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

Correlation

The correlation between BTC-USD and BITO is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

BTC-USD vs. BITO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bitcoin (BTC-USD) and ProShares Bitcoin Strategy ETF (BITO). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
54.72%
45.66%
BTC-USD
BITO

Key characteristics

Sharpe Ratio

BTC-USD:

1.41

BITO:

1.82

Sortino Ratio

BTC-USD:

2.14

BITO:

2.47

Omega Ratio

BTC-USD:

1.21

BITO:

1.29

Calmar Ratio

BTC-USD:

1.22

BITO:

2.22

Martin Ratio

BTC-USD:

6.70

BITO:

7.75

Ulcer Index

BTC-USD:

10.77%

BITO:

13.51%

Daily Std Dev

BTC-USD:

44.31%

BITO:

57.57%

Max Drawdown

BTC-USD:

-93.07%

BITO:

-77.86%

Current Drawdown

BTC-USD:

-7.90%

BITO:

-9.85%

Returns By Period

In the year-to-date period, BTC-USD achieves a 131.29% return, which is significantly higher than BITO's 113.45% return.


BTC-USD

YTD

131.29%

1M

3.62%

6M

52.51%

1Y

122.84%

5Y*

67.06%

10Y*

76.43%

BITO

YTD

113.45%

1M

1.10%

6M

45.67%

1Y

103.62%

5Y*

N/A

10Y*

N/A

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

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

This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-USD) and ProShares Bitcoin Strategy ETF (BITO). 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 BTC-USD, currently valued at 1.41, compared to the broader market0.001.002.003.004.005.001.411.04
The chart of Sortino ratio for BTC-USD, currently valued at 2.14, compared to the broader market-1.000.001.002.003.004.005.002.141.72
The chart of Omega ratio for BTC-USD, currently valued at 1.21, compared to the broader market1.001.201.401.211.20
The chart of Calmar ratio for BTC-USD, currently valued at 1.22, compared to the broader market1.002.003.004.001.220.78
The chart of Martin ratio for BTC-USD, currently valued at 6.70, compared to the broader market0.0010.0020.0030.0040.006.705.11
BTC-USD
BITO

The current BTC-USD Sharpe Ratio is 1.41, which is comparable to the BITO Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of BTC-USD and BITO, 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.41
1.04
BTC-USD
BITO

Drawdowns

BTC-USD vs. BITO - Drawdown Comparison

The maximum BTC-USD drawdown since its inception was -93.07%, which is greater than BITO's maximum drawdown of -77.86%. Use the drawdown chart below to compare losses from any high point for BTC-USD and BITO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.90%
-9.85%
BTC-USD
BITO

Volatility

BTC-USD vs. BITO - Volatility Comparison

The current volatility for Bitcoin (BTC-USD) is 14.07%, while ProShares Bitcoin Strategy ETF (BITO) has a volatility of 16.16%. This indicates that BTC-USD experiences smaller price fluctuations and is considered to be less risky than BITO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
14.07%
16.16%
BTC-USD
BITO
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