Bitcoin

Portfolio Specification

Assets

Grayscale Investments LLC (GBTC)
iShares Russell 3000 ETF (IWV)
TWTR
SPDR Bloomberg High Yield Bond ETF (JNK)

Policy

Rebalancing Interval Daily
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly

Benchmark

iShares Russell 3000 ETF (IWV)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (6y 5m 23d)

Returns (annualized)

Portfolio 16.85%
Benchmark 11.92%

Risk (annualized)

Portfolio 14.94%
Benchmark 19.68%

Sharpe (annualized)

Portfolio 1.05
Benchmark 0.62

Excess Return (annualized)

4.93%

Tracking Error (annualized)

11.08%

Information Ratio

0.45
Statistic Portfolio Benchmark
Downside Volatility 15.43% 21.43%
Sortino Ratio 1.01 0.57
Calmar Ratio 0.57 0.35
Ulcer Index 15.31 15.22
Max Drawdown 27.52% 35.22%
VaR (99% Confidence) $-3,475 $-4,576
VaR (99.9% Confidence) $-4,616 $-6,079
Beta to Benchmark 0.63 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.01

Skew

-0.71
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6276 1.0096 -0.3820
Style Factor -0.1086 0.0142 -0.1228
Size Factor 0.1425 0.0479 0.0946
U.S. Tilt (Non U.S.) 0.1365 0.4318 -0.2953
Vol Factor 0.0109 0.0001 0.0107
Vol Term Structure -0.0088 -0.0068 -0.0019
Credit Factor 0.2176 0.0056 0.2120
Duration Factor 0.1651 -0.0073 0.1725
Yield Curve Factor -0.0279 -0.0057 -0.0222

Adjusted R2

Portfolio 0.71
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution