BTC and MSTR Lead Risk-Adjusted Returns as Volatility Falls

Disclaimer: The analyst who wrote this text owns shares in Strategy.

Bitcoin’s risk-adjusted efficiency continues to face out, with a Sharpe ratio of two.15, the best amongst main property. This implies that, relative to its volatility, bitcoin has delivered distinctive returns over the historic interval.

Strategy (MSTR), which maintains vital bitcoin publicity via company holdings, follows carefully with a Sharpe ratio of two.00, reflecting equally sturdy efficiency.

A Sharpe ratio of two means an asset has delivered twice the surplus return over the risk-free price for each unit of volatility taken, which is taken into account wonderful in risk-adjusted efficiency phrases.

For context, a number of large-cap tech names are clustered round a Sharpe ratio of 1.0.

The knowledge is present as of Aug. 14, for securities and Aug. 15, for bitcoin, in keeping with the Strategy dashboard.

A key driver of late for each has been volatility compression. Bitcoin’s implied volatility has fallen to 37%, close to a two-year low, suggesting market individuals anticipate extra steady value motion within the quick time period.

While, Vetle Lunde, an analyst at K33 Research, says “low volatility is maturity” and notes that over the previous six months, 30% of the 100 largest S&P 500 corporations have been extra unstable than Bitcoin, which reveals the cryptocurrency is changing into extra of a mature asset class.

By distinction, MSTR’s implied volatility is increased at 56%, as it is a leveraged bitcoin proxy, however this determine is nicely beneath the extremes seen previously 12 months, with 140% in December 2024 and over 120% in April 2025, in keeping with the Strategy dashboard.

From a valuation perspective, MSTR’s a number of to internet asset worth (mNAV) sits at 1.61 following its current Q2 earnings name. The firm has acknowledged it won’t conduct an at-the-market providing of its widespread inventory till its mNAV rises above 2.5, aside from paying dividends on its perpetual most popular inventory and to pay curiosity on its debt obligations.

Year-to-date bitcoin is up 27%, whereas MSTR is up 24%.