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

Correlation

The correlation between BTC-USD and IBIT is 0.76, 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.


-0.50.00.51.00.8

Performance

BTC-USD vs. IBIT - Performance Comparison

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

-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
54.72%
49.84%
BTC-USD
IBIT

Key characteristics

Daily Std Dev

BTC-USD:

44.31%

IBIT:

57.34%

Max Drawdown

BTC-USD:

-93.07%

IBIT:

-27.51%

Current Drawdown

BTC-USD:

-7.90%

IBIT:

-9.75%

Returns By Period


BTC-USD

YTD

131.29%

1M

3.62%

6M

52.51%

1Y

122.84%

5Y*

67.06%

10Y*

76.43%

IBIT

YTD

N/A

1M

2.03%

6M

49.84%

1Y

N/A

5Y*

N/A

10Y*

N/A

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-USD) and iShares Bitcoin Trust (IBIT). 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 market0.001.002.003.004.005.001.411.23
The chart of Sortino ratio for BTC-USD, currently valued at 2.14, compared to the broader market-1.000.001.002.003.004.005.002.141.92
The chart of Omega ratio for BTC-USD, currently valued at 1.21, compared to the broader market1.001.201.401.211.22
The chart of Calmar ratio for BTC-USD, currently valued at 1.22, compared to the broader market1.002.003.004.001.221.10
The chart of Martin ratio for BTC-USD, currently valued at 6.70, compared to the broader market0.0010.0020.0030.0040.006.706.37
BTC-USD
IBIT


Rolling 12-month Sharpe Ratio0.600.801.001.201.401.601.80Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17Nov 24DecemberDec 08Dec 15
1.41
1.23
BTC-USD
IBIT

Drawdowns

BTC-USD vs. IBIT - Drawdown Comparison

The maximum BTC-USD drawdown since its inception was -93.07%, which is greater than IBIT's maximum drawdown of -27.51%. Use the drawdown chart below to compare losses from any high point for BTC-USD and IBIT. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.90%
-9.75%
BTC-USD
IBIT

Volatility

BTC-USD vs. IBIT - Volatility Comparison

The current volatility for Bitcoin (BTC-USD) is 14.07%, while iShares Bitcoin Trust (IBIT) has a volatility of 15.98%. This indicates that BTC-USD experiences smaller price fluctuations and is considered to be less risky than IBIT 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%
15.98%
BTC-USD
IBIT
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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.

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