Bitcoin

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Assets
Grayscale Investments LLC (GBTC)
iShares Russell 3000 ETF (IWV)
TWTR
SPDR Bloomberg High Yield Bond ETF (JNK)
Benchmark
iShares Russell 3000 ETF (IWV)

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
Market Factor 0.6276 0.6276
Style Factor -0.1086 -0.1086
Size Factor 0.1425 0.1425
U.S. Tilt (Non U.S.) 0.1365 0.1365
Vol Factor 0.0109 0.0109
Vol Term Structure -0.0088 -0.0088
Credit Factor 0.2176 0.2176
Duration Factor 0.1651 0.1651
Yield Curve Factor -0.0279 -0.0279

Adjusted R2

Portfolio 0.71
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution