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Bitcoin
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


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

Performance

Performance Chart

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


-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
35.06%
13.00%
Bitcoin
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 Dec 4, 2024, the Bitcoin returned 127.14% Year-To-Date and 74.12% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
26.84%5.60%14.34%32.39%14.23%11.32%
Bitcoin127.14%41.57%35.06%117.79%66.35%74.13%
BTC-USD
Bitcoin
127.14%41.57%35.06%117.79%66.35%74.13%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.75%43.72%16.56%-15.00%11.30%-7.13%3.10%-8.74%7.39%10.87%37.36%127.14%
202339.84%0.03%23.03%2.78%-7.00%11.97%-4.09%-11.29%4.00%28.55%8.78%12.07%155.42%
2022-16.89%12.24%5.43%-17.18%-15.70%-37.77%17.95%-14.09%-3.08%5.48%-16.23%-3.62%-64.27%
202114.18%36.31%30.53%-1.98%-35.35%-6.14%18.79%13.31%-7.16%40.03%-7.03%-18.77%59.67%
202029.98%-8.03%-25.13%34.48%9.27%-3.41%23.92%3.16%-7.67%27.79%42.41%47.77%303.16%
2019-7.61%11.48%6.50%30.33%60.25%26.15%-6.76%-4.51%-13.88%10.92%-17.72%-4.97%92.20%
2018-27.80%1.73%-32.93%32.51%-18.90%-14.55%21.49%-9.55%-5.85%-4.65%-36.41%-6.83%-73.56%
20170.69%21.60%-9.17%25.76%69.63%8.50%15.90%63.58%-7.75%49.09%58.21%38.33%1,368.90%
2016-14.35%18.69%-4.79%7.58%18.53%26.71%-7.23%-7.88%5.95%14.96%6.38%29.24%123.83%
2015-32.08%16.92%-3.95%-3.31%-2.52%14.28%8.20%-19.18%2.61%33.09%20.10%14.11%34.47%
201410.07%-33.82%-16.80%-2.05%39.32%2.58%-8.37%-18.50%-19.01%-12.57%11.74%-15.30%-57.53%
201346.47%56.85%198.35%50.78%-7.19%-25.11%9.81%27.58%-1.74%53.38%453.64%-33.24%5,506.02%

Expense Ratio

Bitcoin 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 Bitcoin is 10, indicating that it is in the bottom 10% 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 Bitcoin is 1010
Overall Rank
The Sharpe Ratio Rank of Bitcoin is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of Bitcoin is 1111
Sortino Ratio Rank
The Omega Ratio Rank of Bitcoin is 77
Omega Ratio Rank
The Calmar Ratio Rank of Bitcoin is 1111
Calmar Ratio Rank
The Martin Ratio Rank of Bitcoin is 1111
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Bitcoin, currently valued at 1.14, compared to the broader market0.002.004.006.001.142.59
The chart of Sortino ratio for Bitcoin, currently valued at 1.85, compared to the broader market-2.000.002.004.006.001.853.45
The chart of Omega ratio for Bitcoin, currently valued at 1.18, compared to the broader market0.801.001.201.401.601.802.001.181.48
The chart of Calmar ratio for Bitcoin, currently valued at 0.91, compared to the broader market0.005.0010.0015.000.913.73
The chart of Martin ratio for Bitcoin, currently valued at 5.00, compared to the broader market0.0010.0020.0030.0040.0050.005.0016.58
Bitcoin
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin
1.141.851.180.915.00

The current Bitcoin 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 1.87 to 2.70, 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 Bitcoin 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 Ratio1.002.003.004.005.006.00JulyAugustSeptemberOctoberNovemberDecember
1.14
2.59
Bitcoin
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


Bitcoin 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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.03%
0
Bitcoin
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

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

The current Bitcoin drawdown is 3.03%.


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
-83.4%Dec 17, 2017364Dec 15, 2018716Nov 30, 20201080
-76.63%Nov 9, 2021378Nov 21, 2022469Mar 4, 2024847
-70.28%Apr 11, 20137Apr 17, 2013202Nov 5, 2013209

Volatility

Volatility Chart

The current Bitcoin volatility is 17.27%, 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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
17.27%
3.39%
Bitcoin
Benchmark (^GSPC)
Portfolio components
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Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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