Bitcoin leads in risk-adjusted returns as market volatility declines - Cryptured.com

The risk-adjusted performance of Bitcoin remains exceptional, as seen by its best Sharpe ratio of 2.15 among significant assets. Thus, Bitcoin has produced remarkable returns over the course of history in relation to its volatility.

Closely behind with a Sharpe ratio of 2.00 and similarly impressive performance is Strategy (MSTR), which keeps a sizable exposure to Bitcoin through company assets.

An asset is deemed exceptional in terms of risk-adjusted performance when its Sharpe ratio is two, which indicates that it has produced twice the excess return over the risk-free rate for each unit of volatility incurred.

For comparison, a Sharpe ratio of 1.0 is the center of a number of large-cap tech names.

According to the Strategy dashboard, the data is up to date as of August 14 for stocks and August 15 for Bitcoin.

Volatility compression has recently been a major factor in both. The implied volatility of Bitcoin has dropped to 37%, which is close to a two-year low, indicating that market players anticipate more steady price movement in the near future.

The Strategy dashboard shows MSTR’s implied volatility at 56%, much lower than the peaks of 140% in December 2024 and over 120% in April 2025, even though it acts as a leveraged Bitcoin proxy.

MSTR’s multiple to net asset value (mNAV) is 1.61 from a valuation standpoint after its most recent Q2 results call. The firm has declared that, with the exception of paying dividends on its perpetual preferred stock and interest on its debt commitments, it will not engage in an at-the-market issuance of its common stock until its mNAV jumps over 2.5.