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BTC/USDT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BTC-USD 50%USD=X 50%CryptocurrencyCryptocurrencyCurrencyCurrency
PositionCategory/SectorWeight
BTC-USD
Bitcoin
50%
USD=X
USD Cash
50%

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
9.72%
15.83%
BTC/USDT
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 Oct 30, 2024, the BTC/USDT returned 35.90% Year-To-Date and 45.58% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
BTC/USDT35.90%5.40%9.72%53.04%33.79%45.58%
BTC-USD
Bitcoin
72.06%10.79%19.93%110.77%51.21%71.74%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns

The table below presents the monthly returns of BTC/USDT, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.38%21.97%9.48%-7.59%5.26%-3.42%1.57%-4.50%3.71%35.90%
202319.88%0.02%13.18%1.40%-3.58%5.89%-2.05%-5.53%1.84%14.29%4.94%7.01%69.98%
2022-8.37%5.50%2.59%-8.45%-6.99%-15.50%8.91%-7.57%-1.54%2.73%-8.30%-1.70%-34.51%
20217.11%19.41%18.63%-0.99%-17.50%-2.66%9.29%7.15%-4.25%20.54%-4.19%-10.80%39.33%
202014.89%-4.51%-13.59%17.25%5.32%-1.98%11.92%1.74%-4.27%13.85%23.73%30.61%130.12%
2019-3.74%5.42%3.25%15.16%34.09%20.64%-3.21%-2.06%-5.98%5.52%-9.42%-2.43%62.21%
2018-14.52%0.76%-14.51%16.35%-10.83%-7.51%10.90%-5.31%-3.11%-2.33%-17.81%-3.00%-44.00%
20170.35%10.85%-5.12%13.16%39.53%6.39%7.86%33.76%-5.51%25.05%35.42%24.41%409.17%
2016-7.21%8.67%-2.42%3.80%9.62%14.38%-3.71%-3.89%2.83%7.51%3.42%16.10%57.31%
2015-16.28%6.97%-1.85%-1.64%-1.23%6.86%4.15%-10.08%1.23%16.52%11.46%8.53%21.93%
20145.03%-17.70%-7.15%-1.02%19.39%1.08%-4.31%-9.12%-8.08%-6.38%5.57%-7.55%-29.98%
201323.28%33.84%136.73%25.62%-4.36%-14.77%4.95%14.55%-0.73%26.26%271.12%-29.57%1,475.26%

Expense Ratio

BTC/USDT 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

Risk-Adjusted Performance Rank

The current rank of BTC/USDT is 6, indicating that it is in the bottom 6% 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 BTC/USDT is 66
Combined Rank
The Sharpe Ratio Rank of BTC/USDT is 66Sharpe Ratio Rank
The Sortino Ratio Rank of BTC/USDT is 66Sortino Ratio Rank
The Omega Ratio Rank of BTC/USDT is 55Omega Ratio Rank
The Calmar Ratio Rank of BTC/USDT is 66Calmar Ratio Rank
The Martin Ratio Rank of BTC/USDT is 66Martin 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.


BTC/USDT
Sharpe ratio
The chart of Sharpe ratio for BTC/USDT, currently valued at 1.14, compared to the broader market0.002.004.006.001.14
Sortino ratio
The chart of Sortino ratio for BTC/USDT, currently valued at 1.77, compared to the broader market-2.000.002.004.006.001.77
Omega ratio
The chart of Omega ratio for BTC/USDT, currently valued at 1.18, compared to the broader market0.801.001.201.401.601.802.001.18
Calmar ratio
The chart of Calmar ratio for BTC/USDT, currently valued at 0.76, compared to the broader market0.005.0010.000.76
Martin ratio
The chart of Martin ratio for BTC/USDT, currently valued at 4.50, compared to the broader market0.0010.0020.0030.0040.0050.0060.004.50
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin
1.121.811.180.984.65
USD=X
USD Cash

Sharpe Ratio

The current BTC/USDT Sharpe ratio is 1.14. 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 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of BTC/USDT 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 Ratio1.002.003.004.005.00MayJuneJulyAugustSeptemberOctober
1.14
3.43
BTC/USDT
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


BTC/USDT doesn't pay dividends

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.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.44%
-0.54%
BTC/USDT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BTC/USDT. 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/USDT was 73.26%, occurring on Nov 19, 2011. Recovery took 454 trading sessions.

The current BTC/USDT drawdown is 0.44%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-73.26%Jun 10, 2011163Nov 19, 2011454Feb 15, 2013617
-62.43%Dec 5, 2013406Jan 14, 2015721Jan 4, 20171127
-59.52%Dec 17, 2017418Feb 7, 2019637Nov 5, 20201055
-50.43%Apr 11, 20137Apr 17, 2013203Nov 6, 2013210
-48.34%Nov 9, 2021378Nov 21, 2022452Feb 16, 2024830

Volatility

Volatility Chart

The current BTC/USDT volatility is 5.76%, 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%MayJuneJulyAugustSeptemberOctober
5.76%
2.71%
BTC/USDT
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.

USD=XBTC-USD
USD=X0.000.00
BTC-USD0.001.00
The correlation results are calculated based on daily price changes starting from Jul 18, 2010