MSTR vs BTC: Returns, Risk & Volatility (2023)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2023-01-01 to 2023-12-31

MSTR Total Return

↑ +335.5%

BTC Total Return

↑ +152.2%

Relative Performance of MSTR vs BTC (Normalized to 100)

MSTR BTC

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: MSTR delivered a +335.5% total return, while BTC returned +152.2% over the same period. MSTR outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): MSTR had a higher Sharpe (2.34 vs 2.25), indicating better risk-adjusted performance.
Volatility (Annualized): MSTR was more volatile, with 73.1% annualized volatility, versus 44.1% for BTC.
Maximum Drawdown: BTC's maximum drawdown was -20.1%, while MSTR experienced a deeper drawdown of -35.7%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), MSTR's VaR was -6.58% and its Expected Shortfall (CVaR) was -8.68%; BTC's were -3.11% and -4.52%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: MSTR 0.26 vs BTC 0.69. Excess kurtosis: MSTR 0.40 vs BTC 2.93. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): MSTR 8/9, BTC 10/17. Worst day: MSTR -9.81% (2023-05-08) vs BTC -7.10% (2023-08-17). Best day: MSTR +16.22% (2023-03-13) vs BTC +10.31% (2023-10-23).
Risk ratios: Sortino - MSTR: 4.03 vs. BTC: 3.92 , Calmar - MSTR: N/A vs. BTC: N/A , Sterling - MSTR: N/A vs. BTC: N/A , Treynor - MSTR: N/A vs. BTC: N/A , Ulcer Index - MSTR: N/A vs. BTC: N/A

MicroStrategy vs Bitcoin Correlation

0.73 Average Correlation

MicroStrategy and Bitcoin were strongly correlated in 2023. With a correlation of 0.73, these assets tended to move together, limiting diversification benefits.

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

Metric	Value
Current (30-day)	0.74
Average (full period)	0.73
Minimum	0.50
Maximum	0.88

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, 2023:

MSTR $43,553.993 +335.5%

BTC $25,224.861 +152.2%

Difference: $18,329.132 (MSTR ahead)

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MicroStrategy and Bitcoin: Risk Analysis

MicroStrategy experienced its maximum drawdown of -35.7% from 2023-02-15 to 2023-03-10. It has not yet recovered to its previous peak.

Bitcoin experienced its maximum drawdown of -20.1% from 2023-07-13 to 2023-09-11. 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 MSTR and BTC

MSTR Sharpe Ratio

↑ 2.34

BTC Sharpe Ratio

↑ 2.25

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. MSTR had a higher Sharpe (2.34 vs 2.25), indicating better risk-adjusted performance.

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 MSTR and BTC

MSTR Sortino Ratio

↑ 4.03

BTC Sortino Ratio

↑ 3.92

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). MSTR 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: MSTR 42.4% vs BTC 25.2%. 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 (2023): MicroStrategy vs. Bitcoin

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 (2023)	MSTR	BTC
5% VaR (daily log return)	-6.58%	-3.11%
5% Expected Shortfall (CVaR)	-8.68% (worst 13 days)	-4.52% (worst 19 days)
Skew	0.26	0.69
Excess kurtosis	0.40	2.93
2σ tail days (down / up)	8 / 9	10 / 17
Worst day	-9.81% (2023-05-08)	-7.10% (2023-08-17)
Best day	+16.22% (2023-03-13)	+10.31% (2023-10-23)

Downside co-moves (2σ) — 2023

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.

When BTC has a big down day, MSTR also does

60.0%

3 / 5 days

When MSTR has a big down day, BTC also does

37.5%

3 / 8 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 MSTR and BTC had a big down day (2σ)

Date (interval)	MSTR	BTC
2023-03-09	-9.41%	-6.24%
2023-05-05 → 2023-05-08	-9.81%	-6.23%
2023-06-02 → 2023-06-05	-8.53%	-5.47%

Days when MSTR had a big down day

Date (interval)	MSTR	BTC
2023-02-09	-9.76%	-4.88%
2023-02-17 → 2023-02-21	-8.21%	-0.53%
2023-03-09	-9.41%	-6.24%
2023-03-10	-8.92%	-0.86%
2023-03-22	-9.70%	-3.08%
2023-05-05 → 2023-05-08	-9.81%	-6.23%
2023-05-11	-8.80%	-2.25%
2023-06-02 → 2023-06-05	-8.53%	-5.47%

Days when BTC had a big down day

Date (interval)	MSTR	BTC
2023-03-09	-9.41%	-6.24%
2023-05-05 → 2023-05-08	-9.81%	-6.23%
2023-06-02 → 2023-06-05	-8.53%	-5.47%
2023-08-17	-6.19%	-7.10%
2023-12-08 → 2023-12-11	-7.27%	-6.62%

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 MicroStrategy vs. Bitcoin (2023)

Metric	MSTR	BTC
Total Return	+335.5%	+152.2%
Annualized Volatility	73.1%	44.1%
Sharpe Ratio	2.34	2.25
Sortino Ratio	4.03	3.92
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	-35.7%	-20.1%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-6.58%	-3.11%
5% Expected Shortfall (CVaR)	-8.68%	-4.52%
Skew	0.26	0.69
Excess kurtosis	0.40	2.93
2σ tail days (down / up)	8 / 9	10 / 17

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2023-01-01 → 2023-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
Annualization (days/year): MSTR: 252 days/year; BTC: 365 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

MSTR: 4.50%.

BTC: 4.50%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

MSTR: ≈ -26.7%/yr

BTC: ≈ -9.7%/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.

MicroStrategy vs Bitcoin: Frequently Asked Questions

Which had higher volatility: MSTR or BTC?

MSTR showed higher volatility at 73.1% annualized, compared to 44.1% for BTC During 2023. Higher volatility meant larger price swings in both directions.

Did MSTR provide diversification when held with BTC?

MSTR and BTC were strongly correlated in 2023, with an average correlation of 0.73. This strong correlation limited diversification benefits.

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

During 2023, MSTR's 5% VaR was -6.58% and its 5% Expected Shortfall was -8.68% (worst 13 days). BTC's were -3.11% and -4.52% (worst 19 days).

Do MSTR and BTC crash together on bad days?

On shared dates (n=249), when BTC has a 2σ down day, MSTR also does 60.0% (3/5 days). In the other direction, when MSTR has one, BTC also does 37.5% (3/8 days).

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

MSTR showed better risk-adjusted performance with a Sharpe ratio of 2.34 versus BTC's 2.25 During 2023.

Could MSTR and BTC have been combined in a portfolio?

Yes, though allocation sizing mattered. Their strong correlation provided limited risk reduction since they tended to move together. MSTR's higher volatility (73.1%) meant even small allocations can materially impact overall portfolio risk.

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