Growth of $100 Invested
Indexed to 100 at August 2010 (log scale)
Drawdown From Selected-Period Peak
Peak-to-trough decline over the selected period
Yearly Returns
Returns between weekly year-end observations. * marks a partial year; partial years are excluded from best/worst-year statistics.
Full Comparison
| Metric | Bitcoin | Gold |
|---|---|---|
| Total Return | +110953571.4% | +258.4% |
| CAGR | 138.4% | 8.3% |
| Annualized Volatility | 110.1% | 16.3% |
| Sharpe Ratio | 1.22 | 0.49 |
| Max Drawdown | -91.8% | -43.6% |
| Current Drawdown | -37.1% | -15.3% |
| Best Complete Year | +4324.1% | +73.1% |
| Worst Complete Year | -71.3% | -26.5% |
| Correlation (Weekly) | -0.03 | -0.03 |
Key Takeaway
Over this period, Bitcoin delivered a CAGR of 138.4% vs gold's 8.3%, but with 6.8x the volatility and a max drawdown of -91.8% vs -43.6%.
The weekly correlation between Bitcoin and gold over these dates is -0.03. That describes this historical sample; it does not establish an optimal allocation or guarantee crisis protection.
Want to see how adding Bitcoin affects your portfolio's risk-adjusted returns? Try the Bitcoin Allocation Calculator.
Methodology
Bitcoin prices: Blockchain.info (Aug 2010 - Sep 2014) and Yahoo Finance BTC-USD (Sep 2014 - present), downsampled to weekly.
Gold prices: Yahoo Finance GC=F (gold futures), unadjusted weekly closes from January 2010. This futures price proxy excludes contract-roll costs, collateral income and physical storage costs.
Volatility: Annualized standard deviation of weekly arithmetic returns, using sample standard deviation multiplied by the square root of 52.
Sharpe ratio: Mean weekly return above the dated BIL Treasury-bill ETF return, divided by the sample standard deviation of those excess returns, multiplied by the square root of 52. BIL adjusted closes include dividends and fund expenses. BIL is a cash proxy. Annualisation assumes no serial correlation; missing data or zero excess-return variability gives n/a.
Periods end at the latest stored completed week, not the computer clock. Both assets use the same observation dates, with the latest Bitcoin close on or before each gold observation. Drawdowns restart at the selected period's first value.
Correlation: Pearson correlation of weekly arithmetic returns over the selected period.
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