PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

BTC

Last updated Feb 24, 2024

Asset Allocation


BTC-USD 100%CryptocurrencyCryptocurrency
PositionCategory/SectorWeight
BTC-USD
Bitcoin

100%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 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


0.00%100.00%200.00%300.00%400.00%SeptemberOctoberNovemberDecember2024February
94.45%
377.88%
BTC
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 Feb 24, 2024, the BTC returned 20.03% Year-To-Date and 36.86% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
BTC20.03%21.32%94.45%118.90%42.84%36.21%
BTC-USD
Bitcoin
20.03%21.32%94.45%118.90%42.84%36.21%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.75%
2023-4.09%-11.29%4.00%28.55%8.78%12.07%

Sharpe Ratio

The current BTC Sharpe ratio is 2.76. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.76

The Sharpe ratio of BTC 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 Ratio0.501.001.502.002.503.00SeptemberOctoberNovemberDecember2024February
2.76
2.23
BTC
Benchmark (^GSPC)
Portfolio components

Dividend yield


BTC doesn't pay dividends

Expense Ratio

The BTC has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

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
2.23
BTC
2.76
BTC-USD
Bitcoin
2.76

Drawdowns Chart

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


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%SeptemberOctoberNovemberDecember2024February
-24.94%
0
BTC
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 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 BTC was 93.07%, occurring on Nov 19, 2011. Recovery took 460 trading sessions.

The current BTC drawdown is 24.94%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-93.07%Jun 10, 2011163Nov 19, 2011460Feb 21, 2013623
-84.53%Dec 5, 2013406Jan 14, 2015721Jan 4, 20171127
-83.39%Dec 17, 2017364Dec 15, 2018716Nov 30, 20201080
-76.64%Nov 9, 2021378Nov 21, 2022
-70.28%Apr 11, 20137Apr 17, 2013202Nov 5, 2013209

Volatility Chart

The current BTC volatility is 7.69%, 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%4.00%6.00%8.00%10.00%12.00%14.00%SeptemberOctoberNovemberDecember2024February
7.69%
3.90%
BTC
Benchmark (^GSPC)
Portfolio components
0 comments