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Crypto Portfolio

Last updated Feb 23, 2024

Crypto Portfolio is a variation of the Three-fund Portfolio with additional exposure to the two biggest cryptocurrencies by capitalization: Bitcoin and Ethereum. This is a risky portfolio as crypto could be highly volatile, but it could be interesting for someone who believes that decentralized finances have a place in the long-term future.

Asset Allocation


BND 20%BTC-USD 20%ETH-USD 20%VTI 20%VEA 20%BondBondCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

20%

BTC-USD
Bitcoin

20%

ETH-USD
Ethereum

20%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

20%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

20%

S&P 500

Performance

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


-10.00%0.00%10.00%20.00%30.00%40.00%SeptemberOctoberNovemberDecember2024February
38.31%
15.46%
Crypto Portfolio
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
S&P 500
6.65%4.57%16.24%27.46%12.76%10.68%
Crypto Portfolio11.42%13.42%38.31%45.48%29.00%N/A
VTI
Vanguard Total Stock Market ETF
6.16%4.50%16.13%26.82%9.28%12.04%
BND
Vanguard Total Bond Market ETF
-1.93%-0.47%2.91%2.66%0.27%1.39%
BTC-USD
Bitcoin
21.39%28.02%96.97%114.24%43.21%36.84%
ETH-USD
Ethereum
30.22%33.02%79.74%79.94%53.15%N/A
VEA
Vanguard FTSE Developed Markets ETF
1.82%3.52%10.89%12.76%4.64%4.66%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.15%
2023-0.29%-5.74%-1.34%5.95%8.98%7.92%

Sharpe Ratio

The current Crypto Portfolio Sharpe ratio is 2.39. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.39

The Sharpe ratio of Crypto Portfolio 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 Ratio0.000.501.001.502.002.50SeptemberOctoberNovemberDecember2024February
2.39
2.21
Crypto Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Crypto Portfolio granted a 1.53% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Crypto Portfolio1.53%1.54%1.44%1.27%1.14%1.51%1.64%1.40%1.50%1.49%1.65%1.43%
VTI
Vanguard Total Stock Market ETF
1.36%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
BND
Vanguard Total Bond Market ETF
3.21%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
3.10%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Expense Ratio

The Crypto Portfolio has an expense ratio of 0.02% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.03%
0.00%2.15%
0.05%
0.00%2.15%

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
2.21
Crypto Portfolio
2.39
VTI
Vanguard Total Stock Market ETF
1.57
BND
Vanguard Total Bond Market ETF
0.15
BTC-USD
Bitcoin
2.99
ETH-USD
Ethereum
2.09
VEA
Vanguard FTSE Developed Markets ETF
0.56

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BNDBTC-USDETH-USDVEAVTI
BND1.000.030.03-0.01-0.04
BTC-USD0.031.000.620.150.14
ETH-USD0.030.621.000.160.15
VEA-0.010.150.161.000.77
VTI-0.040.140.150.771.00

Drawdowns Chart

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


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-4.54%
0
Crypto Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Crypto Portfolio. 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 Crypto Portfolio was 54.86%, occurring on Dec 14, 2018. Recovery took 596 trading sessions.

The current Crypto Portfolio drawdown is 4.54%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.86%Jan 14, 2018335Dec 14, 2018596Aug 1, 2020931
-47.57%Nov 9, 2021366Nov 9, 2022
-27.23%May 12, 202170Jul 20, 202187Oct 15, 2021157
-26.63%Jun 13, 201734Jul 16, 201742Aug 27, 201776
-23.23%Aug 8, 201575Oct 21, 201554Dec 14, 2015129

Volatility Chart

The current Crypto Portfolio volatility is 4.01%, 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%3.00%4.00%5.00%6.00%SeptemberOctoberNovemberDecember2024February
4.01%
3.90%
Crypto Portfolio
Benchmark (^GSPC)
Portfolio components
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