BTC-USD vs. PBP
BTC-USD (Bitcoin) is a cryptocurrency, while PBP (Invesco S&P 500 BuyWrite ETF) is Derivative Income fund tracking the Cboe S&P 500 BuyWrite Index. Over the past 10 years, BTC-USD returned 59.68%/yr vs 7.06%/yr for PBP. At a 0.10 correlation, their price movements are largely independent.
Performance
BTC-USD vs. PBP - Performance Comparison
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Returns By Period
In the year-to-date period, BTC-USD achieves a -28.54% return, which is significantly lower than PBP's 4.30% return. Over the past 10 years, BTC-USD has outperformed PBP with an annualized return of 59.68%, while PBP has yielded a comparatively lower 7.06% annualized return.
BTC-USD
- 1D
- -1.22%
- 1M
- -22.47%
- YTD
- -28.54%
- 6M
- -31.02%
- 1Y
- -40.89%
- 3Y*
- 33.16%
- 5Y*
- 10.82%
- 10Y*
- 59.68%
PBP
- 1D
- 0.31%
- 1M
- 0.78%
- YTD
- 4.30%
- 6M
- 5.70%
- 1Y
- 17.11%
- 3Y*
- 11.30%
- 5Y*
- 7.97%
- 10Y*
- 7.06%
BTC-USD vs. PBP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
BTC-USD Bitcoin | -28.54% | -6.27% | 120.76% | 155.82% | -64.23% | 59.40% | 304.57% | 94.10% | -73.37% | 1,324.24% |
PBP Invesco S&P 500 BuyWrite ETF | 4.30% | 8.49% | 19.83% | 11.59% | -11.82% | 19.97% | -3.31% | 14.60% | -5.57% | 11.98% |
Correlation
The correlation between BTC-USD and PBP is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.25 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since Sep 23, 2012 | 0.10 |
Over the past year, BTC-USD and PBP have become more correlated (0.32) than their long-term average of 0.10, meaning their price movements have been converging.
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Return for Risk
BTC-USD vs. PBP — Risk / Return Rank
BTC-USD
PBP
BTC-USD vs. PBP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-USD) and Invesco S&P 500 BuyWrite ETF (PBP). 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.
| BTC-USD | PBP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.43 | ||
| Sortino ratioReturn per unit of downside risk | -4.91 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.55 | -0.69 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | 3.29 | -4.09 |
| Martin ratioReturn relative to average drawdown | -1.42 | 17.37 | -18.79 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| BTC-USD | PBP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.95 | 2.48 | -3.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.20 | 0.68 | -0.47 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.87 | 0.52 | +0.36 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.13 | 0.34 | +0.79 |
Drawdowns
BTC-USD vs. PBP - Drawdown Comparison
The maximum BTC-USD drawdown since its inception was -85.30%, which is greater than PBP's maximum drawdown of -43.43%. Use the drawdown chart below to compare losses from any high point for BTC-USD and PBP.
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Drawdown Indicators
| BTC-USD | PBP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.30% | -43.43% | -41.87% |
Max Drawdown (1Y)Largest decline over 1 year | -51.21% | -5.22% | -45.99% |
Max Drawdown (3Y)Largest decline over 3 years | -51.21% | -15.42% | -35.79% |
Max Drawdown (5Y)Largest decline over 5 years | -76.67% | -18.61% | -58.06% |
Max Drawdown (10Y)Largest decline over 10 years | -83.80% | -33.31% | -50.49% |
Current DrawdownCurrent decline from peak | -49.86% | -0.74% | -49.12% |
Average DrawdownAverage peak-to-trough decline | -42.32% | -6.69% | -35.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.46% | 0.99% | +33.47% |
Volatility
BTC-USD vs. PBP - Volatility Comparison
Bitcoin (BTC-USD) has a higher volatility of 11.59% compared to Invesco S&P 500 BuyWrite ETF (PBP) at 1.43%. This indicates that BTC-USD's price experiences larger fluctuations and is considered to be riskier than PBP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BTC-USD | PBP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.59% | 1.43% | +10.16% |
Volatility (6M)Calculated over the trailing 6-month period | 34.53% | 5.62% | +28.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 35.67% | 6.95% | +28.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 44.95% | 11.87% | +33.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.71% | 13.67% | +43.04% |
Frequently Asked Questions
BTC-USD and PBP have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (11.59%) compared to PBP (1.43%). In terms of maximum drawdown, BTC-USD dropped -85.30% vs PBP's -43.43%.
PBP currently has the higher Sharpe Ratio (2.48 vs -0.95), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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