Growth of $10,000
With vs without 5% Bitcoin (quarterly rebalancing)
Full Comparison
| Metric | With BTC | Without BTC |
|---|---|---|
| Total Return | 354.8% | 191.4% |
| CAGR | 13.9% | 9.6% |
| Annualized Volatility | 11.1% | 10.3% |
| Sharpe Ratio | 1.05 | 0.75 |
| Max Drawdown | -22.8% | -20.3% |
| Final Value ($10k) | $45,485 | $29,145 |
Key Takeaway
The Bitcoin version has a CAGR of 13.9%, compared with 9.6% without Bitcoin. Its maximum drawdown is -22.8%, compared with -20.3% for the version without Bitcoin.
The annualised Sharpe ratio is 1.05 with Bitcoin and 0.75 without it, using weekly returns above the same dated Treasury-bill ETF benchmark. This describes the selected historical period.
Try different allocations and start dates above. Want to find the mathematically optimal Bitcoin allocation? Use the Bitcoin Allocation Calculator.
Methodology
Assets: US Stocks = SPY (S&P 500 ETF), Bonds = AGG (iShares Core US Aggregate Bond ETF), Gold = GC=F (gold futures), Bitcoin = BTC-USD. SPY and AGG use dividend- and split-adjusted prices. Bitcoin and gold use unadjusted closes from completed weeks. The gold futures price proxy does not model contract rolls or collateral income.
Rebalancing: Weights drift between rebalance dates based on actual asset returns. Rebalancing resets to target weights at the specified frequency. “None” is pure buy-and-hold with no rebalancing.
“Without BTC” comparison: The same portfolio with the Bitcoin allocation removed and remaining weights scaled proportionally. E.g., 50/30/10/10 becomes 55.6/33.3/11.1/0.
Risk statistics: Volatility uses the sample standard deviation of weekly returns, multiplied by the square root of 52. Sharpe uses the mean weekly return above BIL (a 1 to 3 month US Treasury-bill ETF), divided by the sample standard deviation of those excess returns, then multiplied by the square root of 52. BIL uses dividend-adjusted closes on the same dates and includes fund expenses; it is a cash proxy. This annualisation assumes no serial correlation. Missing cash data or zero excess-return variability produces n/a.
Limitations: Past performance does not predict future results. This backtest does not account for transaction costs, taxes, or slippage.
Go Beyond Backtesting
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