Bitcoin's 365-day rolling Sharpe Ratio has dropped sharply to around minus 20, marking its lowest reading since late 2022. The cryptocurrency has declined 28 percent this year, leading to poor risk-adjusted returns for investors. Data from CryptoQuant shows the metric reached minus 21 at the end of June.
The Sharpe Ratio measures risk-adjusted returns by comparing an asset's performance to a risk-free rate, adjusted for volatility. A reading this negative indicates that investors would have fared better holding 10-year U.S. Treasuries, which yield about 4.45 percent.
Similar depressed levels occurred in 2015, 2019 and 2022, periods that coincided with bear market lows. Those instances preceded rebounds in Bitcoin prices.
Professional investors use the ratio to guide portfolio allocation decisions rather than relying solely on price changes from recent highs. The current figure highlights the extent of recent volatility and underperformance in Bitcoin.
