PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Graham's Bitcoin Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VGLT 15%BTC-USD 15%^GSPC 70%BondBondCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500

70%

BTC-USD
Bitcoin

15%

VGLT
Vanguard Long-Term Treasury ETF
Government Bonds

15%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Graham's Bitcoin Portfolio, 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


0.00%5,000.00%10,000.00%15,000.00%20,000.00%25,000.00%30,000.00%35,000.00%FebruaryMarchAprilMayJuneJuly
32,779.46%
416.96%
416.96%
Graham's Bitcoin Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 17, 2010, corresponding to the inception date of BTC-USD

Returns By Period

As of Jul 22, 2024, the Graham's Bitcoin Portfolio returned 19.71% Year-To-Date and 22.27% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Graham's Bitcoin Portfolio19.71%1.18%19.56%31.76%19.67%22.27%
^GSPC
S&P 500
15.41%0.74%13.74%21.35%12.88%10.73%
VGLT
Vanguard Long-Term Treasury ETF
-3.23%-0.53%1.09%-3.59%-3.81%0.66%
BTC-USD
Bitcoin
57.84%4.08%60.57%124.07%46.49%60.17%

Monthly Returns

The table below presents the monthly returns of Graham's Bitcoin Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.96%9.86%5.31%-6.08%5.41%1.71%19.71%
202311.35%-2.42%7.42%1.52%-1.30%6.32%1.24%-3.26%-4.08%2.01%8.92%6.39%38.08%
2022-6.76%-0.87%2.59%-10.08%-2.44%-10.84%9.44%-5.85%-8.22%5.62%2.30%-5.11%-28.09%
20210.80%7.17%8.76%3.78%-4.65%1.59%4.93%4.16%-5.05%11.40%-1.61%-0.85%33.19%
20205.39%-6.09%-11.54%14.21%4.52%0.79%7.95%4.64%-3.93%1.73%15.42%13.14%51.86%
20194.50%3.46%3.07%6.91%7.41%13.34%0.04%-0.23%-0.84%2.97%-0.63%0.95%48.23%
2018-1.09%-3.10%-5.56%4.81%-1.91%-1.82%5.60%0.53%-0.98%-5.74%-4.28%-6.68%-19.14%
20171.44%6.08%-1.69%4.88%14.04%3.10%3.61%10.96%-1.26%9.16%14.27%10.10%103.38%
2016-4.92%2.74%3.69%1.28%4.12%5.56%1.67%-1.35%0.51%0.25%2.35%6.43%24.12%
2015-5.82%4.86%-1.55%-0.33%0.04%-0.02%3.23%-7.48%-1.15%10.68%3.49%1.60%6.50%
2014-0.08%-2.57%-1.32%0.41%7.58%1.55%-2.29%0.55%-3.54%0.08%3.71%-1.95%1.64%
201310.06%12.18%56.10%9.58%-1.02%-6.41%4.68%2.11%1.81%11.11%93.33%-18.47%272.88%

Expense Ratio

Graham's Bitcoin Portfolio has an expense ratio of 0.01%, 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.


Expense ratio chart for VGLT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Graham's Bitcoin Portfolio is 86, placing it in the top 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Graham's Bitcoin Portfolio is 8686
Graham's Bitcoin Portfolio
The Sharpe Ratio Rank of Graham's Bitcoin Portfolio is 9797Sharpe Ratio Rank
The Sortino Ratio Rank of Graham's Bitcoin Portfolio is 9797Sortino Ratio Rank
The Omega Ratio Rank of Graham's Bitcoin Portfolio is 9696Omega Ratio Rank
The Calmar Ratio Rank of Graham's Bitcoin Portfolio is 4343Calmar Ratio Rank
The Martin Ratio Rank of Graham's Bitcoin Portfolio is 9696Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Graham's Bitcoin Portfolio
Sharpe ratio
The chart of Sharpe ratio for Graham's Bitcoin Portfolio, currently valued at 3.76, compared to the broader market-1.000.001.002.003.004.003.76
Sortino ratio
The chart of Sortino ratio for Graham's Bitcoin Portfolio, currently valued at 5.11, compared to the broader market-2.000.002.004.006.005.11
Omega ratio
The chart of Omega ratio for Graham's Bitcoin Portfolio, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.801.58
Calmar ratio
The chart of Calmar ratio for Graham's Bitcoin Portfolio, currently valued at 1.23, compared to the broader market0.002.004.006.008.0010.001.23
Martin ratio
The chart of Martin ratio for Graham's Bitcoin Portfolio, currently valued at 25.58, compared to the broader market0.0010.0020.0030.0040.0025.58
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.61, compared to the broader market-1.000.001.002.003.004.003.61
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 5.09, compared to the broader market-2.000.002.004.006.005.09
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.68, compared to the broader market0.801.001.201.401.601.801.68
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.002.004.006.008.0010.001.64
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 28.88, compared to the broader market0.0010.0020.0030.0040.0028.88

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
^GSPC
S&P 500
3.615.091.681.6428.88
VGLT
Vanguard Long-Term Treasury ETF
0.931.391.160.072.30
BTC-USD
Bitcoin
2.482.931.311.4914.11

Sharpe Ratio

The current Graham's Bitcoin Portfolio Sharpe ratio is 3.76. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.05, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Graham's Bitcoin Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.002.003.004.005.00FebruaryMarchAprilMayJuneJuly
3.76
3.61
3.61
Graham's Bitcoin Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Graham's Bitcoin Portfolio granted a 0.57% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Graham's Bitcoin Portfolio0.57%0.50%0.43%0.27%0.32%0.37%0.41%0.38%0.40%0.48%0.41%0.48%
^GSPC
S&P 500
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGLT
Vanguard Long-Term Treasury ETF
3.82%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%
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%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.78%
-2.86%
-2.86%
Graham's Bitcoin Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Graham's Bitcoin Portfolio. 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 Graham's Bitcoin Portfolio was 50.50%, occurring on Nov 25, 2011. Recovery took 467 trading sessions.

The current Graham's Bitcoin Portfolio drawdown is 1.78%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-50.5%Jun 10, 2011169Nov 25, 2011467Mar 6, 2013636
-34.45%Nov 9, 2021341Oct 15, 2022495Feb 22, 2024836
-33.03%Dec 17, 2017374Dec 25, 2018181Jun 24, 2019555
-31.65%Dec 5, 201314Dec 18, 2013911Jun 16, 2016925
-28.53%Feb 15, 202033Mar 18, 2020131Jul 27, 2020164

Volatility

Volatility Chart

The current Graham's Bitcoin Portfolio volatility is 3.00%, 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.


2.00%3.00%4.00%5.00%FebruaryMarchAprilMayJuneJuly
3.00%
2.74%
2.74%
Graham's Bitcoin Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BTC-USDVGLT^GSPC
BTC-USD1.00-0.010.09
VGLT-0.011.00-0.25
^GSPC0.09-0.251.00
The correlation results are calculated based on daily price changes starting from Jul 18, 2010