Original Portfolio
Through the past 14 years and 11 months of data, this portfolio had a total return of 186.58% . This is equivalent of 7.28% per year. During this period, it had a historical volatility of 10.38% p.a. Resulting in a sharpe-ratio of 0.57 .
+7.28% |
10.38% |
0.57 |
||
| Return (annualized) | Volatility (annualized) |
Sharpe Ratio
"risk free" rate: 1.39% |
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 5,425.72% compared to the original portfolio at 186.58% . 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 1.18 . 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 = 1.39% |
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% | 487% | 12.52% | 0.90% | 17.29% | 0.64 | 1.38% | -34.10% | -4.24% | -16.65% | 12.46% | 41.44% | 62.88% | 43.18% | 98.77% | |
| BND | Vanguard Total Bond Market ETF | 40.00% | -10% | -0.73% | 0.26% | 4.97% | -0.43 | 0.40% | -23.96% | -6.79% | -19.73% | 0.43% | 1.67% | -2.79% | -15.17% | -17.48% | |
| BTC | Bitcoin ₿ | 224,596,911% | 165.20% | 7.02% | 134.21% | 1.22 | 6.33% | -93.07% | -45.85% | -81.88% | 93.90% | 263.08% | 457.54% | 224.67% | 1,103.82% | ||
| Original Portfolio | 187% | 7.28% | 0.54% | 10.38% | 0.57 | 0.82% | -21.96% | -3.23% | -14.25% | 8.12% | 24.92% | 33.75% | 17.50% | 42.10% | |||
| Original Portfolio + ₿ (1.00%) | 1.00% | 307% | 9.81% | 0.58% | 11.07% | 0.76 | 0.82% | -22.40% | -4.06% | -15.52% | 8.89% | 26.58% | 36.06% | 19.64% | 48.00% | ||
| Original Portfolio + ₿ (5.00%) | 5.00% | 1,334% | 19.44% | 0.92% | 17.66% | 1.02 | 0.95% | -39.56% | -8.42% | -29.07% | 11.95% | 33.36% | 45.61% | 28.34% | 73.13% | ||
| Original Portfolio + ₿ (10.00%) | 10.00% | 5,426% | 30.68% | 1.30% | 24.90% | 1.18 | 1.18% | -49.35% | -12.45% | -38.42% | 15.83% | 42.15% | 58.24% | 39.55% | 107.99% |
| July, 2010 | July, 2025 | 14 year(s) and 11 month(s) | 5,472 | QUARTERLY | USD | ||||||
| Start Date | End Date | Data Lifespan | # data points | Rebalance Frequency | Base Currency |
|
2010
Jul to Dec |
2011
Jan to Dec |
2012
Jan to Dec |
2013
Jan to Dec |
2014
Jan 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 Dec |
2025
Jan to Jul |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
+ 505.94%
Bitcoin (BTC) |
+ 1,474.00%
Bitcoin (BTC) |
+ 156.45%
Bitcoin (BTC) |
+ 5,959.70%
Bitcoin (BTC) |
+ 12.37%
SPDR S&P 500 (SPY) |
+ 36.54%
Bitcoin (BTC) |
+ 121.98%
Bitcoin (BTC) |
+ 1,291.38%
Bitcoin (BTC) |
-2.62%
Vanguard Total Bond ... (BND) |
+ 85.14%
Bitcoin (BTC) |
+ 302.96%
Bitcoin (BTC) |
+ 57.19%
Bitcoin (BTC) |
-14.21%
Vanguard Total Bond ... (BND) |
+ 154.49%
Bitcoin (BTC) |
+ 111.31%
Bitcoin (BTC) |
+ 17.80%
Bitcoin (BTC) |
|
+ 17.21%
SPDR S&P 500 (SPY) |
+ 3.88%
Vanguard Total Bond ... (BND) |
+ 11.69%
SPDR S&P 500 (SPY) |
+ 26.45%
SPDR S&P 500 (SPY) |
+ 2.81%
Vanguard Total Bond ... (BND) |
-0.76%
SPDR S&P 500 (SPY) |
+ 12.05%
SPDR S&P 500 (SPY) |
+ 19.33%
SPDR S&P 500 (SPY) |
-7.01%
SPDR S&P 500 (SPY) |
+ 28.65%
SPDR S&P 500 (SPY) |
+ 15.09%
SPDR S&P 500 (SPY) |
+ 28.79%
SPDR S&P 500 (SPY) |
-20.28%
SPDR S&P 500 (SPY) |
+ 24.11%
SPDR S&P 500 (SPY) |
+ 24.00%
SPDR S&P 500 (SPY) |
+ 7.04%
SPDR S&P 500 (SPY) |
|
-1.45%
Vanguard Total Bond ... (BND) |
+ 0.35%
SPDR S&P 500 (SPY) |
+ 0.90%
Vanguard Total Bond ... (BND) |
-4.59%
Vanguard Total Bond ... (BND) |
-61.00%
Bitcoin (BTC) |
-2.29%
Vanguard Total Bond ... (BND) |
+ 0.10%
Vanguard Total Bond ... (BND) |
+ 0.67%
Vanguard Total Bond ... (BND) |
-72.13%
Bitcoin (BTC) |
+ 5.66%
Vanguard Total Bond ... (BND) |
+ 5.03%
Vanguard Total Bond ... (BND) |
-3.77%
Vanguard Total Bond ... (BND) |
-65.37%
Bitcoin (BTC) |
+ 1.41%
Vanguard Total Bond ... (BND) |
-1.82%
Vanguard Total Bond ... (BND) |
+ 1.61%
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
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