QF-BTC
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BTC-USD Bitcoin | 3.75% | |
GLD SPDR Gold Trust | Precious Metals, Gold | 7.50% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 36.50% |
JPY=X USD/JPY | 3.50% | |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds | 15% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 30% |
XLE Energy Select Sector SPDR Fund | Energy Equities | 3.75% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in QF-BTC, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Jul 17, 2010, corresponding to the inception date of BTC-USD
Returns By Period
As of Nov 14, 2024, the QF-BTC returned 14.45% Year-To-Date and 9.77% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.72% | 2.30% | 12.31% | 32.12% | 13.81% | 11.31% |
| QF-BTC | 14.22% | 1.00% | 7.21% | 20.04% | 9.56% | 9.75% |
| Portfolio components: | ||||||
IEF iShares 7-10 Year Treasury Bond ETF | -0.38% | -2.72% | 1.69% | 5.22% | -1.52% | 0.79% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.32% | -0.25% | 2.75% | 5.04% | 1.18% | 1.18% |
GLD SPDR Gold Trust | 23.98% | -3.62% | 7.72% | 30.48% | 11.38% | 7.59% |
SPY SPDR S&P 500 ETF | 26.83% | 3.00% | 13.67% | 34.60% | 15.64% | 13.30% |
XLE Energy Select Sector SPDR Fund | 15.50% | 5.27% | 2.57% | 15.56% | 14.89% | 5.00% |
BTC-USD Bitcoin | 106.44% | 30.14% | 33.75% | 130.33% | 59.09% | 71.87% |
JPY=X USD/JPY | -0.09% | 0.11% | 0.62% | 0.17% | 0.00% | -0.02% |
Monthly Returns
The table below presents the monthly returns of QF-BTC, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.44% | 2.59% | 3.14% | -2.82% | 2.80% | 1.25% | 2.23% | 1.03% | 1.85% | -0.86% | 14.22% | ||
| 2023 | 5.36% | -2.73% | 4.43% | 1.09% | -1.16% | 1.94% | 1.11% | -1.10% | -2.74% | 0.11% | 5.09% | 3.57% | 15.50% |
| 2022 | -2.50% | 0.14% | 0.13% | -5.08% | 0.27% | -4.72% | 4.70% | -3.46% | -5.45% | 2.86% | 3.14% | -2.37% | -12.25% |
| 2021 | -0.26% | 1.93% | 2.35% | 2.22% | -0.13% | 0.44% | 2.04% | 1.25% | -2.32% | 3.95% | -0.52% | 0.64% | 12.06% |
| 2020 | 2.36% | -2.01% | -3.96% | 6.92% | 2.34% | 0.52% | 3.63% | 1.85% | -2.27% | -0.41% | 5.96% | 4.78% | 20.86% |
| 2019 | 3.07% | 1.27% | 1.79% | 2.17% | 1.82% | 5.96% | 0.16% | 1.19% | -0.39% | 1.31% | -0.11% | 0.88% | 20.70% |
| 2018 | 0.11% | -2.03% | -1.29% | 1.20% | 0.21% | -0.58% | 1.63% | 0.68% | -0.46% | -2.58% | -0.30% | -1.62% | -5.02% |
| 2017 | 0.94% | 2.44% | -0.42% | 1.76% | 3.93% | 0.63% | 1.65% | 3.40% | -0.45% | 2.45% | 4.18% | 3.41% | 26.55% |
| 2016 | -0.41% | 1.93% | 1.96% | 1.07% | 0.66% | 3.26% | 0.99% | -0.82% | 0.49% | -0.86% | -0.51% | 1.94% | 10.03% |
| 2015 | -0.01% | 0.79% | -0.48% | 0.20% | 0.00% | -0.96% | 0.77% | -2.51% | -0.39% | 4.18% | 0.38% | -0.38% | 1.46% |
| 2014 | 0.49% | 0.73% | -0.60% | 0.66% | 2.64% | 1.28% | -1.25% | 1.33% | -2.09% | 0.47% | 1.37% | -0.50% | 4.53% |
| 2013 | 3.12% | 3.47% | 17.05% | 2.48% | -1.15% | -3.46% | 2.56% | 0.06% | 1.27% | 3.76% | 24.63% | -8.01% | 50.99% |
Expense Ratio
QF-BTC has an expense ratio of 0.14%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of QF-BTC is 28, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
IEF iShares 7-10 Year Treasury Bond ETF | 0.07 | 0.14 | 1.02 | 0.00 | 0.22 |
SHY iShares 1-3 Year Treasury Bond ETF | 2.47 | 3.92 | 1.50 | 0.65 | 12.81 |
GLD SPDR Gold Trust | 1.67 | 2.25 | 1.29 | 1.01 | 10.67 |
SPY SPDR S&P 500 ETF | 2.10 | 2.82 | 1.39 | 0.98 | 12.43 |
XLE Energy Select Sector SPDR Fund | 0.80 | 1.16 | 1.15 | 0.26 | 2.21 |
BTC-USD Bitcoin | 0.79 | 1.46 | 1.14 | 0.60 | 3.23 |
JPY=X USD/JPY | 0.01 | 0.07 | 1.01 | 0.00 | 0.11 |
Dividends
Dividend yield
QF-BTC provided a 2.33% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.33% | 2.06% | 1.54% | 0.86% | 1.20% | 1.82% | 1.82% | 1.46% | 1.46% | 1.52% | 1.45% | 1.30% |
| Portfolio components: | ||||||||||||
IEF iShares 7-10 Year Treasury Bond ETF | 3.51% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% | 1.77% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.86% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.72% | 0.54% | 0.36% | 0.26% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
XLE Energy Select Sector SPDR Fund | 3.15% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% | 1.73% |
BTC-USD Bitcoin | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JPY=X USD/JPY | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the QF-BTC. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the QF-BTC was 29.91%, occurring on Jun 12, 2011. Recovery took 649 trading sessions.
The current QF-BTC drawdown is 0.34%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -29.91% | Jun 10, 2011 | 3 | Jun 12, 2011 | 649 | Mar 22, 2013 | 652 |
| -16.96% | Nov 10, 2021 | 322 | Sep 27, 2022 | 456 | Dec 27, 2023 | 778 |
| -13.22% | Nov 30, 2013 | 19 | Dec 18, 2013 | 819 | Mar 16, 2016 | 838 |
| -12.48% | Feb 24, 2020 | 24 | Mar 18, 2020 | 61 | May 18, 2020 | 85 |
| -11.21% | Dec 17, 2017 | 374 | Dec 25, 2018 | 140 | May 14, 2019 | 514 |
Volatility
Volatility Chart
The current QF-BTC volatility is 1.75%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| BTC-USD | JPY=X | GLD | SPY | XLE | SHY | IEF | |
|---|---|---|---|---|---|---|---|
| BTC-USD | 1.00 | -0.00 | 0.05 | 0.10 | 0.03 | 0.00 | -0.00 |
| JPY=X | -0.00 | 1.00 | -0.05 | 0.02 | 0.02 | -0.05 | -0.06 |
| GLD | 0.05 | -0.05 | 1.00 | 0.03 | 0.09 | 0.32 | 0.29 |
| SPY | 0.10 | 0.02 | 0.03 | 1.00 | 0.56 | -0.13 | -0.24 |
| XLE | 0.03 | 0.02 | 0.09 | 0.56 | 1.00 | -0.17 | -0.27 |
| SHY | 0.00 | -0.05 | 0.32 | -0.13 | -0.17 | 1.00 | 0.72 |
| IEF | -0.00 | -0.06 | 0.29 | -0.24 | -0.27 | 0.72 | 1.00 |