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BITQ vs. BTC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


BITQBTC-USD
YTD Return80.33%108.10%
1Y Return200.74%140.96%
3Y Return (Ann)-13.58%10.91%
Sharpe Ratio2.721.10
Sortino Ratio3.191.80
Omega Ratio1.361.18
Calmar Ratio2.410.94
Martin Ratio10.894.49
Ulcer Index17.46%13.18%
Daily Std Dev69.77%44.51%
Max Drawdown-90.32%-93.07%
Current Drawdown-36.08%-0.84%

Correlation

-0.50.00.51.00.6

The correlation between BITQ and BTC-USD is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

BITQ vs. BTC-USD - Performance Comparison

In the year-to-date period, BITQ achieves a 80.33% return, which is significantly lower than BTC-USD's 108.10% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%60.00%80.00%100.00%JuneJulyAugustSeptemberOctoberNovember
94.07%
42.90%
BITQ
BTC-USD

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Risk-Adjusted Performance

BITQ vs. BTC-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bitwise Crypto Industry Innovators ETF (BITQ) and Bitcoin (BTC-USD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


BITQ
Sharpe ratio
The chart of Sharpe ratio for BITQ, currently valued at 2.35, compared to the broader market-2.000.002.004.002.35
Sortino ratio
The chart of Sortino ratio for BITQ, currently valued at 3.05, compared to the broader market0.005.0010.003.05
Omega ratio
The chart of Omega ratio for BITQ, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for BITQ, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.23
Martin ratio
The chart of Martin ratio for BITQ, currently valued at 9.95, compared to the broader market0.0020.0040.0060.0080.00100.009.95
BTC-USD
Sharpe ratio
The chart of Sharpe ratio for BTC-USD, currently valued at 1.10, compared to the broader market-2.000.002.004.001.10
Sortino ratio
The chart of Sortino ratio for BTC-USD, currently valued at 1.80, compared to the broader market0.005.0010.001.80
Omega ratio
The chart of Omega ratio for BTC-USD, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for BTC-USD, currently valued at 0.94, compared to the broader market0.005.0010.0015.000.94
Martin ratio
The chart of Martin ratio for BTC-USD, currently valued at 4.49, compared to the broader market0.0020.0040.0060.0080.00100.004.49

BITQ vs. BTC-USD - Sharpe Ratio Comparison

The current BITQ Sharpe Ratio is 2.72, which is higher than the BTC-USD Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of BITQ and BTC-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.002.004.006.00JuneJulyAugustSeptemberOctoberNovember
2.35
1.10
BITQ
BTC-USD

Drawdowns

BITQ vs. BTC-USD - Drawdown Comparison

The maximum BITQ drawdown since its inception was -90.32%, roughly equal to the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for BITQ and BTC-USD. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-36.08%
-0.84%
BITQ
BTC-USD

Volatility

BITQ vs. BTC-USD - Volatility Comparison

Bitwise Crypto Industry Innovators ETF (BITQ) has a higher volatility of 26.47% compared to Bitcoin (BTC-USD) at 16.08%. This indicates that BITQ's price experiences larger fluctuations and is considered to be riskier than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
26.47%
16.08%
BITQ
BTC-USD