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

Performance

MKR-USD vs. BTC-USD - Performance Comparison

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

-60.00%-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-40.67%
44.47%
MKR-USD
BTC-USD

Returns By Period

In the year-to-date period, MKR-USD achieves a -3.90% return, which is significantly lower than BTC-USD's 134.23% return.


MKR-USD

YTD

-3.90%

1M

40.69%

6M

-40.67%

1Y

10.83%

5Y (annualized)

28.16%

10Y (annualized)

N/A

BTC-USD

YTD

134.23%

1M

49.02%

6M

44.47%

1Y

165.48%

5Y (annualized)

69.63%

10Y (annualized)

74.63%

Key characteristics


MKR-USDBTC-USD
Sharpe Ratio-0.611.24
Sortino Ratio-0.691.95
Omega Ratio0.941.19
Calmar Ratio0.011.11
Martin Ratio-1.195.79
Ulcer Index46.10%11.62%
Daily Std Dev69.84%44.09%
Max Drawdown-91.67%-93.07%
Current Drawdown-73.10%0.00%

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Correlation

-0.50.00.51.00.6

The correlation between MKR-USD and BTC-USD is 0.59, 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.

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Maker (MKR-USD) 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 MKR-USD, currently valued at -0.61, compared to the broader market0.001.002.00-0.611.24
The chart of Sortino ratio for MKR-USD, currently valued at -0.69, compared to the broader market-1.000.001.002.003.00-0.691.95
The chart of Omega ratio for MKR-USD, currently valued at 0.94, compared to the broader market0.901.001.101.201.301.400.941.19
The chart of Calmar ratio for MKR-USD, currently valued at 0.01, compared to the broader market0.501.001.502.000.011.11
The chart of Martin ratio for MKR-USD, currently valued at -1.19, compared to the broader market0.005.0010.00-1.195.79
MKR-USD
BTC-USD

The current MKR-USD Sharpe Ratio is -0.61, which is lower than the BTC-USD Sharpe Ratio of 1.24. The chart below compares the historical Sharpe Ratios of MKR-USD 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 Ratio0.002.004.006.00JuneJulyAugustSeptemberOctoberNovember
-0.61
1.24
MKR-USD
BTC-USD

Drawdowns

MKR-USD vs. BTC-USD - Drawdown Comparison

The maximum MKR-USD drawdown since its inception was -91.67%, roughly equal to the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for MKR-USD and BTC-USD. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-73.10%
0
MKR-USD
BTC-USD

Volatility

MKR-USD vs. BTC-USD - Volatility Comparison

Maker (MKR-USD) has a higher volatility of 30.22% compared to Bitcoin (BTC-USD) at 16.59%. This indicates that MKR-USD'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%30.00%JuneJulyAugustSeptemberOctoberNovember
30.22%
16.59%
MKR-USD
BTC-USD