Data Source: from January 2009 to October 2022 (~14 years)
Consolidated Returns as of 31 October 2022
Live Update: Nov 29 2022, 03:58PM Eastern Time
Category: Commodities
Commodity: Bitcoin (^BTC)
COMMODITY • LIVE PERFORMANCE (USD currency)
0.23%
1 Day
Nov 29 2022, 03:58PM Eastern Time
19.54%
Current Month
November 2022

In the last 10 Years, the Bitcoin (^BTC) Commodity obtained a 115.15% compound annual return, with a 181.29% standard deviation.

The Bitcoin (^BTC) Commodity is part of the following Lazy Portfolios:

Historical Returns as of Oct 31, 2022

Historical returns and Metrics of Bitcoin (^BTC) Commodity.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
BITCOIN (^BTC) COMMODITY
Portfolio Metrics
Data Source: 1 January 2009 - 31 October 2022 (~14 years)
Swipe left to see all data
Metrics as of Oct 31, 2022
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~14Y)
Portfolio
Return (%)
5.50 -12.09 -45.92 -66.02 31.69 27.74 115.15 151.59
US Inflation (%) 0.41 0.59 3.08 7.75 5.01 3.85 2.57 2.55
Infl. Adjusted
Return (%)
5.08 -12.60 -47.53 -68.47 25.40 23.00 109.77 145.32
Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 57.75 77.48 83.61 181.29 195.24
Sharpe Ratio -1.16 0.40 0.32 0.63 0.76
Sortino Ratio -1.67 0.59 0.49 1.74 2.09
MAXIMUM DRAWDOWN
Drawdown Depth (%) -69.06 -69.06 -73.81 -80.43 -81.56
Start (yyyy mm) 2021 11 2021 11 2018 01 2013 12 2011 07
Bottom (yyyy mm) 2022 06 2022 06 2019 01 2015 04 2011 11
Start to Bottom (# months) 8 8 13 17 5
Start to Recovery (# months) in progress
> 12
> 12
34
39
19
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 23946.19 1738.60 575.68 238.15
Worst Return (%) -73.03 -14.12 27.74 111.83
% Positive Periods 79% 99% 100% 100%
MONTHS
Positive 1 1 2 4 18 29 67 105
Negative 0 2 4 8 18 31 53 61
% Positive 100% 33% 33% 33% 50% 48% 56% 63%
WITHDRAWAL RATES (WR)
Safe WR (%) 55.44 29.20 109.26 80.18
Perpetual WR (%) 20.26 18.70 52.33 59.24
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the Commodity
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the Commodity. It's calculated by dividing the excess return of the Commodity over the risk-free rate by the Commodity standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the Commodity. It's a modification of the Sharpe Ratio (same formula but the denominator is the Commodity downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Correlations as of Oct 31, 2022

Monthly correlations of Bitcoin (^BTC) Commodity vs the main Asset Classes, over different timeframes.

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1.

If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.

Asset correlations are calculated based on monthly returns.

Columns are sortable (click on table header to sort).

BITCOIN (^BTC) COMMODITY
Monthly correlations as of 31 October 2022
Swipe left to see all data
Correlation vs ^BTC
 
Asset Class 1 Year 5 Years 10 Years Since
Jan 2009
US Total Stock Market
VTI
0.61
0.37
0.18
0.15
US Large Cap
SPY
0.58
0.36
0.19
0.15
US Small Cap
IJR
0.61
0.34
0.17
0.13
US REITs
VNQ
0.44
0.32
0.03
0.06
US Technology
QQQ
0.63
0.33
0.18
0.14
Preferred Stocks
PFF
0.41
0.39
0.15
0.05
EAFE Stocks
EFA
0.47
0.33
0.13
0.14
World All Countries
VT
0.55
0.35
0.16
0.14
Emerging Markets
EEM
0.00
0.17
0.06
0.04
Europe
VGK
0.42
0.33
0.13
0.15
Pacific
VPL
0.55
0.30
0.14
0.12
Latin America
FLLA
0.54
0.23
0.04
0.02
US Total Bond Market
BND
0.31
0.24
0.07
0.09
Long Term Treasuries
TLT
0.16
0.08
-0.02
-0.04
US Cash
BIL
-0.01
-0.19
-0.13
-0.11
TIPS
TIP
0.55
0.32
0.06
0.10
Invest. Grade Bonds
LQD
0.42
0.31
0.11
0.11
High Yield Bonds
HYG
0.67
0.36
0.16
0.11
International Bonds
BNDX
0.50
0.30
0.15
0.10
Emerg. Market Bonds
EMB
0.36
0.31
0.05
0.06
Gold
GLD
0.22
0.14
-0.07
0.00
Commodities
DBC
0.17
0.16
0.04
0.07

Capital Growth as of Oct 31, 2022

An investment of 1000$, since November 2012, now would be worth 2125260.16$, with a total return of 212426.02% (115.15% annualized).

The Inflation Adjusted Capital now would be 1649627.55$, with a net total return of 164862.75% (109.77% annualized).
An investment of 1000$, since January 2009, now would be worth 348999014.40$, with a total return of 34899801.44% (151.59% annualized).

The Inflation Adjusted Capital now would be 246196008.21$, with a net total return of 24619500.82% (145.32% annualized).

Drawdowns

Worst drawdowns since November 2012.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-80.43% Dec 2013 Apr 2015 17 Feb 2017 22 39
-73.81% Jan 2018 Jan 2019 13 Oct 2020 21 34
-69.06% Nov 2021 Jun 2022 8 in progress 4 12
-40.65% Apr 2021 Jun 2021 3 Oct 2021 4 7
-29.97% May 2013 Jun 2013 2 Aug 2013 2 4
-11.86% Mar 2017 Mar 2017 1 Apr 2017 1 2
-10.02% Sep 2017 Sep 2017 1 Oct 2017 1 2

Worst drawdowns since January 2009.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-81.56% Jul 2011 Nov 2011 5 Jan 2013 14 19
-80.43% Dec 2013 Apr 2015 17 Feb 2017 22 39
-73.81% Jan 2018 Jan 2019 13 Oct 2020 21 34
-69.06% Nov 2021 Jun 2022 8 in progress 4 12
-40.65% Apr 2021 Jun 2021 3 Oct 2021 4 7
-29.97% May 2013 Jun 2013 2 Aug 2013 2 4
-11.86% Mar 2017 Mar 2017 1 Apr 2017 1 2
-10.02% Sep 2017 Sep 2017 1 Oct 2017 1 2
-8.77% Mar 2011 Mar 2011 1 Apr 2011 1 2

Rolling Returns ( more details)

Bitcoin (^BTC) Commodity: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
955.27 23946.19
Jul 2010 - Jun 2011
-73.03
Feb 2014 - Jan 2015
20.65%
2 Years
329.06 1987.58
Dec 2011 - Nov 2013
-43.00
Dec 2013 - Nov 2015
8.39%
3 Years
267.41 1738.60
Dec 2010 - Nov 2013
-14.12
Dec 2013 - Nov 2016
0.76%
5 Years
212.73 575.68
Feb 2009 - Jan 2014
27.74
Nov 2017 - Oct 2022
0.00%
7 Years
184.68 400.12
Sep 2010 - Aug 2017
49.62
Dec 2013 - Nov 2020
0.00%
10 Years
188.26 238.15
Sep 2010 - Aug 2020
111.83
Oct 2012 - Sep 2022
0.00%
(*) Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the Bitcoin (^BTC) Commodity: Rolling Returns page.

Seasonality

Bitcoin (^BTC) Commodity: in which months is it better to invest?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
-0.74
40%
12.55
80%
-3.78
60%
15.95
60%
-0.69
40%
-7.12
20%
16.45
80%
-2.29
40%
-7.83
0%
16.43
80%
10.03
40%
8.66
40%
 Capital Growth on monthly avg returns
100
99.26
111.72
107.50
124.65
123.79
114.98
133.89
130.83
120.59
140.40
154.48
167.86
Best 30.8
2020
36.3
2021
30.2
2021
36.0
2020
61.3
2019
28.4
2019
24.9
2022
12.1
2021
-3.5
2022
40.4
2021
72.0
2017
50.2
2020
Worst -24.1
2018
-8.0
2020
-36.1
2018
-15.7
2022
-35.6
2021
-40.6
2022
-8.5
2019
-13.7
2022
-14.4
2019
-3.9
2018
-37.5
2018
-19.3
2021
Monthly Seasonality over the period Nov 2017 - Oct 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.94
40%
14.94
80%
12.43
40%
14.97
60%
11.37
60%
-1.60
40%
10.35
80%
5.17
40%
-6.35
30%
22.93
80%
58.12
70%
4.09
50%
 Capital Growth on monthly avg returns
100
101.94
117.17
131.73
151.45
168.66
165.96
183.13
192.61
180.39
221.75
350.63
364.97
Best 51.1
2013
63.6
2013
178.7
2013
49.7
2013
65.5
2017
28.4
2019
24.9
2022
72.0
2017
5.4
2016
57.7
2013
489.2
2013
50.2
2020
Worst -26.8
2015
-32.6
2014
-36.1
2018
-15.7
2022
-35.6
2021
-40.6
2022
-8.5
2019
-20.8
2015
-25.1
2014
-8.6
2014
-37.5
2018
-35.6
2013
Monthly Seasonality over the period Nov 2012 - Oct 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
7.77
57%
14.53
79%
8.25
50%
35.41
71%
19.15
71%
6.95
57%
9.01
79%
1.56
50%
-5.62
43%
28.13
71%
44.05
69%
11.07
62%
 Capital Growth on monthly avg returns
100
107.77
123.44
133.62
180.94
215.58
230.57
251.35
255.26
240.91
308.68
444.64
493.86
Best 73.3
2011
65.4
2011
178.7
2013
346.1
2011
149.7
2011
84.2
2011
39.8
2012
72.0
2017
22.1
2012
211.0
2010
489.2
2013
58.9
2011
Worst -26.8
2015
-32.6
2014
-36.1
2018
-15.7
2022
-35.6
2021
-40.6
2022
-17.1
2011
-38.6
2011
-37.3
2011
-36.8
2011
-37.5
2018
-35.6
2013
Monthly Seasonality over the period Jan 2009 - Oct 2022

Monthly/Yearly Returns

Bitcoin (^BTC) Commodity data source starts from January 2009: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 2009 - Oct 2022
105 Positive Months (63%) - 61 Negative Months (37%)
MONTHLY RETURNS TABLE
Jan 2009 - Oct 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2022
-54.98 -57.88 -16.7 13.4 4.6 -15.7 -17.1 -40.6 24.9 -13.7 -3.5 5.5
2021
+59.10 +48.64 13.7 36.3 30.2 -2.4 -35.6 -5.6 20.1 12.1 -6.8 40.4 -6.4 -19.3
2020
+305.46 +300.01 30.8 -8.0 -25.4 36.0 7.5 -3.0 24.3 2.7 -8.0 29.3 39.5 50.2
2019
+94.60 +90.25 -7.3 11.1 7.8 28.9 61.3 28.4 -8.5 -3.8 -14.4 10.8 -17.4 -4.8
2018
-71.75 -72.28 -24.1 10.0 -36.1 33.0 -19.6 -14.8 21.4 -8.7 -6.4 -3.9 -37.5 -6.7
2017
+1271.42 +1243.09 -3.3 29.2 -11.9 25.0 65.5 17.3 6.7 72.0 -10.0 45.7 72.0 23.9
2016
+124.13 +119.57 -11.0 15.9 -5.4 9.6 18.2 18.2 0.1 -9.7 5.4 14.8 5.4 30.2
2015
+37.13 +36.13 -26.8 10.6 -1.5 -8.6 3.2 10.7 11.0 -20.8 4.8 37.6 14.5 13.3
2014
-58.36 -58.67 13.1 -32.6 -16.7 -5.8 37.6 -2.4 -5.5 -11.1 -25.1 -8.6 9.7 -17.8
2013
+6187.49 +6094.47 51.1 63.6 178.7 49.7 -7.5 -24.3 8.9 32.8 0.6 57.7 489.2 -35.6
2012
+181.03 +176.22 16.1 -11.3 0.0 0.0 4.7 29.2 39.8 8.7 22.1 -9.7 12.2 7.5
2011
+1472.96 +1427.70 73.3 65.4 -8.8 346.1 149.7 84.2 -17.1 -38.6 -37.3 -36.8 -8.6 58.9
2010
+348.11 +341.50 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 211.0 0.0 44.1
2009
0.00 -2.65 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Share this page