BTC vs QQQ: Returns, Risk & Volatility (2025)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2025-01-01 to 2025-12-31

BTC Total Return

↓ -8.7%

QQQ Total Return

↑ +22.0%

Relative Performance of BTC vs QQQ (Normalized to 100)

BTC QQQ

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: BTC delivered a -8.7% total return, while QQQ returned +22.0% over the same period. QQQ outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): BTC had a negative Sharpe (-0.11) while QQQ was positive (0.79), indicating QQQ had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): BTC was more volatile, with 42.0% annualized volatility, versus 23.7% for QQQ.
Maximum Drawdown: QQQ's maximum drawdown was -22.8%, while BTC experienced a deeper drawdown of -32.1%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), BTC's VaR was -3.65% and its Expected Shortfall (CVaR) was -5.07%; QQQ's were -2.21% and -3.47%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: BTC -0.03 vs QQQ 0.93. Excess kurtosis: BTC 2.26 vs QQQ 14.88. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): BTC 11/9, QQQ 7/2. Worst day: BTC -8.63% (2025-03-03) vs QQQ -6.21% (2025-04-04). Best day: BTC +9.60% (2025-03-02) vs QQQ +12.00% (2025-04-09).
Risk ratios: Sortino - BTC: -0.16 vs. QQQ: 1.18 , Calmar - BTC: N/A vs. QQQ: N/A , Sterling - BTC: N/A vs. QQQ: N/A , Treynor - BTC: N/A vs. QQQ: N/A , Ulcer Index - BTC: N/A vs. QQQ: N/A

Bitcoin vs Nasdaq 100 Correlation

0.46 Average Correlation

Bitcoin and Nasdaq 100 were moderately correlated in 2025. With a correlation of 0.46, these assets showed moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.55
Average (full period)	0.46
Minimum	0.03
Maximum	0.75

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.

Investment Comparison

If you invested $10,000 in each asset on January 1, 2025:

BTC $9,128.825 -8.7%

QQQ $12,201.09 +22.0%

Difference: $3,072.265 (QQQ ahead)

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Bitcoin and Nasdaq 100: Risk Analysis

Bitcoin experienced its maximum drawdown of -32.1% from 2025-10-06 to 2025-11-22. It has not yet recovered to its previous peak.

Nasdaq 100 experienced its maximum drawdown of -22.8% from 2025-02-19 to 2025-04-08. It has not yet recovered to its previous peak.

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

Sharpe Ratio of BTC and QQQ

BTC Sharpe Ratio

↓ -0.11

QQQ Sharpe Ratio

↑ 0.79

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. BTC had a negative Sharpe (-0.11) while QQQ was positive (0.79), indicating QQQ had meaningfully better risk-adjusted performance in this period.

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 QQQ

BTC Sortino Ratio

↓ -0.16

QQQ Sortino Ratio

↑ 1.18

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). QQQ 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 29.5% vs QQQ 15.9%. 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).

Tail Risk & Distribution Shape (2025): Bitcoin vs. Nasdaq 100

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.

Metric (2025)	BTC	QQQ
5% VaR (daily log return)	-3.65%	-2.21%
5% Expected Shortfall (CVaR)	-5.07% (worst 19 days)	-3.47% (worst 13 days)
Skew	-0.03	0.93
Excess kurtosis	2.26	14.88
2σ tail days (down / up)	11 / 9	7 / 2
Worst day	-8.63% (2025-03-03)	-6.21% (2025-04-04)
Best day	+9.60% (2025-03-02)	+12.00% (2025-04-09)

Downside co-moves (2σ) — 2025

Computed on shared dates only (n=248). 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.

When QQQ has a big down day, BTC also does

28.6%

2 / 7 days

When BTC has a big down day, QQQ also does

20.0%

2 / 10 days

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 QQQ had a big down day (2σ)

Date (interval)	BTC	QQQ
2025-03-07 → 2025-03-10	-9.21%	-3.88%
2025-10-10	-6.98%	-3.47%

Days when BTC had a big down day

Date (interval)	BTC	QQQ
2025-01-07	-5.16%	-1.78%
2025-02-21 → 2025-02-24	-4.93%	-1.18%
2025-02-26	-5.47%	+0.24%
2025-03-07 → 2025-03-10	-9.21%	-3.88%
2025-04-04 → 2025-04-07	-5.57%	+0.24%
2025-08-22 → 2025-08-25	-5.69%	-0.29%
2025-10-10	-6.98%	-3.47%
2025-11-14	-5.29%	+0.08%
2025-11-20	-5.16%	-2.37%
2025-11-28 → 2025-12-01	-5.13%	-0.34%

Days when QQQ had a big down day

Date (interval)	BTC	QQQ
2025-01-24 → 2025-01-27	-2.74%	-2.91%
2025-03-07 → 2025-03-10	-9.21%	-3.88%
2025-04-03	+0.77%	-5.35%
2025-04-04	+0.83%	-6.21%
2025-04-10	-3.66%	-4.25%
2025-04-16	+0.54%	-3.02%
2025-10-10	-6.98%	-3.47%

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. Nasdaq 100 (2025)

Metric	BTC	QQQ
Total Return	-8.7%	+22.0%
Annualized Volatility	42.0%	23.7%
Sharpe Ratio	-0.11	0.79
Sortino Ratio	-0.16	1.18
Calmar Ratio	N/A	N/A
Sterling Ratio	N/A	N/A
Treynor Ratio	N/A	N/A
Ulcer Index	N/A	N/A
Max Drawdown	-32.1%	-22.8%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-3.65%	-2.21%
5% Expected Shortfall (CVaR)	-5.07%	-3.47%
Skew	-0.03	0.93
Excess kurtosis	2.26	14.88
2σ tail days (down / up)	11 / 9	7 / 2

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-01-01 → 2025-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
Annualization (days/year): BTC: 365 days/year; QQQ: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

BTC: 4.22%.

QQQ: 4.22%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

BTC: ≈ -8.8%/yr

QQQ: ≈ -2.8%/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 Nasdaq 100: Frequently Asked Questions

Which had higher volatility: BTC or QQQ?

BTC showed higher volatility at 42.0% annualized, compared to 23.7% for QQQ During 2025. Higher volatility meant larger price swings in both directions.

Did BTC provide diversification when held with QQQ?

BTC and QQQ were moderately correlated in 2025, with an average correlation of 0.46. This offered some diversification benefit, though they still tended to move together during major market moves.

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

During 2025, BTC's 5% VaR was -3.65% and its 5% Expected Shortfall was -5.07% (worst 19 days). QQQ's were -2.21% and -3.47% (worst 13 days).

Do BTC and QQQ crash together on bad days?

On shared dates (n=248), when QQQ has a 2σ down day, BTC also does 28.6% (2/7 days). In the other direction, when BTC has one, QQQ also does 20.0% (2/10 days).

Which had better risk-adjusted returns: BTC or QQQ?

BTC had a negative Sharpe (-0.11) while QQQ was positive (0.79) During 2025, indicating QQQ had meaningfully better risk-adjusted performance.

Could BTC and QQQ have been combined in a portfolio?

Yes, though allocation sizing mattered. Their moderate correlation offered some diversification benefits. BTC's higher volatility (42.0%) meant even small allocations can materially impact overall portfolio risk.