Fidelity Bitcoin Study: Defend Non‑Zero BTC in 60/40 Portfolios

Fidelity Digital Assets published a study (Chris Kuiper) arguing that bitcoin allocation can no longer be treated as a fringe question. The central framing shifts from “should we consider bitcoin?” to “what is your current bitcoin allocation, and why?” Fidelity says bitcoin has been the top-performing asset in 11 of the last 15 years, with strong risk-adjusted returns versus other holdings, despite its highest volatility. On portfolio construction, Fidelity claims that adding bitcoin to a traditional 60/40 mix of US stocks and aggregate US bonds historically improved both annual and total returns. It also reports that volatility rose, but risk-adjusted measures (Sharpe and Sortino) improved most when moving from 1% to 3% bitcoin exposure. It further argues that maximum drawdowns may not worsen as much as conservative managers fear, helped by bitcoin’s low correlation and annual rebalancing. Macro links are also highlighted: Fidelity notes that changes in global M2 explained 87% of BTC price changes over 15 years (correlation, not causation). The study positions bitcoin as complementary to gold as an inflation-hedge narrative. Key modelling outputs: with “conservative” assumptions, the maximum-Sharpe mean-variance result included 9.4% bitcoin and 0% bonds. A separate Kelly Criterion exercise suggested larger sizing, but Fidelity warns results depend on assumptions. For traders, the message is clear: bitcoin’s payoff asymmetry may justify more than a token allocation within legacy portfolios—especially if bonds lose “ballast” from a regime of weaker fixed-income returns.