Here is a list comparing the Sharpe ratios of Bitcoin and top tech stocks as of 2024, reflecting their risk-adjusted returns:
1. Bitcoin: Sharpe ratio around 1.3, driven by high volatility and significant price momentum during bullish phases .
2. Tesla (TSLA): Sharpe ratio around 0.9 to 1.2, with high volatility tied to its growth trajectory in the EV sector
3. Nvidia (NVDA): Sharpe ratio around 0.8 to 1.3, benefiting from high demand in the AI and semiconductor industries but also showing notable price swings
4. Apple (AAPL): Sharpe ratio around 0.7 to 1.0, reflecting steady performance with moderate volatility compared to other tech stocks
5. Amazon (AMZN): Sharpe ratio around 0.7 to 0.9, with volatility tied to both e-commerce trends and cloud computing growth .
6. Microsoft (MSFT): Sharpe ratio around 0.8 to 1.0, reflecting strong performance and relatively lower volatility due to its diversified business segments .
7. Meta (META): Sharpe ratio around 0.6 to 0.9, impacted by volatility as it transitions into the metaverse space, leading to fluctuations in its stock value .
8. NASDAQ 100 Index (QQQ): Sharpe ratio around 0.9, capturing the broader tech sector’s risk-adjusted return and benefiting from diversification .
Bitcoin’s Sharpe ratio often aligns with or exceeds those of individual high-growth tech stocks due to its high potential returns, but also carries a much higher volatility, leading to similar risk-adjusted returns as these tech leaders.
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As of recent analyses, here are some specific Sharpe ratio figures comparing Bitcoin and the S&P 500:
1. Bitcoin: In 2023, Bitcoin’s Sharpe ratio averaged around 0.82, reflecting its high volatility alongside periods of substantial returns . This figure has fluctuated due to Bitcoin’s rapid price movements and recent lower volatility, as it matured amidst institutional adoption and regulatory clarity.
2. S&P 500: The S&P 500 achieved a Sharpe ratio of approximately 0.95 over the same period . This higher ratio compared to Bitcoin suggests more consistent risk-adjusted returns, benefiting from the stability of a diversified portfolio of established companies in the index.
Historically, these ratios can vary depending on economic conditions, but generally, the S&P 500 maintains a slight edge over Bitcoin in terms of risk-adjusted performance due to its lower volatility and more predictable returns.
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As of recent data, the Sharpe ratio for Bitcoin has generally been lower compared to the S&P 500, reflecting Bitcoin’s high volatility despite its strong performance. Over the past year, the Sharpe ratio for Bitcoin has hovered around 0.82, while the S&P 500 achieved a slightly higher ratio of approximately 0.95 .
Historically, Bitcoin’s risk-adjusted returns have varied more than the S&P 500’s due to its price volatility, which has sometimes exceeded 50% annually. However, in 2023 and into early 2024, Bitcoin saw reduced volatility, potentially signifying a maturing asset class. During this period, Bitcoin’s market performance was significantly enhanced by institutional adoption and regulatory developments, such as Bitcoin ETF approvals .
In comparison, the S&P 500 maintains more consistent risk-adjusted returns, typically benefiting from its diversification across major U.S. companies. The lower volatility and stable returns of the S&P 500 contribute to its Sharpe ratio advantage over Bitcoin, especially in periods when economic and regulatory factors reduce Bitcoin’s appeal as a high-risk asset .