iShares Bitcoin Trust ETF (IBIT)

iShares Bitcoin Trust ETF Tail Risk

Tail-risk stats use daily return distributions rather than simple end-point returns. They show how ugly the left tail has been, how severe the worst 5% of days were, and whether returns were skewed toward outsized upside or downside shocks.

The histogram shows the shape of iShares Bitcoin Trust ETF's daily log returns over the Since inception window. Bars left of the 5% VaR marker are the worst 5% of days; the ES marker is the average loss inside that tail. Skew and excess kurtosis describe whether the distribution is symmetric around zero and whether extreme days are more common than a Normal distribution predicts.

IBIT daily return distribution (Since inception)

IBIT daily return distribution (Since inception)

Log-return histogram with Value-at-Risk and Expected Shortfall markers at the 5% left tail.

Days Download PNG

IBIT Since inception

VaR

-4.63%

ES

-6.81%

Skew

-0.08

Excess kurtosis

1.84

Days

567

±2σ days

12 / 14

worst-5% daily return and the average loss inside it

Formula $\displaystyle \mathrm{VaR}_{5\%} = Q_{0.05}(R),\quad \mathrm{ES}_{5\%} = \mathbb{E}[R \mid R \le \mathrm{VaR}_{5\%}]$

Less negative daily VaR and Expected Shortfall values mean the left tail was less violent. Skew and excess kurtosis help distinguish between steady compounding and a path dominated by occasional extreme moves.