Portfolio Analysis Report — 27-06-2026 19:36

1 Day

Window: 2026-06-26 → 2026-06-27 (2 rows)

Portfolio optimisation is skipped for single-day windows. Showing asset returns and single-asset stats only.

Asset Total Returns

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Assets priced in BTC — 1 Day (normalised to 1.0 at each asset's first real data date · smoothed · 2 rows)

Assets priced in GOLD — 1 Day (normalised to 1.0 at each asset's first real data date · smoothed · 2 rows)

Assets priced in SPX — 1 Day (normalised to 1.0 at each asset's first real data date · smoothed · 2 rows)

1 Week

Window: 2026-06-20 → 2026-06-27 (8 rows)

⚠ This window has only 8 rows. Covariance estimates are noisy — treat allocation weights as directional signals, not precise recommendations.

Claude Narrative Report

## Weekly Portfolio Analysis

This was a rough week across the board, with every asset in the red and no safe havens to speak of. Traditional equities held up relatively better, with the broad market index losing the least ground, while crypto assets bore the brunt of the selloff. Ethereum and the higher-beta altcoins like HYPE suffered the steepest declines, shedding roughly three to five times more value than defensive positions. Even gold, typically a flight-to-safety play, dropped meaningfully—suggesting this was a broad risk-off move rather than a sector-specific correction.

Among the tested portfolios, the minimum variance approach proved its worth by cutting losses nearly in half compared to equal-weight or maximum-Sharpe strategies. By heavily favoring the stability of equities while maintaining modest exposure to Bitcoin, the MinVar portfolio delivered the smallest drawdown and lowest volatility. The equal-weight and max-Sharpe portfolios performed identically—and poorly—because spreading capital evenly across such volatile assets during a synchronized decline offers no real protection. Notably, the single-asset dominance ratio below one indicates that diversified portfolios still outperformed simply holding any one asset alone.

Looking at individual holdings, Solana stands out as a relative winner among crypto despite its extreme volatility, losing only modestly while Bitcoin and Ethereum fell much harder. However, the risk-adjusted story remains unfavorable across all crypto assets, with deeply negative Sharpe ratios everywhere.

**Takeaway:** In sharp drawdown weeks like this, reducing crypto concentration and anchoring your portfolio with low-volatility traditional assets—rather than chasing diversification across multiple tokens—is what actually preserves capital.

Assets priced in BTC — 1 Week (normalised to 1.0 at each asset's first real data date · smoothed · 8 rows)

Assets priced in GOLD — 1 Week (normalised to 1.0 at each asset's first real data date · smoothed · 8 rows)

Assets priced in SPX — 1 Week (normalised to 1.0 at each asset's first real data date · smoothed · 8 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 72.0%, BTC 15.5%, GOOGL 12.5%
• Highest-return tested portfolio: MinVar — SPX 72.0%, BTC 15.5%, GOOGL 12.5%
• Best risk-adjusted tested portfolio: Equal — BTC 11.1%, ETH 11.1%, SOL 11.1%, HYPE 11.1%, GOLD 11.1%, SPX 11.1%, TSLA 11.1%, GOOGL 11.1%
• Lowest-drawdown tested portfolio: MinVar — SPX 72.0%, BTC 15.5%, GOOGL 12.5%
• Highest-return single asset: SPX — -1.95%
• Single-asset dominance ratio: 0.570x

1 Month

Window: 2026-05-28 → 2026-06-27 (31 rows)

Claude Narrative Report

## Monthly Portfolio Analysis

The past month delivered a brutal environment for risk assets, with nearly every major holding posting significant losses. Traditional crypto stalwarts Bitcoin and Ethereum were among the hardest hit, losing roughly a fifth of their value, while even supposedly safer assets like gold and the S&P 500 declined. The sole bright spot was HYPE, which managed a modest gain despite carrying the highest volatility in the group—a reminder that in chaotic markets, idiosyncratic winners can emerge from unexpected places.

Portfolio construction made a meaningful difference in navigating this downturn. The minimum variance strategy, which leaned heavily into the S&P 500 with small allocations to gold and Google, contained losses to under four percent while exhibiting less than half the volatility of an equal-weight approach. Meanwhile, the maximum Sharpe portfolio—split evenly between HYPE and the S&P 500—was the only strategy to eke out a positive return, though it required stomaching substantially higher volatility. The equal-weight portfolio, by contrast, simply averaged out the carnage and offered no defensive benefit.

The single-asset analysis underscores how punishing concentration risk can be during drawdowns. Holding Bitcoin alone meant absorbing a nearly twenty percent loss with a maximum drawdown pushing past nineteen percent, while Ethereum fared even worse. The data suggests that blending crypto exposure with lower-volatility traditional assets significantly dampened pain without completely sacrificing upside. **Takeaway:** When markets turn hostile, pairing crypto positions with a stable anchor like broad equities can cut your losses in half—pure crypto conviction may feel bold, but disciplined diversification is what keeps you in the game.

Assets priced in BTC — 1 Month (normalised to 1.0 at each asset's first real data date · smoothed · 31 rows)

Assets priced in GOLD — 1 Month (normalised to 1.0 at each asset's first real data date · smoothed · 31 rows)

Assets priced in SPX — 1 Month (normalised to 1.0 at each asset's first real data date · smoothed · 31 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 88.5%, GOLD 5.9%, GOOGL 5.5%
• Highest-return tested portfolio: MaxSharpe — HYPE 50.0%, SPX 50.0%
• Best risk-adjusted tested portfolio: MaxSharpe — HYPE 50.0%, SPX 50.0%
• Lowest-drawdown tested portfolio: MinVar — SPX 88.5%, GOLD 5.9%, GOOGL 5.5%
• Highest-return single asset: HYPE — 2.05%
• Single-asset dominance ratio: 2.518x

3 Months

Window: 2026-03-28 → 2026-06-27 (92 rows)

Claude Narrative Report

## Portfolio Analysis: Q1 2025

The past three months painted a stark picture of divergence across asset classes. Traditional equities and one standout crypto token dominated, while the major digital assets stumbled badly. HYPE delivered exceptional gains, more than doubling the return of the next best performer, while Google and the S&P 500 posted strong double-digit advances. Meanwhile, Bitcoin, Ethereum, and Solana all finished deep in the red, with ETH suffering the steepest decline of the group. Gold, often a safe haven, also retreated alongside the crypto majors—an unusual alignment that underscores just how selective this market has been.

The portfolio analysis reveals that diversification meaningfully outperformed holding any single major cryptocurrency. An equal-weight basket eked out a modest gain despite crypto's weakness, but the optimized portfolios told the real story. The minimum variance approach, concentrated heavily in the S&P 500 with a small JLP allocation, delivered solid returns with remarkably low drawdowns—under five percent peak-to-trough. The maximum Sharpe portfolio, which blended the S&P 500 with Google and a tactical HYPE position, generated the best risk-adjusted performance by a wide margin, capturing upside while keeping volatility in check.

The single-asset comparison is sobering for crypto purists. Holding Bitcoin alone meant enduring nearly thirty percent drawdowns while losing money over the quarter. Ethereum and Solana fared even worse, with volatility exceeding fifty percent and deeper losses. Only HYPE justified its risk, but its extreme volatility makes it unsuitable as a core holding.

**Takeaway:** In choppy crypto markets, blending selective digital asset exposure with stable equity positions—rather than going all-in on majors—dramatically improves your risk-adjusted returns and protects capital during drawdowns.

Assets priced in BTC — 3 Months (normalised to 1.0 at each asset's first real data date · smoothed · 92 rows)

Assets priced in GOLD — 3 Months (normalised to 1.0 at each asset's first real data date · smoothed · 92 rows)

Assets priced in SPX — 3 Months (normalised to 1.0 at each asset's first real data date · smoothed · 92 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 94.4%, JLP 5.6%
• Highest-return tested portfolio: MaxSharpe — SPX 50.0%, GOOGL 35.3%, HYPE 14.7%
• Best risk-adjusted tested portfolio: MaxSharpe — SPX 50.0%, GOOGL 35.3%, HYPE 14.7%
• Lowest-drawdown tested portfolio: MinVar — SPX 94.4%, JLP 5.6%
• Highest-return single asset: HYPE — 59.38%
• Single-asset dominance ratio: 2.305x

6 Months

Window: 2025-12-26 → 2026-06-27 (184 rows)

Claude Narrative Report

## Portfolio Analysis: Six-Month Review

The past six months have been brutal for crypto holders. The major tokens—Bitcoin, Ethereum, and Solana—all delivered deep losses, with Ethereum shedding nearly half its value and Solana not far behind. Meanwhile, traditional equities held up reasonably well, with the S&P 500 and Google both posting modest gains. The standout performer was HYPE, which more than doubled, though this came with extreme volatility that few investors could stomach in practice. Gold, often touted as a safe haven, actually declined nearly ten percent, offering little refuge.

When comparing portfolio strategies, the differences are striking. An equal-weight approach across all assets still lost money and experienced significant drawdowns, dragged down by heavy crypto exposure. The minimum variance portfolio, which leaned almost entirely into the S&P 500 with a small gold allocation, delivered the steadiest ride—modest gains with the lowest volatility and shallowest drawdown. The maximum Sharpe portfolio captured much of HYPE's explosive rally by pairing it with Google and the S&P 500, generating outstanding risk-adjusted returns, though its volatility was considerably higher than the conservative options.

The single-asset data reveals a critical lesson: concentration in any major cryptocurrency would have been devastating, while HYPE's exceptional Sharpe ratio reflects a rare momentum-driven outlier rather than a repeatable strategy. The best-performing diversified portfolios succeeded by blending a high-conviction position in HYPE with stable, lower-volatility assets like equities.

**Takeaway:** If you're committed to crypto exposure, limit it to a meaningful but minority position and anchor your portfolio with traditional equities—chasing pure crypto concentration would have destroyed capital this period, while thoughtful diversification preserved and even grew it.

Assets priced in BTC — 6 Months (normalised to 1.0 at each asset's first real data date · smoothed · 184 rows)

Assets priced in GOLD — 6 Months (normalised to 1.0 at each asset's first real data date · smoothed · 184 rows)

Assets priced in SPX — 6 Months (normalised to 1.0 at each asset's first real data date · smoothed · 184 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 95.1%, GOLD 4.9%
• Highest-return tested portfolio: MaxSharpe — HYPE 48.8%, GOOGL 29.9%, SPX 21.2%
• Best risk-adjusted tested portfolio: MaxSharpe — HYPE 48.8%, GOOGL 29.9%, SPX 21.2%
• Lowest-drawdown tested portfolio: MinVar — SPX 95.1%, GOLD 4.9%
• Highest-return single asset: HYPE — 143.71%
• Single-asset dominance ratio: 2.055x

12 Months

Window: 2025-06-27 → 2026-06-27 (366 rows)

Claude Narrative Report

**A Brutal Year for Crypto, a Banner Year for Tech**

Over the past twelve months, the crypto majors experienced a severe downturn while traditional assets and select tech names surged. Bitcoin, Ethereum, and Solana all posted deeply negative returns, with Solana losing nearly half its value amid crushing volatility. Meanwhile, Google delivered exceptional performance, nearly doubling in value, while the S&P 500 and gold provided steady, positive returns with far less turbulence. The standout crypto exception was HYPE, which gained substantially but came with stomach-churning swings and a drawdown exceeding sixty percent at its worst point.

**Diversification Proved Its Worth**

The portfolio data tells a compelling story about risk management. An equal-weight approach across all assets barely eked out a positive return and suffered a nearly thirty-percent drawdown — dragged down by heavy crypto exposure. However, the minimum-variance strategy, which concentrated heavily in the S&P 500 with a modest gold allocation, delivered solid returns with remarkably low volatility and a shallow drawdown. The maximum-Sharpe portfolio, dominated by Google with supporting positions in equities, gold, and a small HYPE allocation, achieved the best risk-adjusted performance by a wide margin, generating strong returns while keeping drawdowns manageable.

**Concentration Risk Cuts Both Ways**

Going all-in on any single crypto asset would have been devastating, with Bitcoin holders experiencing a drawdown exceeding fifty percent and Solana holders enduring a seventy-five percent peak-to-trough decline. Even HYPE, despite its strong final return, subjected investors to a gut-wrenching sixty-four percent drawdown along the way. Google was the lone single-asset bet that delivered both high returns and a superior Sharpe ratio, but that kind of outcome is difficult to predict in advance.

**Takeaway:** Rather than concentrating in crypto during uncertain periods, consider anchoring your portfolio in lower-volatility assets like broad equities and gold, then adding small, calculated positions in high-conviction crypto plays — this approach captured most of the upside while avoiding the catastrophic drawdowns that wiped out single-asset crypto holders.

Assets priced in BTC — 12 Months (normalised to 1.0 at each asset's first real data date · smoothed · 366 rows)

Assets priced in GOLD — 12 Months (normalised to 1.0 at each asset's first real data date · smoothed · 366 rows)

Assets priced in SPX — 12 Months (normalised to 1.0 at each asset's first real data date · smoothed · 366 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 90.7%, GOLD 9.3%
• Highest-return tested portfolio: MaxSharpe — GOOGL 50.0%, SPX 28.9%, GOLD 14.7%, HYPE 6.4%
• Best risk-adjusted tested portfolio: MaxSharpe — GOOGL 50.0%, SPX 28.9%, GOLD 14.7%, HYPE 6.4%
• Lowest-drawdown tested portfolio: MinVar — SPX 90.7%, GOLD 9.3%
• Highest-return single asset: GOOGL — 89.52%
• Single-asset dominance ratio: 1.473x

24 Months

Window: 2024-06-27 → 2026-06-27 (731 rows)

Claude Narrative Report

Over the past 24 months, major cryptocurrencies have been the portfolio's anchor—dragging returns down rather than driving them up. While equities like Tesla and Alphabet roughly doubled and gold delivered strong gains, Bitcoin essentially broke even and both Ethereum and Solana lost more than half their value. This period starkly illustrates that crypto's volatility cuts both ways, and during this window, it cut deep.

The portfolio analysis reveals a compelling case for diversification away from crypto-heavy allocations. The minimum variance portfolio, dominated by broad equities and gold with only trace crypto exposure, delivered nearly 48% returns with volatility less than one-fifth that of Solana. Meanwhile, the maximum Sharpe portfolio—which excluded crypto entirely in favor of gold, tech stocks, and the S&P 500—generated returns approaching gold's standalone performance but with far better risk-adjusted efficiency. Even the simple equal-weight approach outperformed a Bitcoin-only allocation by a wide margin while experiencing a much shallower drawdown.

What stands out most is that during this stretch, traditional assets weren't just safer—they were more rewarding. Gold in particular delivered equity-like returns with bond-like stability, while the major cryptocurrencies offered neither growth nor protection. The optimized portfolios found no reason to include meaningful crypto exposure because the risk simply wasn't being compensated.

**Takeaway:** If you're a crypto investor, this data argues strongly for treating digital assets as a small satellite position rather than a portfolio core—allocating the bulk of your capital to diversified traditional assets and limiting crypto to what you can afford to see cut in half.

Assets priced in BTC — 24 Months (normalised to 1.0 at each asset's first real data date · smoothed · 731 rows)

Assets priced in GOLD — 24 Months (normalised to 1.0 at each asset's first real data date · smoothed · 731 rows)

Assets priced in SPX — 24 Months (normalised to 1.0 at each asset's first real data date · smoothed · 731 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 67.4%, GOLD 30.8%, JLP 1.8%
• Highest-return tested portfolio: MaxSharpe — GOLD 50.0%, GOOGL 25.7%, SPX 19.9%, TSLA 4.4%
• Best risk-adjusted tested portfolio: MaxSharpe — GOLD 50.0%, GOOGL 25.7%, SPX 19.9%, TSLA 4.4%
• Lowest-drawdown tested portfolio: MinVar-C50 — SPX 50.0%, GOLD 39.3%, JLP 6.6%, GOOGL 4.1%
• Highest-return single asset: TSLA — 92.34%
• Single-asset dominance ratio: 1.213x

3 Years

Window: 2023-06-27 → 2026-06-27 (1097 rows)

Claude Narrative Report

## Portfolio Analysis: Three-Year Performance Review

Over the past three years, crypto markets delivered wildly divergent outcomes. Solana emerged as the standout performer, generating returns more than three times greater than Bitcoin, which itself nearly doubled. Ethereum, meanwhile, finished in negative territory—a stark reminder that not all major cryptocurrencies move in lockstep. Among traditional assets, Alphabet significantly outpaced the broader market index, while gold delivered steady, substantial gains that exceeded Bitcoin's return with far less turbulence.

The portfolio comparisons reveal a compelling case for diversification over concentration. While Solana's raw returns were unmatched, holding it alone meant enduring drawdowns exceeding three-quarters of portfolio value and volatility roughly five times higher than the optimized portfolios. The maximum Sharpe ratio portfolio, which leaned heavily into gold and traditional equities with only modest crypto exposure, delivered roughly half of Solana's return but with drastically superior risk-adjusted performance—its Sharpe ratio of 2.3 meaningfully exceeded even Solana's 1.55. The minimum variance approaches sacrificed some upside but kept drawdowns to around twelve percent, a fraction of what single-asset crypto holders experienced.

What stands out is how the best-performing optimized portfolios allocated capital: gold anchored nearly half the maximum Sharpe portfolio, with equities comprising most of the remainder and Solana representing less than seven percent. This construction captured meaningful crypto upside while traditional assets provided ballast during volatile stretches.

**Takeaway:** Rather than concentrating in any single cryptocurrency—even a top performer—crypto investors should consider anchoring portfolios with stable assets like gold and broad equities, then adding selective crypto exposure; this approach historically delivered stronger risk-adjusted returns and far shallower drawdowns than going all-in on digital assets alone.

Assets priced in BTC — 3 Years (normalised to 1.0 at each asset's first real data date · smoothed · 1097 rows · dotted = backfilled prefix: JLP)

Assets priced in GOLD — 3 Years (normalised to 1.0 at each asset's first real data date · smoothed · 1097 rows · dotted = backfilled prefix: JLP)

Assets priced in SPX — 3 Years (normalised to 1.0 at each asset's first real data date · smoothed · 1097 rows · dotted = backfilled prefix: JLP)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 64.3%, GOLD 32.0%, JLP 3.8%
• Highest-return tested portfolio: MaxSharpe — GOLD 47.9%, GOOGL 24.5%, SPX 20.9%, SOL 6.8%
• Best risk-adjusted tested portfolio: MaxSharpe — GOLD 47.9%, GOOGL 24.5%, SPX 20.9%, SOL 6.8%
• Lowest-drawdown tested portfolio: MinVar-C50 — SPX 50.0%, GOLD 39.6%, JLP 8.0%, GOOGL 2.3%
• Highest-return single asset: SOL — 331.06%
• Single-asset dominance ratio: 2.163x

4 Years

Window: 2022-06-28 → 2026-06-27 (1461 rows)

Claude Narrative Report

Over the past four years, the crypto assets in this dataset delivered a tale of two extremes. Bitcoin nearly tripled in value and matched the best-performing traditional stock, but it came with gut-wrenching volatility and a drawdown that cut portfolios in half at its worst. Ethereum and Solana fared far worse on a risk-adjusted basis—both endured catastrophic drawdowns exceeding sixty percent while delivering returns that lagged gold and even the broad market. For a crypto investor, this period was a stark reminder that headline returns mean little if you can't stomach the ride down.

The portfolio analysis reveals something counterintuitive: simply spreading money equally across all seven assets captured nearly all of Bitcoin's upside while cutting volatility by almost a third. However, the smarter approach was the maximum Sharpe portfolio, which leaned heavily into gold and traditional equities while keeping only a modest Bitcoin allocation and virtually no exposure to altcoins. This blend delivered returns fifty percent higher than the S&P 500 with comparable volatility and a fraction of the drawdown risk that pure crypto holders experienced. The minimum variance portfolios, which excluded crypto almost entirely, offered the smoothest ride with the shallowest losses during downturns.

The single-asset dominance ratio of just over one tells the critical story: no individual holding meaningfully outperformed a well-constructed diversified portfolio. Google matched Bitcoin's return with far less pain, and gold quietly outpaced three of the four crypto assets while letting investors sleep at night. The practical takeaway is clear—if you want crypto exposure, size it small within a diversified portfolio rather than concentrating; a five-to-ten percent Bitcoin allocation captured meaningful upside in the optimized portfolio while letting traditional assets do the heavy lifting on risk management.

Assets priced in BTC — 4 Years (normalised to 1.0 at each asset's first real data date · smoothed · 1461 rows)

Assets priced in GOLD — 4 Years (normalised to 1.0 at each asset's first real data date · smoothed · 1461 rows)

Assets priced in SPX — 4 Years (normalised to 1.0 at each asset's first real data date · smoothed · 1461 rows)

Allocation Model Guide

Equal: splits capital evenly across all selected assets. This is the neutral benchmark.

MinVar: the unconstrained minimum-variance portfolio. It seeks the lowest historical variance and is allowed to put 100% into one asset if that appears safest.

MinVar-C50: also a minimum-variance portfolio, but no asset may exceed 50%. This forces more diversification and is usually more practical.

MaxSharpe: the offensive portfolio. Maximises return per unit of risk (Sharpe ratio), capped at 50% per asset. Where MinVar and MinVar-C50 ask "how do I lose least?", MaxSharpe asks "how do I earn most efficiently?"

How to read this: when MaxSharpe and MinVar-C50 agree on weights, the signal is strong — the market is rewarding diversification. When they diverge sharply, the market is in a momentum-driven regime favouring concentration.

Exact allocations for this timeframe

Asset Total Returns

Correlation Matrix

Tested Portfolio Comparison

Single-Asset Comparison

This table answers the question: "What if I held 100% of just one asset?"

Deterministic Summary

• Best low-risk tested portfolio: MinVar — SPX 60.4%, GOLD 39.6%
• Highest-return tested portfolio: Equal — BTC 14.3%, ETH 14.3%, SOL 14.3%, GOLD 14.3%, SPX 14.3%, TSLA 14.3%, GOOGL 14.3%
• Best risk-adjusted tested portfolio: MaxSharpe — GOLD 48.4%, SPX 27.5%, GOOGL 16.1%, BTC 7.6%, SOL 0.4%
• Lowest-drawdown tested portfolio: MinVar-C50 — SPX 50.0%, GOLD 48.8%, BTC 0.7%, GOOGL 0.5%
• Highest-return single asset: GOOGL — 203.89%
• Single-asset dominance ratio: 1.045x