Risk-Adjusted Returns
Evaluate crypto and traditional assets through a TradFi lens: Sharpe ratio, Sortino ratio, max drawdown, and Value-at-Risk — side by side.
Rolling 90d Sharpe Ratio
Drawdown from Peak
About This Dashboard
Traditional finance investors never evaluate an asset by raw return alone — they always ask "what return per unit of risk?". This dashboard applies the same framework to crypto, computing Sharpe ratio, Sortino ratio, max drawdown, and VaR for Bitcoin, Ethereum, the S&P 500, and gold using historical daily data.
Key Metrics Explained
- Sharpe Ratio = (Annualised Return - Risk-Free Rate) / Annualised Volatility. Above 1.0 is generally considered good; the S&P 500's long-run Sharpe is roughly 0.4-0.6.
- Sortino Ratio — Same idea but only penalises downside volatility. Useful for assets with positively skewed returns (like crypto in bull markets).
- Max Drawdown — The largest peak-to-trough decline. A -50% drawdown requires a +100% gain to recover.
- Value at Risk (95%) — In the worst 5% of daily scenarios, you lose at least this percentage.
- Calmar Ratio = Annualised Return / |Max Drawdown|. Measures return relative to worst-case loss.
Rolling Sharpe Ratio
The rolling Sharpe chart shows how risk-adjusted performance evolves over time using a sliding window. This is crucial because Sharpe ratios are not constant — they vary with market regimes. A rising rolling Sharpe suggests improving risk-adjusted returns; a falling one suggests deterioration.
Drawdown Analysis
The drawdown chart shows how far each asset is below its running peak at every point in time. Deeper, longer drawdowns indicate higher tail risk. Compare Bitcoin's drawdown profile to the S&P 500 to understand the difference in risk profiles.
Limitations
- Crypto markets trade 24/7 (365 days) while equities trade only on business days (~252 days). Metrics use the appropriate annualisation factor for each asset.
- Historical Sharpe ratios are backward-looking and may not predict future performance.
- VaR assumes a normal return distribution, which understates tail risk in crypto.
- The risk-free rate is auto-populated from the current 10-Year Treasury yield and can be adjusted manually.
Related Tools
- Cross-Asset Performance — Normalised cumulative return comparison
- Correlation Matrix — Diversification analysis across asset classes
- Bitcoin vs M2 Money Supply — Macro liquidity thesis
- Position Size Calculator — Use max drawdown to size positions
Data sources: CoinGecko (crypto prices), FRED (S&P 500, gold, 10Y Treasury).