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[S01] Crypto TT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BTC-USD 60%ETH-USD 40%CryptocurrencyCryptocurrency
PositionCategory/SectorWeight
BTC-USD
Bitcoin
60%
ETH-USD
Ethereum
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in [S01] Crypto TT, 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


-30.00%-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
30.70%
13.90%
[S01] Crypto TT
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 7, 2015, corresponding to the inception date of ETH-USD

Returns By Period


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
27.68%1.58%13.90%32.27%14.27%11.62%
[S01] Crypto TT114.38%33.41%30.70%107.79%83.08%N/A
BTC-USD
Bitcoin
139.53%32.26%45.35%131.52%69.30%76.22%
ETH-USD
Ethereum
75.58%35.22%8.09%71.10%93.87%N/A

Monthly Returns

The table below presents the monthly returns of [S01] Crypto TT, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.47%44.79%13.62%-15.98%16.67%-7.77%-0.47%-13.80%6.21%5.13%41.05%114.38%
202336.93%0.49%19.30%2.87%-4.26%8.34%-4.05%-11.31%2.99%20.61%10.30%11.71%128.16%
2022-20.96%10.88%7.98%-17.03%-20.99%-40.45%33.67%-11.05%-8.65%10.66%-16.83%-5.32%-65.04%
202139.43%21.88%32.50%17.07%-18.55%-13.32%15.75%22.20%-9.57%41.16%-0.95%-19.55%167.75%
202033.57%4.41%-31.96%42.87%10.14%-2.79%35.41%13.40%-12.51%19.60%48.41%36.86%373.68%
2019-12.41%17.38%5.31%24.05%62.12%19.52%-13.99%-10.34%-8.12%7.40%-17.47%-8.92%48.87%
20181.79%-12.63%-43.23%47.03%-16.55%-17.75%10.94%-18.29%-9.11%-8.89%-38.74%1.78%-76.15%
201714.05%33.61%113.74%37.97%122.76%19.61%-2.77%70.48%-12.07%30.12%54.47%47.13%5,060.59%
201650.75%121.89%68.92%-4.16%31.41%11.60%-6.25%-5.46%8.93%2.21%-2.86%19.08%806.35%
2015-31.03%-8.56%29.24%9.90%11.65%0.02%

Expense Ratio

[S01] Crypto TT 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 [S01] Crypto TT 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 [S01] Crypto TT is 66
Overall Rank
The Sharpe Ratio Rank of [S01] Crypto TT is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of [S01] Crypto TT is 88
Sortino Ratio Rank
The Omega Ratio Rank of [S01] Crypto TT is 55
Omega Ratio Rank
The Calmar Ratio Rank of [S01] Crypto TT is 55
Calmar Ratio Rank
The Martin Ratio Rank of [S01] Crypto TT is 66
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 [S01] Crypto TT, currently valued at 0.85, compared to the broader market-6.00-4.00-2.000.002.004.006.000.852.77
The chart of Sortino ratio for [S01] Crypto TT, currently valued at 1.53, compared to the broader market-6.00-4.00-2.000.002.004.006.001.533.66
The chart of Omega ratio for [S01] Crypto TT, currently valued at 1.15, compared to the broader market0.501.001.502.001.151.51
The chart of Calmar ratio for [S01] Crypto TT, currently valued at 0.51, compared to the broader market0.005.0010.0015.000.513.99
The chart of Martin ratio for [S01] Crypto TT, currently valued at 2.94, compared to the broader market0.0010.0020.0030.0040.0050.0060.002.9417.73
[S01] Crypto TT
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin
1.292.001.201.085.70
ETH-USD
Ethereum
0.220.841.080.060.60

The current [S01] Crypto TT Sharpe ratio is 0.93. 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 1.95 to 2.84, 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 [S01] Crypto TT 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
0.85
2.77
[S01] Crypto TT
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


[S01] Crypto TT 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.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember00
[S01] Crypto TT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the [S01] Crypto TT. 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 [S01] Crypto TT was 86.27%, occurring on Dec 15, 2018. Recovery took 733 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-86.27%Jan 14, 2018336Dec 15, 2018733Dec 17, 20201069
-76.35%Nov 9, 2021378Nov 21, 2022721Nov 11, 20241099
-53.31%May 12, 202170Jul 20, 202191Oct 19, 2021161
-45.5%Jun 14, 201733Jul 16, 201726Aug 11, 201759
-42.95%Aug 8, 201575Oct 21, 201551Dec 11, 2015126

Volatility

Volatility Chart

The current [S01] Crypto TT volatility is 15.13%, 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
15.13%
2.22%
[S01] Crypto TT
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-USDETH-USD
BTC-USD1.000.64
ETH-USD0.641.00
The correlation results are calculated based on daily price changes starting from Aug 8, 2015
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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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