Portfolio Visualizer Portfolio Backtest

Report Parameters

Start Date 01/01/2016

End Date 01/31/2020
Initial Balance $1,000,000
Periodic Adjustment None
Rebalancing No rebalancing
Reinvest Dividends Yes

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Portfolio 1

Ticker Name Allocation

GBTC Grayscale Bitcoin Trust (BTC) 100.00%

Portfolio Performance (Jan 2016 - Jan 2020)

Metric Portfolio 1
Start Balance $1,000,000
End Balance $15,744,444
End Balance (inflation adjusted) $14,491,562
CAGR 96.41%
CAGR (inflation adjusted) 92.47%
Stdev 166.76%
Best Year 1,557.21%
Worst Year -82.10%
Max. Drawdown -82.10%
Sharpe Ratio 0.89
Sortino Ratio 3.05
US Stock Market Correlation -0.00

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Risk and Return Metrics (Jan 2016 - Jan 2020)

Metric Portfolio 1
Arithmetic Mean (monthly) 12.50%
Arithmetic Mean (annualized) 311.01%
Geometric Mean (monthly) 5.79%
Geometric Mean (annualized) 96.41%
Volatility (monthly) 48.14%
Volatility (annualized) 166.76%
Downside Deviation (monthly) 13.98%
Max. Drawdown -82.10%
US Market Correlation -0.00
Beta (*) -0.04
Alpha (annualized) 150.52%
R Squared 0.00%
Sharpe Ratio 0.89
Sortino Ratio 3.05
Treynor Ratio (%) -3,918.43
Calmar Ratio 1.33
Active Return 82.79%
Tracking Error 167.22%
Information Ratio 0.50
Skewness 3.03
Excess Kurtosis 12.62
Historical Value-at-Risk (5%) -31.14%
Analytical Value-at-Risk (5%) -66.68%
Conditional Value-at-Risk (5%) -36.46%
Upside Capture Ratio (%) 394.87
Downside Capture Ratio (%) 20.07
Safe Withdrawal Rate 100.00%
Perpetual Withdrawal Rate 48.75%
Positive Periods 27 out of 49 (55.10%)
Gain/Loss Ratio 2.03
(*) US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

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Portfolio 1 Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Balance
2016 -31.75% 30.23% -2.86% 31.80% 8.93% 53.07% -20.54% -13.68% 9.76% 19.89% -8.71% 23.50% 93.10% 2.07% $1,930,952

2017 -10.81% 6.00% 0.97% 18.59% 251.53% -19.43% 7.69% 139.29% -30.15% 18.00% 83.62% 32.54% 1,557.21% 2.11% $32,000,000

2018 -29.63% 14.37% -41.17% 51.10% -22.52% -30.54% 22.16% -8.83% -16.42% -15.11% -25.96% -20.54% -82.10% 1.91% $5,727,222

2019 0.63% 11.78% 7.17% 38.28% 67.32% 36.80% -9.85% -14.08% -9.64% 5.00% -13.94% -14.42% 106.56% 2.29% $11,830,000

2020 33.09% 33.09% 0.00% $15,744,444

Exposures for Portfolio 1

Ticker Name Category ER Weight

GBTC Grayscale Bitcoin Trust (BTC) Miscellaneous 2.00% 100.00%

Asset Allocation for Portfolio 1

Category Weight
US Stocks 0.00%
Intl Stocks 0.00%
US Bonds 0.00%
Intl Bonds 0.00%
Other 154.87%
Cash -54.87%

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Drawdowns for Portfolio 1

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2018 Dec 2018 1 year -82.10%
2 Jan 2016 Jan 2016 1 month Apr 2016 3 months 4 months -31.75%
3 Jul 2016 Aug 2016 2 months Dec 2016 4 months 6 months -31.41%
4 Sep 2017 Sep 2017 1 month Nov 2017 2 months 3 months -30.15%
5 Jun 2017 Jun 2017 1 month Aug 2017 2 months 3 months -19.43%
6 Jan 2017 Jan 2017 1 month Apr 2017 3 months 4 months -10.81%

Notes:
• Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
• Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
• All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
• The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
• The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
• The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
• The annual results for 2020 are based on full calendar months from January to January
• CAGR = Compound Annual Growth Rate
• Stdev = Annualized standard deviation of monthly returns
• Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
• Stock market correlation is based on the correlation of monthly returns
• Drawdowns are calculated based on monthly returns excluding cashflows
• The backtested results assume no rebalancing per parameterization. See the allocation drift section for details
• Fund fundamentals data as of 02/05/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not
be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

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