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

[S01] Crypto TT

Last updated Feb 21, 2024

Asset Allocation


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

60%

ETH-USD
Ethereum

40%

Performance

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


0.00%20.00%40.00%60.00%80.00%100.00%SeptemberOctoberNovemberDecember2024February
94.57%
13.40%
[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


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
[S01] Crypto TT27.04%24.56%94.57%97.26%48.89%N/A
BTC-USD
Bitcoin
23.71%25.85%100.85%110.58%42.89%36.05%
ETH-USD
Ethereum
32.09%22.80%84.44%76.99%51.87%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.47%
2023-4.05%-11.31%2.99%20.61%10.30%11.71%

Sharpe Ratio

The current [S01] Crypto TT Sharpe ratio is 2.72. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.72

The Sharpe ratio of [S01] Crypto TT is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50SeptemberOctoberNovemberDecember2024February
2.72
1.75
[S01] Crypto TT
Benchmark (^GSPC)
Portfolio components

Dividend yield


[S01] Crypto TT doesn't pay dividends

Expense Ratio

The [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

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
BTC-USD
Bitcoin
3.01
ETH-USD
Ethereum
1.94

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-USD1.000.62
ETH-USD0.621.00

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
-27.27%
-1.08%
[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 14, 2018. Recovery took 734 trading sessions.

The current [S01] Crypto TT drawdown is 27.27%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-86.27%Jan 14, 2018335Dec 14, 2018734Dec 17, 20201069
-76.35%Nov 9, 2021378Nov 21, 2022
-53.37%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 Chart

The current [S01] Crypto TT volatility is 7.49%, 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
7.49%
3.37%
[S01] Crypto TT
Benchmark (^GSPC)
Portfolio components
0 comments