Bitcoin Sharpe Ratio — Rolling Risk-Adjusted Return, Live

Return alone doesn't say whether it was worth the ride. This page divides Bitcoin's rolling annualized return by its rolling annualized volatility (both over a 90-day window) to show how much return has been earned per unit of risk taken, over time.

Data: PriceUSD · Coin Metrics community API · computed live in your browser, nothing uploaded

What this chart shows

The Sharpe ratio divides an asset's return by its volatility, producing a single number for how much reward was earned per unit of risk. This page computes both halves — rolling 90-day annualized return and rolling 90-day annualized volatility (the same calculation behind the Volatility page on this site) — and divides one by the other every day.

Sharpe Ratio = Annualized Return (90D) / Annualized Volatility (90D)

This version uses a 0% risk-free rate rather than subtracting a Treasury yield, which is the common simplification for a crypto-native asset and slightly overstates the ratio versus a textbook calculation — a small, disclosed bias rather than a hidden one.

How to read it

Positive readings mean recent risk-adjusted performance has been favorable; negative readings mean volatility has not been compensated by returns over that window. Because both inputs use a 90-day rolling window, this reacts to genuine multi-month shifts in the return/risk relationship rather than single-day noise.

Limitations

The Sharpe ratio assumes returns are normally distributed. Bitcoin's actual return distribution has fatter tails and more extreme single-day moves than a normal distribution predicts, so this ratio can understate genuine tail risk even while looking favorable on average.

Using a 0% risk-free rate (rather than subtracting a Treasury yield, as the textbook formula does) means every reading here is somewhat higher than a strict academic calculation would produce. The bias is small but consistent in one direction.

A 90-day window is a compromise: short enough to react to real regime changes, long enough to avoid pure noise, but the specific choice of 90 days over 30 or 180 is a design decision, not a uniquely correct one.

FAQ

What counts as a 'good' Sharpe ratio?

In traditional finance, above 1 is generally considered good and above 2 is very good, though those benchmarks were built for lower-volatility assets. Applying them directly to Bitcoin is debatable — check the Limitations section for why this version of the ratio also runs slightly higher than a textbook calculation.

Why does this use a 0% risk-free rate?

It's a common simplification for crypto-native assets rather than picking a specific government bond yield to subtract, which would add another debatable assumption. The effect is disclosed in the Limitations section rather than hidden.

How is this different from the Volatility page?

The Volatility page shows only the risk side — how large Bitcoin's price swings have been. This page divides return by that same volatility figure, answering a different question: was the risk actually compensated by performance, not just how large the risk was.