SI=F vs. BTC-USD
SI=F (Silver) is an asset, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, SI=F returned 16.24%/yr vs 59.37%/yr for BTC-USD. At a 0.08 correlation, their price movements are largely independent.
Performance
SI=F vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, SI=F achieves a 4.38% return, which is significantly higher than BTC-USD's -29.97% return. Over the past 10 years, SI=F has underperformed BTC-USD with an annualized return of 16.24%, while BTC-USD has yielded a comparatively higher 59.37% annualized return.
SI=F
- 1D
- -2.46%
- 1M
- -4.67%
- YTD
- 4.38%
- 6M
- 24.79%
- 1Y
- 105.82%
- 3Y*
- 45.64%
- 5Y*
- 21.43%
- 10Y*
- 16.24%
BTC-USD
- 1D
- -3.97%
- 1M
- -24.76%
- YTD
- -29.97%
- 6M
- -31.42%
- 1Y
- -39.67%
- 3Y*
- 31.02%
- 5Y*
- 11.35%
- 10Y*
- 59.37%
SI=F vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between SI=F and BTC-USD is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.10 |
Correlation (All Time) Calculated using the full available price history since Sep 21, 2012 | 0.08 |
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Return for Risk
SI=F vs. BTC-USD — Risk / Return Rank
SI=F
BTC-USD
SI=F vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Silver (SI=F) 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.
| SI=F | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.39 | ||
| Sortino ratioReturn per unit of downside risk | +3.16 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 0.87 | +0.45 |
| Calmar ratioReturn relative to maximum drawdown | 2.13 | -0.78 | +2.91 |
| Martin ratioReturn relative to average drawdown | 4.57 | -1.39 | +5.97 |
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
| SI=F | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.46 | -0.93 | +2.39 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.21 | +0.31 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.46 | 0.87 | -0.41 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 1.13 | -0.91 |
Drawdowns
SI=F vs. BTC-USD - Drawdown Comparison
The maximum SI=F drawdown since its inception was -91.54%, which is greater than BTC-USD's maximum drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for SI=F and BTC-USD.
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Drawdown Indicators
| SI=F | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -91.54% | -85.30% | -6.24% |
Max Drawdown (1Y)Largest decline over 1 year | -41.21% | -50.87% | +9.66% |
Max Drawdown (3Y)Largest decline over 3 years | -41.21% | -50.87% | +9.66% |
Max Drawdown (5Y)Largest decline over 5 years | -41.21% | -76.67% | +35.46% |
Max Drawdown (10Y)Largest decline over 10 years | -43.13% | -83.80% | +40.67% |
Current DrawdownCurrent decline from peak | -36.00% | -50.87% | +14.87% |
Average DrawdownAverage peak-to-trough decline | -61.04% | -42.29% | -18.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.96% | 34.02% | -13.06% |
Volatility
SI=F vs. BTC-USD - Volatility Comparison
Silver (SI=F) has a higher volatility of 14.73% compared to Bitcoin (BTC-USD) at 10.54%. This indicates that SI=F'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.
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Volatility by Period
| SI=F | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.73% | 10.54% | +4.19% |
Volatility (6M)Calculated over the trailing 6-month period | 60.44% | 34.26% | +26.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 60.00% | 35.65% | +24.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 37.96% | 44.98% | -7.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.58% | 56.70% | -23.12% |
Frequently Asked Questions
SI=F and BTC-USD have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SI=F has higher volatility (14.73%) compared to BTC-USD (10.54%). In terms of maximum drawdown, SI=F dropped -91.54% vs BTC-USD's -85.30%.
SI=F currently has the higher Sharpe Ratio (1.46 vs -0.93), 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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