Cite This Comparison
"Bitcoin vs Coinbase (BTC vs COIN): Returns, Risk & Volatility (2023)." Gale Finance, December 31, 2023. https://www.gale.finance/compare/btc-vs-coin-2023 Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2023-01-01 to 2023-12-31
Relative Performance of BTC vs COIN (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: BTC delivered a +155.4% total return, while COIN returned +417.6% over the same period. COIN outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): BTC had a higher Sharpe (2.28 vs 2.24), indicating better risk-adjusted performance.
- Volatility (Annualized): COIN was more volatile, with 90.1% annualized volatility, versus 44.0% for BTC.
- Maximum Drawdown: BTC's maximum drawdown was -20.1%, while COIN experienced a deeper drawdown of -42.3%.
Bitcoin vs Coinbase Correlation
Bitcoin and Coinbase were moderately correlated in 2023. With a correlation of 0.48, 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 | Metric | Value |
|---|---|---|
| Current (30-day) | 0.58 | |
| Average (full period) | 0.48 | |
| Minimum | 0.14 | |
| Maximum | 0.76 |
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:
Difference: $26,221.728 (COIN ahead)
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Bitcoin and Coinbase: Risk Analysis
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.
Coinbase experienced its maximum drawdown of -42.3% from 2023-03-21 to 2023-05-03. 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. BTC had a higher Sharpe (2.28 vs 2.24), 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 BTC and COIN
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. COIN 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 26.1% vs COIN 46.1%. 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 (2023)
| Metric | BTC | COIN |
|---|---|---|
| Total Return | +155.4% | +417.6% |
| Annualized Volatility | 44.0% | 90.1% |
| Sharpe Ratio | 2.28 | 2.24 |
| Sortino Ratio | 3.85 | 4.37 |
| Max Drawdown | -20.1% | -42.3% |
| 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 90.1% annualized, compared to 44.0% for BTC During 2023. Higher volatility meant larger price swings in both directions.
Did BTC provide diversification when held with COIN?
BTC and COIN were moderately correlated in 2023, with an average correlation of 0.48. This offered some diversification benefit, though they still tended to move together during major market moves.
Which had better risk-adjusted returns: BTC or COIN?
BTC showed better risk-adjusted performance with a Sharpe ratio of 2.28 versus COIN's 2.24 During 2023.
Could BTC and COIN have been combined in a portfolio?
Yes, though allocation sizing mattered. Their moderate correlation offered some diversification benefits. COIN's higher volatility (90.1%) meant even small allocations can materially impact overall portfolio risk.