Cite This Comparison
"Bitcoin vs Coinbase (BTC vs COIN): Returns, Risk & Volatility (2022)." Gale Finance, December 31, 2022. https://www.gale.finance/compare/btc-vs-coin-2022 Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2022-01-01 to 2022-12-31
Relative Performance of BTC vs COIN (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: BTC delivered a -64.3% total return, while COIN returned -85.9% over the same period. BTC outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (COIN -1.33 vs BTC -1.38), meaning both underperformed the risk-free rate; COIN was less negative.
- Volatility (Annualized): COIN was more volatile, with 107.3% annualized volatility, versus 63.8% for BTC.
- Maximum Drawdown: BTC's maximum drawdown was -66.7%, while COIN experienced a deeper drawdown of -87.0%.
Bitcoin vs Coinbase Correlation
Bitcoin and Coinbase were strongly correlated in 2022. With a correlation of 0.64, these assets tended to move together, limiting diversification benefits.
For portfolio construction, this strong correlation means holding both BTC and COIN provides limited risk reduction — they're likely to decline together in downturns.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.46 | |
| Average (full period) | 0.64 | |
| Minimum | 0.33 | |
| Maximum | 0.87 |
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, 2022:
Difference: $2,163.988 (BTC ahead)
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Bitcoin and Coinbase: Risk Analysis
Bitcoin experienced its maximum drawdown of -66.7% from 2022-03-29 to 2022-11-21. It has not yet recovered to its previous peak.
Coinbase experienced its maximum drawdown of -87% from 2022-01-03 to 2022-12-28. 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 COIN
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (COIN -1.33 vs BTC -1.38), meaning both underperformed the risk-free rate; COIN 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 COIN
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. BTC had better downside-adjusted returns.
A higher Sortino is better. It's particularly useful for assets with asymmetric volatility (big gains, smaller losses). Downside volatility: BTC 49.5% vs COIN 68.1%. 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).
Full Comparison of Bitcoin vs. Coinbase (2022)
| Metric | BTC | COIN |
|---|---|---|
| Total Return | -64.3% | -85.9% |
| Annualized Volatility | 63.8% | 107.3% |
| Sharpe Ratio | -1.38 | -1.33 |
| Sortino Ratio | -1.78 | -2.10 |
| Max Drawdown | -66.7% | -87.0% |
| Avg Correlation to S&P 500 | N/A | N/A |
Bitcoin vs Coinbase: Frequently Asked Questions
Which had higher volatility: BTC or COIN?
COIN showed higher volatility at 107.3% annualized, compared to 63.8% for BTC During 2022. Higher volatility meant larger price swings in both directions.
Did BTC provide diversification when held with COIN?
BTC and COIN were strongly correlated in 2022, with an average correlation of 0.64. This strong correlation limited diversification benefits.
Which had better risk-adjusted returns: BTC or COIN?
Both assets posted negative Sharpe ratios During 2022 (COIN -1.33 vs BTC -1.38), meaning both underperformed the risk-free rate; COIN was less negative.
Could BTC and COIN have been combined in a portfolio?
Yes, though allocation sizing mattered. Their strong correlation provided limited risk reduction since they tended to move together. COIN's higher volatility (107.3%) meant even small allocations can materially impact overall portfolio risk.