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Graham's Bitcoin Portfolio

Last updated Nov 23, 2023

Asset Allocation


VGLT 15%BTC-USD 15%^GSPC 70%BondBondCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
VGLT
Vanguard Long-Term Treasury ETF
Government Bonds15%
BTC-USD
Bitcoin
15%
^GSPC
S&P 500
70%

S&P 500

Performance

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%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
12.66%
10.73%
10.73%
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

As of Nov 23, 2023, the Graham's Bitcoin Portfolio returned 29.27% Year-To-Date and 13.35% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
18.68%8.05%10.73%13.81%11.63%9.72%
Graham's Bitcoin Portfolio29.27%8.92%12.66%25.49%14.53%13.35%
^GSPC
S&P 500
18.68%8.05%10.73%13.81%11.63%9.72%
VGLT
Vanguard Long-Term Treasury ETF
-5.32%7.52%-7.32%-6.38%-1.99%1.20%
BTC-USD
Bitcoin
126.21%13.14%42.14%131.21%34.61%30.70%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20231.52%-1.30%6.32%1.24%-3.26%-4.08%2.01%

Sharpe Ratio

The current Graham's Bitcoin Portfolio Sharpe ratio is 1.84. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.001.84

The Sharpe ratio of Graham's Bitcoin Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.84
1.64
1.64
Graham's Bitcoin Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Graham's Bitcoin Portfolio granted a 0.53% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Graham's Bitcoin Portfolio0.53%0.43%0.27%0.32%0.37%0.41%0.38%0.40%0.48%0.41%0.48%0.45%
^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
3.50%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%3.02%
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%

Expense Ratio

The Graham's Bitcoin Portfolio has an expense ratio of 0.01% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.04%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
1.07
VGLT
Vanguard Long-Term Treasury ETF
-0.31
BTC-USD
Bitcoin
1.58

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-0.011.00-0.27
^GSPC0.09-0.271.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-12.40%
-5.00%
-5.00%
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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-50.5%Jun 10, 2011169Nov 25, 2011467Mar 6, 2013636
-34.45%Nov 9, 2021341Oct 15, 2022
-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 Chart

The current Graham's Bitcoin Portfolio volatility is 2.68%, 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%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
2.68%
2.78%
2.78%
Graham's Bitcoin Portfolio
Benchmark (^GSPC)
Portfolio components

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