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 16.53%/yr vs 60.00%/yr for BTC-USD. At a 0.07 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 7.02% return, which is significantly higher than BTC-USD's -27.71% return. Over the past 10 years, SI=F has underperformed BTC-USD with an annualized return of 16.53%, while BTC-USD has yielded a comparatively higher 60.00% annualized return.
SI=F
- 1D
- 0.40%
- 1M
- 2.77%
- YTD
- 7.02%
- 6M
- 28.89%
- 1Y
- 118.16%
- 3Y*
- 46.86%
- 5Y*
- 22.41%
- 10Y*
- 16.53%
BTC-USD
- 1D
- -5.18%
- 1M
- -20.79%
- YTD
- -27.71%
- 6M
- -32.32%
- 1Y
- -40.02%
- 3Y*
- 32.61%
- 5Y*
- 11.41%
- 10Y*
- 60.00%
SI=F vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between SI=F and BTC-USD is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.13 |
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 19, 2012 | 0.07 |
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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 | 1.53 | -0.93 | +2.46 |
Sortino ratioReturn per unit of downside risk | 1.92 | -1.31 | +3.23 |
Omega ratioGain probability vs. loss probability | 1.32 | 0.87 | +0.46 |
Calmar ratioReturn relative to maximum drawdown | 2.22 | -0.81 | +3.03 |
Martin ratioReturn relative to average drawdown | 4.79 | -1.42 | +6.21 |
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 | 1.53 | -0.93 | +2.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.55 | 0.21 | +0.34 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.47 | 0.88 | -0.41 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 1.13 | -0.92 |
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% | -49.65% | +8.44% |
Max Drawdown (3Y)Largest decline over 3 years | -41.21% | -49.65% | +8.44% |
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 | -34.38% | -49.29% | +14.91% |
Average DrawdownAverage peak-to-trough decline | -61.04% | -42.27% | -18.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.84% | 33.73% | -12.89% |
Volatility
SI=F vs. BTC-USD - Volatility Comparison
Silver (SI=F) has a higher volatility of 14.62% compared to Bitcoin (BTC-USD) at 10.81%. 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 | 14.62% | 10.81% | +3.81% |
Volatility (6M)Calculated over the trailing 6-month period | 60.87% | 34.33% | +26.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 60.06% | 35.60% | +24.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 37.96% | 45.05% | -7.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.58% | 56.69% | -23.11% |
Frequently Asked Questions
SI=F and BTC-USD have a correlation of 0.13, 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 (14.62%) compared to BTC-USD (10.81%). In terms of maximum drawdown, SI=F dropped -91.54% vs BTC-USD's -85.30%.
SI=F currently has the higher Sharpe Ratio (1.53 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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