Description

Bitcoin was the first cryptocurrency to successfully record transactions on a secure, decentralized blockchain-based network. Launched in early 2009 by its pseudonymous creator Satoshi Nakamoto, Bitcoin is the largest cryptocurrency measured by market capitalization and amount of data stored on its blockchain. The Bitcoin software is free and available online to anyone who wants to run a Bitcoin node and store their own copy of the Bitcoin blockchain. As Bitcoin matures, engineers have designed additional protocols to improve the speed and privacy of Bitcoin transactions, including the Omni Layer, Lightning Network and Liquid Network. Only approximately 21 million bitcoins will ever be created. New coins are minted every 10 minutes by bitcoin miners who help to maintain the network by adding new transaction data to the blockchain.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • Compared with the benchmark SPY (88.1%) in the period of the last 5 years, the total return of 1116.4% of Bitcoin is higher, thus better.
  • During the last 3 years, the total return is 1.2%, which is smaller, thus worse than the value of 26.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 65% of Bitcoin is larger, thus better.
  • Looking at annual performance (CAGR) in of 0.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.1%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Bitcoin is 68.2%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • Looking at 30 days standard deviation in of 61.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 46% of Bitcoin is higher, thus worse.
  • Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 42.8% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.92 in the last 5 years of Bitcoin, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.52)
  • Looking at Sharpe Ratio in of -0.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.32).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.73) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.36 of Bitcoin is higher, thus better.
  • Looking at excess return divided by the downside deviation in of -0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Bitcoin is 43 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
  • Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 51 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -76.6 days of Bitcoin is lower, thus worse.
  • Looking at maximum reduction from previous high in of -76.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of Bitcoin is 580 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 580 days is higher, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 196 days of Bitcoin is greater, thus worse.
  • Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 237 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Bitcoin are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.