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Regularly Rebalanced Bitcoin
Our Regularly Rebalanced Bitcoin Index resets allocation weights to 80% Bitcoin and 20% USDC at a yearly level.
graph LR
A(Bitcoin) --> B(80/20 Regular Rebalancing)
C(USDC) --> B(80/20 Regular Rebalancing)
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Backtested Returns
In backtests over 2018-2023 the strategy generates annual returns of 24%, with a maximum Drawdown of 68%, and a Sharpe Ratio of .43.
In comparison, over the same period, Bitcoin generated an annual return of 18%, with a maximum Drawdown of 81%, and a Sharpe Ratio of .26.
| month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2018 | -0.20 | 0.01 | -0.25 | 0.23 | -0.14 | -0.12 | 0.16 | -0.07 | -0.04 | -0.03 | -0.23 | -0.04 | -0.58 |
| 2019 | -0.06 | 0.09 | 0.05 | 0.25 | 0.51 | 0.40 | -0.17 | -0.04 | -0.12 | 0.10 | -0.14 | -0.07 | 0.74 |
| 2020 | 0.24 | -0.06 | -0.21 | 0.27 | 0.07 | -0.03 | 0.20 | 0.03 | -0.07 | 0.22 | 0.40 | 0.44 | 2.42 |
| 2021 | 0.15 | 0.29 | 0.23 | -0.02 | -0.31 | -0.05 | 0.17 | 0.10 | -0.06 | 0.36 | -0.08 | -0.17 | 0.48 |
| 2022 | -0.14 | 0.09 | 0.04 | -0.12 | -0.14 | -0.28 | 0.13 | -0.11 | -0.02 | 0.03 | -0.10 | -0.02 | -0.51 |
| 2023 | 0.32 | 0.00 | 0.20 | 0.03 | -0.06 | 0.10 | -0.04 | -0.10 | 0.03 | 0.25 | 0.07 | nan | 1.01 |