Bitcoin vs iShares Bitcoin Trust ETF (BTC vs IBIT) 2026: Crypto Returns, Risk & Volatility

Q: Which is a better investment: BTC or IBIT?

Over the past year, BTC looks like the better investment: it had higher total return (BTC -17.9% vs IBIT -18.8%) and a higher Sharpe ratio (BTC -0.33 vs IBIT -0.36). On risk, BTC was less volatile (BTC 42.7% vs IBIT 43.8%), BTC had a smaller max drawdown (BTC -48.9% vs IBIT -49.4%), and BTC had less severe losses on the worst 5% of days (Expected Shortfall of BTC -5.20% vs IBIT -6.04%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: BTC or IBIT?

Over the past year, BTC outperformed IBIT. BTC returned -17.9% compared with IBIT’s -18.8%. BTC had the better risk-adjusted return, with a Sharpe ratio of -0.33 versus IBIT’s -0.36. BTC was less volatile than IBIT, and BTC had a smaller max drawdown than IBIT.

Total Return

BTC -17.9%

IBIT -18.8%

Sharpe Ratio

BTC -0.33

IBIT -0.36

Annualized Volatility

BTC 42.7%

IBIT 43.8%

Max Drawdown

BTC -48.9%

IBIT -49.4%

Metric winners: Total Return: BTC; Sharpe Ratio: BTC; Annualized Volatility: BTC (less volatile); Max Drawdown: BTC (smaller drawdown).

BTC Total Return

↓ -17.9%

IBIT Total Return

↓ -18.8%

Relative Performance of BTC vs IBIT (Normalized to 100)

BTC IBIT

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: BTC delivered a -17.9% total return, while IBIT returned -18.8% over the same period. BTC outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (BTC -0.33 vs IBIT -0.36), meaning both underperformed the risk-free rate; BTC was less negative.
Volatility (Annualized): IBIT was more volatile, with 43.8% annualized volatility, versus 42.7% for BTC.
Maximum Drawdown: BTC's maximum drawdown was -48.9%, while IBIT experienced a deeper drawdown of -49.4%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), BTC's VaR was -3.80% and its Expected Shortfall (CVaR) was -5.20%; IBIT's were -4.08% and -6.04%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: BTC -0.19 vs IBIT -0.32. Excess kurtosis: BTC 4.48 vs IBIT 2.39. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): BTC 9/9, IBIT 6/4. Worst day: BTC -11.85% (2026-02-04) vs IBIT -13.16% (2026-02-05). Best day: BTC +11.72% (2026-02-05) vs IBIT +9.92% (2026-02-06).
Risk ratios: Sortino - BTC: -0.46 vs. IBIT: -0.50 , Calmar - BTC: -0.35 vs. IBIT: -0.38 , Sterling - BTC: -0.70 vs. IBIT: -0.75 , Treynor - BTC: -0.15 vs. IBIT: -0.09 , Ulcer Index - BTC: 25.22% vs. IBIT: 25.44%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

BTC $8,210.8 -17.9%

IBIT $8,116.82 -18.8%

Difference: $93.98 (BTC ahead)

Bitcoin vs iShares Bitcoin Trust ETF Performance Over Time

Metric	BTC	IBIT
30 Days	9.1%	12.1%
90 Days	-12.9%	-13.1%
180 Days	-30.3%	-29.9%
1 Year	-17.1%	-18.8%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Bitcoin vs iShares Bitcoin Trust ETF Correlation

Average Correlation

strongly correlated

0.68

Current (30-day) 0.26

30-day rolling range -0.25 to +0.97

Bitcoin and iShares Bitcoin Trust ETF are strongly correlated over the past year. With a correlation of 0.68, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both BTC and IBIT provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.26
Average (full period)	0.68
Minimum (30-day rolling)	-0.25
Maximum (30-day rolling)	0.97

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

BTC

-48.9%

IBIT

-49.4%

Bitcoin experienced its maximum drawdown of -48.9% from 2025-10-06 to 2026-02-04. It has not yet recovered to its previous peak.

iShares Bitcoin Trust ETF experienced its maximum drawdown of -49.4% from 2025-10-06 to 2026-02-05. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Bitcoin vs iShares Bitcoin Trust ETF Volatility (BTC vs IBIT)

BTC Volatility

42.7%

±2.23% 1-day vol

IBIT Volatility

43.8%

±2.76% 1-day vol

1-day volatility (1σ)

BTC

±2.23%

IBIT

±2.76%

Bitcoin's 42.7% annualized volatility translates to about ±2.23% one-standard-deviation daily volatility.

iShares Bitcoin Trust ETF's 43.8% annualized volatility translates to about ±2.76% one-standard-deviation daily volatility.

IBIT had the wider volatility profile over this window. That means its day-to-day return distribution was broader; BTC was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of BTC and IBIT

Sharpe Ratio: BTC vs. IBIT

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (BTC -0.33 vs IBIT -0.36), meaning both underperformed the risk-free rate; BTC was less negative.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of BTC and IBIT

Sortino Ratio: BTC vs. IBIT

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). BTC had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: BTC 30.4% vs IBIT 31.6%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of BTC and IBIT

Calmar Ratio: BTC vs. IBIT

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. BTC posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of BTC and IBIT

Sterling Ratio: BTC vs. IBIT

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). BTC posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of BTC and IBIT

Treynor Ratio: BTC vs. IBIT

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. IBIT posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of BTC and IBIT

Ulcer Index: BTC vs. IBIT

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. BTC had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Bitcoin vs. iShares Bitcoin Trust ETF

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: BTC vs. IBIT (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

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

Metric (1-Year)	BTC	IBIT
5% VaR (daily log return)	-3.80%	-4.08%
5% Expected Shortfall (CVaR)	-5.20% (worst 19 days)	-6.04% (worst 13 days)
Skew	-0.19	-0.32
Excess kurtosis	4.48	2.39
2σ tail days (down / up)	9 / 9	6 / 4
Worst day	-11.85% (2026-02-04)	-13.16% (2026-02-05)
Best day	+11.72% (2026-02-05)	+9.92% (2026-02-06)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: BTC vs. IBIT (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both BTC and IBIT crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both BTC and IBIT had a big down day (2σ)

Date (interval)	BTC	IBIT
2026-01-16 → 2026-01-20	-6.06%	-6.42%

Days when BTC had a big down day

Date (interval)	BTC	IBIT
2025-08-22 → 2025-08-25	-5.69%	-5.09%
2025-10-10	-6.98%	-3.70%
2025-11-14	-5.29%	-3.80%
2026-01-16 → 2026-01-20	-6.06%	-6.42%
2026-01-28	-5.42%	-0.24%
2026-01-30	-7.07%	-0.23%
2026-02-04	-11.85%	-4.00%
2026-02-20 → 2026-02-23	-5.65%	-4.87%

Days when IBIT had a big down day

Date (interval)	BTC	IBIT
2025-11-04	-4.59%	-5.53%
2025-11-28 → 2025-12-01	-5.13%	-5.92%
2026-01-16 → 2026-01-20	-6.06%	-6.42%
2026-01-29	-0.47%	-5.76%
2026-01-30 → 2026-02-02	-3.22%	-6.89%
2026-02-05	+11.72%	-13.16%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Bitcoin vs. iShares Bitcoin Trust ETF (1-Year)

Metric	BTC	IBIT
Total Return	-17.9%	-18.8%
Annualized Volatility	42.7%	43.8%
Sharpe Ratio	-0.33	-0.36
Sortino Ratio	-0.46	-0.50
Calmar Ratio	-0.35	-0.38
Sterling Ratio	-0.70	-0.75
Treynor Ratio	-0.15	-0.09
Ulcer Index	25.22%	25.44%
Max Drawdown	-48.9%	-49.4%
Avg Correlation to S&P 500	0.41	0.47
5% VaR (daily log return)	-3.80%	-4.08%
5% Expected Shortfall (CVaR)	-5.20%	-6.04%
Skew	-0.19	-0.32
Excess kurtosis	4.48	2.39
2σ tail days (down / up)	9 / 9	6 / 4

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): BTC: 365 days/year; IBIT: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

BTC: 4.17% over 2025-04-24 → 2026-04-23.

IBIT: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

BTC: ≈ -9.1%/yr

IBIT: ≈ -9.6%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Bitcoin vs iShares Bitcoin Trust ETF: Frequently Asked Questions

Which has higher volatility: BTC or IBIT?

IBIT showed higher volatility at 43.8% annualized, compared to 42.7% for BTC Over the past year. Higher volatility means larger price swings in both directions.

Does BTC provide diversification when held with IBIT?

BTC and IBIT are strongly correlated over the past year, with an average correlation of 0.68. This strong correlation limits diversification benefits.

How bad are the worst 5% days for BTC vs IBIT?

Over the past year, BTC's 5% VaR was -3.80% and its 5% Expected Shortfall was -5.20% (worst 19 days). IBIT's were -4.08% and -6.04% (worst 13 days).

Do BTC and IBIT crash together on bad days?

On shared dates (n=249), when IBIT has a 2σ down day, BTC also does 16.7% (1/6 days). In the other direction, when BTC has one, IBIT also does 12.5% (1/8 days).

Which has better risk-adjusted returns: BTC or IBIT?

Both assets posted negative Sharpe ratios Over the past year (BTC -0.33 vs IBIT -0.36), meaning both underperformed the risk-free rate; BTC was less negative.

Can BTC and IBIT be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. IBIT's higher volatility (43.8%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: BTC or IBIT?

Share This Comparison of BTC vs IBIT

Relative Performance of BTC vs IBIT (Normalized to 100)

Trade BTC or IBIT

Key Takeaways

Investment Comparison

Bitcoin vs iShares Bitcoin Trust ETF Performance Over Time

Bitcoin vs iShares Bitcoin Trust ETF Correlation

Drawdown

Bitcoin vs iShares Bitcoin Trust ETF Volatility (BTC vs IBIT)

Risk-adjusted ratios

Sharpe Ratio of BTC and IBIT

Sharpe Ratio: BTC vs. IBIT

Sortino Ratio of BTC and IBIT

Sortino Ratio: BTC vs. IBIT

Calmar Ratio of BTC and IBIT

Calmar Ratio: BTC vs. IBIT

Sterling Ratio of BTC and IBIT

Sterling Ratio: BTC vs. IBIT

Treynor Ratio of BTC and IBIT

Treynor Ratio: BTC vs. IBIT

Ulcer Index of BTC and IBIT

Ulcer Index: BTC vs. IBIT

Tail Risk & Distribution Shape (1-Year): Bitcoin vs. iShares Bitcoin Trust ETF

Tail Risk & Distribution Shape: BTC vs. IBIT (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: BTC vs. IBIT (2σ)

Days when both BTC and IBIT had a big down day (2σ)

Days when BTC had a big down day

Days when IBIT had a big down day

Full Comparison of Bitcoin vs. iShares Bitcoin Trust ETF (1-Year)

Inputs & conventions

Formulas

Bitcoin vs iShares Bitcoin Trust ETF: Frequently Asked Questions

Which has higher volatility: BTC or IBIT?

Does BTC provide diversification when held with IBIT?

How bad are the worst 5% days for BTC vs IBIT?

Do BTC and IBIT crash together on bad days?

Which has better risk-adjusted returns: BTC or IBIT?

Can BTC and IBIT be combined in a portfolio?