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

Correlation

The correlation between DEFI and BTC-USD is 0.73, 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

DEFI vs. BTC-USD - Performance Comparison

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

-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
56.71%
54.00%
DEFI
BTC-USD

Key characteristics

Sharpe Ratio

DEFI:

2.22

BTC-USD:

1.28

Sortino Ratio

DEFI:

2.77

BTC-USD:

2.01

Omega Ratio

DEFI:

1.33

BTC-USD:

1.20

Calmar Ratio

DEFI:

4.42

BTC-USD:

1.08

Martin Ratio

DEFI:

9.96

BTC-USD:

5.88

Ulcer Index

DEFI:

12.61%

BTC-USD:

11.18%

Daily Std Dev

DEFI:

56.58%

BTC-USD:

44.33%

Max Drawdown

DEFI:

-28.43%

BTC-USD:

-93.07%

Current Drawdown

DEFI:

-5.44%

BTC-USD:

-5.75%

Returns By Period

In the year-to-date period, DEFI achieves a 126.83% return, which is significantly lower than BTC-USD's 136.70% return.


DEFI

YTD

126.83%

1M

10.58%

6M

56.71%

1Y

124.51%

5Y*

N/A

10Y*

N/A

BTC-USD

YTD

136.70%

1M

10.49%

6M

54.00%

1Y

136.67%

5Y*

69.18%

10Y*

77.58%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Hashdex Bitcoin Futures ETF (DEFI) 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.


Sharpe ratio
The chart of Sharpe ratio for DEFI, currently valued at 1.24, compared to the broader market0.002.004.001.241.28
The chart of Sortino ratio for DEFI, currently valued at 1.90, compared to the broader market-2.000.002.004.006.008.0010.001.902.01
The chart of Omega ratio for DEFI, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.20
The chart of Calmar ratio for DEFI, currently valued at 1.06, compared to the broader market0.005.0010.0015.001.061.08
The chart of Martin ratio for DEFI, currently valued at 6.10, compared to the broader market0.0020.0040.0060.0080.00100.006.105.88
DEFI
BTC-USD

The current DEFI Sharpe Ratio is 2.22, which is higher than the BTC-USD Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of DEFI 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.24
1.28
DEFI
BTC-USD

Drawdowns

DEFI vs. BTC-USD - Drawdown Comparison

The maximum DEFI drawdown since its inception was -28.43%, smaller than the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for DEFI and BTC-USD. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.44%
-5.75%
DEFI
BTC-USD

Volatility

DEFI vs. BTC-USD - Volatility Comparison

Hashdex Bitcoin Futures ETF (DEFI) has a higher volatility of 14.84% compared to Bitcoin (BTC-USD) at 14.03%. This indicates that DEFI'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%JulyAugustSeptemberOctoberNovemberDecember
14.84%
14.03%
DEFI
BTC-USD
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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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