Bitcoin and Strategy Lead Risk-Adjusted Returns as Volatility Falls

Disclaimer: The expert who wrote this nonfiction owns shares successful Strategy.

Bitcoin’s risk-adjusted show continues to basal out, with a Sharpe ratio of 2.15, the highest among large assets. This means that, comparative to its volatility, bitcoin has delivered exceptional returns implicit the humanities period.

Strategy (MSTR), which maintains important bitcoin vulnerability done firm holdings, follows intimately with a Sharpe ratio of 2.00, reflecting likewise beardown performance.

A Sharpe ratio of 2 means an plus has delivered doubly the excess instrumentality implicit the risk-free complaint for each portion of volatility taken, which is considered fantabulous successful risk-adjusted show terms.

For context, respective large-cap tech names are clustered astir a Sharpe ratio of 1.0.

The information is existent arsenic of Aug. 14, for securities and Aug. 15, for bitcoin, according to the Strategy dashboard.

A cardinal operator of precocious for some has been volatility compression. Bitcoin’s implied volatility has fallen to 37%, adjacent a two-year low, suggesting marketplace participants expect much unchangeable terms enactment successful the abbreviated term.

While, Vetle Lunde, an expert astatine K33 Research, says “low volatility is maturity” and notes that implicit the past six months, 30% of the 100 largest S&P 500 companies person been much volatile than Bitcoin, which shows the cryptocurrency is becoming much of a mature plus class.

By contrast, MSTR’s implied volatility is higher astatine 56%, arsenic it's a leveraged bitcoin proxy, but this fig is good beneath the extremes seen successful the past year, with 140% successful December 2024 and implicit 120% successful April 2025, according to the Strategy dashboard.

From a valuation perspective, MSTR’s multiple to nett plus value (mNAV) sits astatine 1.61 pursuing its caller Q2 net call. The institution has stated it volition not behaviour an at-the-market offering of its communal banal until its mNAV rises supra 2.5, but for paying dividends connected its perpetual preferred banal and to wage involvement connected its indebtedness obligations.

Year-to-date bitcoin is up 27%, portion MSTR is up 24%.