG)
+ 3.70% Essex Property Trust... (ESS)	+ 31.25% W. P. Carey Inc. REI... (WPC)	+ 5.35% Stag Industrial, Inc... (STAG)	+ 64.14% Stag Industrial, Inc... (STAG)	-28.12% Stag Industrial, Inc... (STAG)	+ 15.67% Boston Properties, I... (BXP)	+ 4.64% UDR, Inc. (UDR)
+ 3.07% Federal Realty Inves... (FRT)	+ 30.62% Equity Residential (EQR)	-1.31% Camden Property Trus... (CPT)	+ 62.21% Equity Residential (EQR)	-29.91% Prologis, Inc. (PLD)	+ 12.86% iShares Residential ... (REZ)	+ 1.80% iShares Residential ... (REZ)
-0.54% Pacer Industrial Rea... (INDS)	+ 30.51% Essex Property Trust... (ESS)	-2.18% Invesco DB Agricultu... (DBA)	+ 59.86% Pacer Industrial Rea... (INDS)	-31.80% Pacer Industrial Rea... (INDS)	+ 10.39% Equity Residential (EQR)	-1.00% Federal Realty Inves... (FRT)
-0.83% Stag Industrial, Inc... (STAG)	+ 30.01% Boston Properties, I... (BXP)	-4.76% W. P. Carey Inc. REI... (WPC)	+ 58.52% Essex Property Trust... (ESS)	-32.40% Alexandria Real Esta... (ARE)	+ 8.56% Invesco DB Agricultu... (DBA)	-2.98% Alexandria Real Esta... (ARE)
-5.96% Boston Properties, I... (BXP)	+ 29.76% Camden Property Trus... (CPT)	-5.30% iShares Residential ... (REZ)	+ 57.64% Bitcoin (BTC)	-33.06% Equity Residential (EQR)	+ 6.32% Federal Realty Inves... (FRT)	-5.51% Gladstone Land Corpo... (LAND)
-6.50% Gladstone Land Corpo... (LAND)	+ 28.26% iShares Residential ... (REZ)	-13.46% UDR, Inc. (UDR)	+ 53.54% iShares Residential ... (REZ)	-33.58% UDR, Inc. (UDR)	+ 4.44% UDR, Inc. (UDR)	-6.87% Stag Industrial, Inc... (STAG)
-7.08% Alexandria Real Esta... (ARE)	+ 25.38% UDR, Inc. (UDR)	-17.38% Essex Property Trust... (ESS)	+ 43.66% Farmland Partners In... (FPI)	-35.47% Camden Property Trus... (CPT)	+ 2.41% Farmland Partners In... (FPI)	-6.90% Farmland Partners In... (FPI)
-7.96% Prologis, Inc. (PLD)	+ 15.85% Gladstone Land Corpo... (LAND)	-22.51% Equity Residential (EQR)	+ 33.68% Alexandria Real Esta... (ARE)	-38.22% Essex Property Trust... (ESS)	-5.61% Camden Property Trus... (CPT)	-7.23% W. P. Carey Inc. REI... (WPC)
-9.17% Invesco DB Agricultu... (DBA)	+ 14.68% Federal Realty Inves... (FRT)	-27.12% Boston Properties, I... (BXP)	+ 31.37% Boston Properties, I... (BXP)	-41.84% Boston Properties, I... (BXP)	-6.28% Alexandria Real Esta... (ARE)	-7.68% Pacer Industrial Rea... (INDS)
-39.15% Farmland Partners In... (FPI)	-0.53% Invesco DB Agricultu... (DBA)	-28.75% Federal Realty Inves... (FRT)	+ 27.54% W. P. Carey Inc. REI... (WPC)	-43.72% Gladstone Land Corpo... (LAND)	-8.60% W. P. Carey Inc. REI... (WPC)	-10.91% Boston Properties, I... (BXP)
-57.06% Bitcoin (BTC)	-5.06% Simon Property Group... (SPG)	-37.00% Simon Property Group... (SPG)	+ 22.59% Invesco DB Agricultu... (DBA)	-65.30% Bitcoin (BTC)	-19.09% Gladstone Land Corpo... (LAND)	-16.56% Prologis, Inc. (PLD)

All Assets from May, 2018 to May, 2024

All Simulations from May, 2018 to May, 2024

Correlation Matrix | Full Period from May, 2018 to May, 2024

All Assets from May, 2018 to May, 2024

Scatter Plot of Returns from May, 2018 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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