Bitcoin and Strategy Lead Risk-Adjusted Returns as Volatility Falls

Disclaimer: The analyst who wrote this article owns shares in Strategy. Bitcoin’s risk-adjusted performance continues to stand out, with a Sharpe ratio of 2.15, the highest among major assets. This means that, relative to its volatility, bitcoin has delivered exceptional returns over the historical period. Strategy (MSTR) , which maintains significant bitcoin exposure through corporate holdings, follows closely with a Sharpe ratio of 2.00, reflecting similarly strong performance. A Sharpe ratio of 2 means an asset has delivered twice the excess return over the risk-free rate for every unit of volatility taken, which is considered excellent in risk-adjusted performance terms. For context, several large-cap tech names are clustered around a Sharpe ratio of 1.0. The data is current as of Aug. 14, for securities and Aug. 15, for bitcoin, according to the Strategy dashboard . A key driver of late for both has been volatility compression. Bitcoin’s implied volatility has fallen to 37%, near a two-year low, suggesting market participants expect more stable price action in the short term. While, Vetle Lunde , an analyst at K33 Research, says “low volatility is maturity” and notes that over the past six months, 30% of the 100 largest S&P 500 companies have been more volatile than Bitcoin, which shows the cryptocurrency is becoming more of a mature asset class. By contrast, MSTR’s implied volatility is higher at 56%, as it’s a leveraged bitcoin proxy, but this figure is well below the extremes seen in the past year, with 140% in December 2024 and over 120% in April 2025, according to the Strategy dashboard . From a valuation perspective, MSTR’s multiple to net asset value (mNAV) sits at 1.61 following its recent Q2 earnings call. The company has stated it will not conduct an at-the-market offering of its common stock until its mNAV rises above 2.5, except for paying dividends on its perpetual preferred stock and to pay interest on its debt obligations. Year-to-date bitcoin is up 27%, while MSTR is up 24%.

Source: CoinDesk