Bitcoin Sharpe & Sortino Ratio Dashboard

How the Bitcoin Sharpe & Sortino Ratio Dashboard works

This dashboard computes Bitcoin’s rolling 365-day Sharpe and Sortino ratios from daily log returns, showing whether recent returns have paid for total volatility and for downside risk. It is meant for investors comparing risk-adjusted performance across cycles.

What you enter

• None; it uses Binance BTCUSDT daily closes since August 2017.

What it shows

• Current 365D Sharpe and 365D Sortino (green at 1 or above, orange below)
• CAGR over the full sample since August 2017
• Method card (daily log returns)
• Chart of rolling Sharpe and Sortino, sampled weekly, with a zero line

How to use it

1. Read the 365D Sharpe and 365D Sortino cards.
2. Compare Sortino with Sharpe to see how much of the volatility was on the downside.
3. Check where both lines sit relative to zero.
4. Compare today’s values with peaks and troughs from earlier cycles.
5. Use the volatility and drawdown pages to see what is moving the ratios.

Formula

Over the last 365 daily log returns r: Sharpe = mean(r) ÷ sample standard deviation(r) × sqrt(365); Sortino = mean(r) ÷ sqrt(mean(min(r, 0)^2)) × sqrt(365). Risk-free rate = 0%.

Worked example

With a mean daily log return of 0.10%, a standard deviation of 2.5% and downside deviation of 1.6%: Sharpe = 0.001 ÷ 0.025 × 19.105 ≈ 0.76; Sortino = 0.001 ÷ 0.016 × 19.105 ≈ 1.19.

How to read the result

• Above 1 means the past year’s return exceeded one unit of the matching risk measure.
• Sortino above Sharpe means a smaller share of the volatility came from down days.
• Negative values mean the average daily log return over the past year was below zero.

Limits and cautions

• It uses a 0% risk-free rate; with real cash yields, Sharpe would be lower.
• Rolling ratios describe only the past year and do not predict future performance.
• Log-return averages differ from simple-return averages, so values may not match other sites.

Common questions

What is a good Sharpe ratio for Bitcoin?

Values above 1 are generally seen as good risk-adjusted returns. Bitcoin’s rolling Sharpe swings widely, so compare it with its own history.

What is the difference between the Sharpe and Sortino ratios?

Sharpe divides return by total volatility; Sortino divides only by downside deviation, so up moves do not count as risk.

Which risk-free rate is used?

Zero, so long cross-cycle comparisons stay consistent. Adjust it for the cash yield in your own currency and horizon.