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BITW vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BITWSPY
YTD Return114.98%26.77%
1Y Return136.20%37.43%
3Y Return (Ann)-0.16%10.15%
Sharpe Ratio2.193.06
Sortino Ratio2.554.08
Omega Ratio1.331.58
Calmar Ratio1.594.44
Martin Ratio10.4620.11
Ulcer Index13.50%1.85%
Daily Std Dev64.40%12.18%
Max Drawdown-96.46%-55.19%
Current Drawdown-64.20%-0.31%

Correlation

-0.50.00.51.00.3

The correlation between BITW and SPY is 0.33, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

BITW vs. SPY - Performance Comparison

In the year-to-date period, BITW achieves a 114.98% return, which is significantly higher than SPY's 26.77% 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%JuneJulyAugustSeptemberOctoberNovember
55.67%
13.38%
BITW
SPY

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Risk-Adjusted Performance

BITW vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bitwise 10 Crypto Index Fund (BITW) and SPDR S&P 500 ETF (SPY). 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.


BITW
Sharpe ratio
The chart of Sharpe ratio for BITW, currently valued at 2.19, compared to the broader market-4.00-2.000.002.004.002.19
Sortino ratio
The chart of Sortino ratio for BITW, currently valued at 2.55, compared to the broader market-4.00-2.000.002.004.006.002.55
Omega ratio
The chart of Omega ratio for BITW, currently valued at 1.33, compared to the broader market0.501.001.502.001.33
Calmar ratio
The chart of Calmar ratio for BITW, currently valued at 1.59, compared to the broader market0.002.004.006.001.59
Martin ratio
The chart of Martin ratio for BITW, currently valued at 10.46, compared to the broader market0.0010.0020.0030.0010.46
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-4.00-2.000.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-4.00-2.000.002.004.006.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.002.004.006.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0010.0020.0030.0020.11

BITW vs. SPY - Sharpe Ratio Comparison

The current BITW Sharpe Ratio is 2.19, which is comparable to the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of BITW and SPY, 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
2.19
3.06
BITW
SPY

Dividends

BITW vs. SPY - Dividend Comparison

BITW has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
BITW
Bitwise 10 Crypto Index Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BITW vs. SPY - Drawdown Comparison

The maximum BITW drawdown since its inception was -96.46%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BITW and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-64.20%
-0.31%
BITW
SPY

Volatility

BITW vs. SPY - Volatility Comparison

Bitwise 10 Crypto Index Fund (BITW) has a higher volatility of 18.11% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that BITW's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.11%
3.88%
BITW
SPY