PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BITW vs. BTC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BITW and BTC-USD is 0.52, 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.


-0.50.00.51.00.5

Performance

BITW vs. BTC-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bitwise 10 Crypto Index Fund (BITW) and Bitcoin (BTC-USD). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
75.51%
54.73%
BITW
BTC-USD

Key characteristics

Sharpe Ratio

BITW:

2.47

BTC-USD:

1.41

Sortino Ratio

BITW:

2.75

BTC-USD:

2.14

Omega Ratio

BITW:

1.36

BTC-USD:

1.21

Calmar Ratio

BITW:

1.83

BTC-USD:

1.22

Martin Ratio

BITW:

12.06

BTC-USD:

6.70

Ulcer Index

BITW:

13.46%

BTC-USD:

10.77%

Daily Std Dev

BITW:

65.76%

BTC-USD:

44.31%

Max Drawdown

BITW:

-96.46%

BTC-USD:

-93.07%

Current Drawdown

BITW:

-56.59%

BTC-USD:

-7.90%

Returns By Period

In the year-to-date period, BITW achieves a 160.69% return, which is significantly higher than BTC-USD's 131.29% return.


BITW

YTD

160.69%

1M

4.96%

6M

75.51%

1Y

157.91%

5Y*

N/A

10Y*

N/A

BTC-USD

YTD

131.29%

1M

3.62%

6M

52.51%

1Y

122.84%

5Y*

67.06%

10Y*

76.43%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Bitwise 10 Crypto Index Fund (BITW) 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.


Sharpe ratio
The chart of Sharpe ratio for BITW, currently valued at 2.31, compared to the broader market-4.00-2.000.002.002.311.41
The chart of Sortino ratio for BITW, currently valued at 2.86, compared to the broader market-4.00-2.000.002.004.002.862.14
The chart of Omega ratio for BITW, currently valued at 1.35, compared to the broader market0.501.001.502.001.351.21
The chart of Calmar ratio for BITW, currently valued at 0.89, compared to the broader market0.002.004.006.000.891.22
The chart of Martin ratio for BITW, currently valued at 10.55, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.556.70
BITW
BTC-USD

The current BITW Sharpe Ratio is 2.47, which is higher than the BTC-USD Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of BITW 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 Ratio0.001.002.003.004.005.006.00JulyAugustSeptemberOctoberNovemberDecember
2.31
1.41
BITW
BTC-USD

Drawdowns

BITW vs. BTC-USD - Drawdown Comparison

The maximum BITW drawdown since its inception was -96.46%, roughly equal to the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for BITW and BTC-USD. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-56.59%
-7.90%
BITW
BTC-USD

Volatility

BITW vs. BTC-USD - Volatility Comparison

Bitwise 10 Crypto Index Fund (BITW) has a higher volatility of 19.53% compared to Bitcoin (BTC-USD) at 14.07%. This indicates that BITW'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%JulyAugustSeptemberOctoberNovemberDecember
19.53%
14.07%
BITW
BTC-USD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab