Bitcoin Up 40% YTD, but Gold Wins on Risk-Adjusted Returns
Summary
Bitcoin has surged over 40% this year, outperforming major equity indices, fixed-income securities, gold, and oil. Despite this, its return to volatility ratio is under 10%, much lower than gold's nearly 20%. This ratio measures return per unit of risk. Gold has gained 28% in absolute terms. Only Ethereum's ether, Japan's TOPIX index, and the S&P GSCI Energy Index have lower return to volatility ratios than Bitcoin. This low risk-adjusted performance supports views that Bitcoin is too volatile to be a safe haven like gold. The popularity of bitcoin cash and carry arbitrage among institutions is due to its ability to mitigate price volatility risks.
