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

Key characteristics


COINBTC-USD
YTD Return12.90%56.27%
1Y Return167.40%143.18%
3Y Return (Ann)-11.28%2.35%
Sharpe Ratio2.131.61
Sortino Ratio2.692.27
Omega Ratio1.301.23
Calmar Ratio2.011.16
Martin Ratio7.336.77
Ulcer Index22.00%13.05%
Daily Std Dev75.72%43.72%
Max Drawdown-90.90%-93.07%
Current Drawdown-45.06%-9.63%

Correlation

-0.50.00.51.00.5

The correlation between COIN and BTC-USD is 0.49, 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.

Performance

COIN vs. BTC-USD - Performance Comparison

In the year-to-date period, COIN achieves a 12.90% return, which is significantly lower than BTC-USD's 56.27% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-60.00%-40.00%-20.00%0.00%20.00%MayJuneJulyAugustSeptemberOctober
-40.19%
4.65%
COIN
BTC-USD

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Coinbase Global, Inc. (COIN) 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.


COIN
Sharpe ratio
The chart of Sharpe ratio for COIN, currently valued at 1.41, compared to the broader market-4.00-2.000.002.004.001.41
Sortino ratio
The chart of Sortino ratio for COIN, currently valued at 2.23, compared to the broader market-4.00-2.000.002.004.002.23
Omega ratio
The chart of Omega ratio for COIN, currently valued at 1.24, compared to the broader market0.501.001.502.001.24
Calmar ratio
The chart of Calmar ratio for COIN, currently valued at 0.85, compared to the broader market0.002.004.006.000.85
Martin ratio
The chart of Martin ratio for COIN, currently valued at 4.74, compared to the broader market-10.000.0010.0020.0030.004.74
BTC-USD
Sharpe ratio
The chart of Sharpe ratio for BTC-USD, currently valued at 1.61, compared to the broader market-4.00-2.000.002.004.001.61
Sortino ratio
The chart of Sortino ratio for BTC-USD, currently valued at 2.27, compared to the broader market-4.00-2.000.002.004.002.27
Omega ratio
The chart of Omega ratio for BTC-USD, currently valued at 1.23, compared to the broader market0.501.001.502.001.23
Calmar ratio
The chart of Calmar ratio for BTC-USD, currently valued at 1.16, compared to the broader market0.002.004.006.001.16
Martin ratio
The chart of Martin ratio for BTC-USD, currently valued at 6.77, compared to the broader market-10.000.0010.0020.0030.006.77

COIN vs. BTC-USD - Sharpe Ratio Comparison

The current COIN Sharpe Ratio is 2.13, which is higher than the BTC-USD Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of COIN 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 Ratio0.002.004.006.00MayJuneJulyAugustSeptemberOctober
1.41
1.61
COIN
BTC-USD

Drawdowns

COIN vs. BTC-USD - Drawdown Comparison

The maximum COIN drawdown since its inception was -90.90%, roughly equal to the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for COIN and BTC-USD. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-45.06%
-9.63%
COIN
BTC-USD

Volatility

COIN vs. BTC-USD - Volatility Comparison

Coinbase Global, Inc. (COIN) has a higher volatility of 20.46% compared to Bitcoin (BTC-USD) at 11.25%. This indicates that COIN'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%25.00%MayJuneJulyAugustSeptemberOctober
20.46%
11.25%
COIN
BTC-USD