Bitcoin: Modern Portfolio Theory and the Sharpe Ratio

Modern Portfolio Theory was developed decades ago, and in this video, we introduce it as we begin a new video series. In this video, we show the Sharpe ratio for Bitcoin, and compare it to the S&P 500 and Ethereum. During the course of this year, we will investigate various cryptocurrency sectors and weighting techniques to identify "The Efficient Frontier," or the manner in which you can maximize your expected return at a certain risk level, by changing the weights on your portfolio.

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[kallsin]

One of the Best crypto channels, truly a hidden gem.

[satoshi]

Valuable analysis with risk adjusted returns. More content like this would be greatly appreciated!

[chrisweiss]

First channel where Sharpe of btc is displayed. Would love to see Sortino ratio...

[ThaOneBigAndSmallOne]

Gotta‘ say you are amazing:D what programs do you use to plot & calculate your values? And where do you get your data for all this stuff? Thanks!:)

[vittoriocotroni]

Really interesting content Ben.
Really many thanks for sharing this !!!

[sajidmughal]

this is an amazing perspective, i like it

[jimreid]

Hi Ben, given the current macroeconomic environment it would be really insightful for you to use the Treynor Ratio and compare it with the Sharpe Ratio. Great vid marrying theoretical finance with crypto! I look forward to more.

[TheTaurusGaming]

Great video Ben, could you make a update video on this topic?

[BaRzOmk]

Pls. add subtitles on your videos. Thanks for your hard work...

[tomweekes]

Hey Ben, thanks for the video's just wondering, do you make your own charts, with pandas or something similar?

[DharmakayaReflections]

Can you please do this again but with eth? Compare with top 10 please

[phillarcher]

great idea i d be excited to see this on the premium list, where can we find it?
thanks

Great idea 💚 I would be interested in P2P-Credit-Charts/Ideas.

[jmh]

What lookback period are you using for sigma and returns?

[coulombicdistortion]

What was your expected Sharpe ratio at the next peak, assuming bitcoin peaks as you predict sometime in 2023. I couldn't tell from the chart. Thanks

[primepremium]

Now that it appears we are not in a lengthened cycle, do you still think the next cycle peak will be 2030?

[lysander]

Is this measured in inflation-adjusted dollars?

[futuresense]

But is Sharpe Ratio even accurate if it equates Volatility (σ) with Risk? Since volatility is not always correlated with risk, Warren Buffet even said multiple times that Volatility and risk are not the same thing.
I guess the saying that "all models are wrong but some are useful" really applies here.

[AlexFlasinski]

Who else is here to pass the investing masterclass final exam from Hustlers University?

[itsclint]

"There are at least three good reasons to ignore what Peter Lynch is buying. (1 )he might be wrong! (A long list of losers from my own portfolio consistently remind me that so-called smart money is extremely dumb about 40% of the time); (2) even if he's right, you'll never know when he's changed his mind about a stock and sold; and (3) you've got better sources, and they're all around you. What makes them better is that you can keep tabs on them, just as I keep tabs on mine."

Peter Lynch