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CRYPTO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

CRYPTO

Last updated Sep 14, 2024

Asset Allocation

ETH-USD 32.5%BTC-USD 22.5%SOL-USD 5%MSTR 40%CryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin
22.50%
ETH-USD
Ethereum
32.50%
MSTR
MicroStrategy Incorporated		Technology
40%
SOL-USD
Solana
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in CRYPTO, 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%AprilMayJuneJulyAugustSeptember
-14.89%
9.25%
CRYPTO
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 26, 2020, corresponding to the inception date of SOL-USD

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%10.08%26.58%13.42%10.87%
CRYPTO62.51%0.63%-14.89%195.39%N/AN/A
Portfolio components:
BTC-USD
Bitcoin		40.03%-0.50%-12.38%123.04%42.03%63.85%
ETH-USD
Ethereum		7.02%-6.61%-30.60%50.45%66.68%N/A
MSTR
MicroStrategy Incorporated		123.98%6.34%-5.86%315.14%57.65%26.17%
SOL-USD
Solana		37.04%-1.90%-29.03%638.65%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-8.30%64.85%38.16%-25.77%27.61%-8.85%6.47%-17.34%62.51%
202357.76%1.58%13.06%7.00%-5.46%8.84%10.09%-14.87%-1.90%24.98%17.04%23.78%232.10%
2022-27.59%13.53%10.05%-21.76%-25.21%-39.86%53.07%-14.55%-9.18%17.59%-22.53%-15.84%-71.00%
202160.91%35.00%21.65%18.89%-18.79%3.41%5.80%29.71%-8.06%34.68%1.61%-21.54%257.46%
20205.83%-8.66%10.75%72.59%21.83%125.10%

Expense Ratio

CRYPTO 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 CRYPTO is 19, indicating that it is in the bottom 19% 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 CRYPTO is 1919
CRYPTO
The Sharpe Ratio Rank of CRYPTO is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of CRYPTO is 2424Sortino Ratio Rank
The Omega Ratio Rank of CRYPTO is 1414Omega Ratio Rank
The Calmar Ratio Rank of CRYPTO is 2323Calmar Ratio Rank
The Martin Ratio Rank of CRYPTO is 1919Martin 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.

CRYPTO
Sharpe ratio
The chart of Sharpe ratio for CRYPTO, currently valued at 1.45, compared to the broader market-1.000.001.002.003.004.001.45
Sortino ratio
The chart of Sortino ratio for CRYPTO, currently valued at 2.18, compared to the broader market-2.000.002.004.002.18
Omega ratio
The chart of Omega ratio for CRYPTO, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for CRYPTO, currently valued at 1.21, compared to the broader market0.002.004.006.008.001.21
Martin ratio
The chart of Martin ratio for CRYPTO, currently valued at 6.20, compared to the broader market0.0010.0020.0030.006.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin		0.971.641.160.524.28
ETH-USD
Ethereum		0.220.811.080.060.68
MSTR
MicroStrategy Incorporated		2.042.701.312.129.56
SOL-USD
Solana		1.061.801.170.634.12

Sharpe Ratio

The current CRYPTO Sharpe ratio is 1.42. 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 1.68 to 2.31, 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 CRYPTO 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 Ratio0.002.004.006.008.0010.00AprilMayJuneJulyAugustSeptember
1.45
2.03
CRYPTO
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

CRYPTO 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.

-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-25.33%
-0.73%
CRYPTO
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the CRYPTO. 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 was 80.16%, occurring on Dec 28, 2022. Recovery took 428 trading sessions.

The current CRYPTO drawdown is 24.91%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-80.16%Nov 9, 2021415Dec 28, 2022428Feb 29, 2024843
-43.51%May 12, 202170Jul 20, 202143Sep 1, 2021113
-35.47%Mar 28, 2024163Sep 6, 2024———
-24.45%Sep 7, 202115Sep 21, 202123Oct 14, 202138
-22.24%Feb 10, 202124Mar 5, 202127Apr 1, 202151

Volatility

Volatility Chart

The current CRYPTO volatility is 17.37%, 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%25.00%30.00%35.00%AprilMayJuneJulyAugustSeptember
17.37%
4.36%
CRYPTO
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.
MSTRSOL-USDETH-USDBTC-USD
MSTR1.000.400.510.58
SOL-USD0.401.000.640.59
ETH-USD0.510.641.000.81
BTC-USD0.580.590.811.00
The correlation results are calculated based on daily price changes starting from Aug 27, 2020