GBTC vs FBTC: Crypto Returns, Risk & Volatility (2026)

Q: Which is a better investment: GBTC or FBTC?

Over the past year, FBTC looks like the better investment: it had higher total return (FBTC -27.1% vs GBTC -28.0%) and a higher Sharpe ratio (FBTC -0.55 vs GBTC -0.58). On risk, FBTC had a smaller max drawdown (FBTC -49.3% vs GBTC -49.5%) and FBTC had less severe losses on the worst 5% of days (Expected Shortfall of FBTC -6.88% vs GBTC -6.89%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: GBTC or FBTC?

Over the past year, FBTC outperformed (-28.0% vs -27.1%) with a Sharpe ratio of -0.55.

Total Return

GBTC -28.0%

FBTC WIN -27.1%

Sharpe Ratio

GBTC -0.58

FBTC WIN -0.55

Annualized Volatility

GBTC 46.1%

FBTC 46.1%

Max Drawdown

GBTC -49.5%

FBTC WIN -49.3%

Analysis period: 2025-02-18 to 2026-02-13

GBTC Total Return

↓ -28.0%

FBTC Total Return

↓ -27.1%

Relative Performance of GBTC vs FBTC (Normalized to 100)

GBTC FBTC

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: GBTC delivered a -28.0% total return, while FBTC returned -27.1% over the same period. FBTC outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (FBTC -0.55 vs GBTC -0.58), meaning both underperformed the risk-free rate; FBTC was less negative.
Volatility (Annualized): GBTC was more volatile, with 46.1% annualized volatility, versus 46.1% for FBTC.
Maximum Drawdown: FBTC's maximum drawdown was -49.3%, while GBTC experienced a deeper drawdown of -49.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), GBTC's VaR was -4.27% and its Expected Shortfall (CVaR) was -6.89%; FBTC's were -4.32% and -6.88%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: GBTC -0.46 vs FBTC -0.47. Excess kurtosis: GBTC 2.06 vs FBTC 2.07. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): GBTC 6/3, FBTC 6/3. Worst day: GBTC -13.21% (2026-02-05) vs FBTC -13.22% (2026-02-05). Best day: GBTC +10.01% (2026-02-06) vs FBTC +9.94% (2026-02-06).
Risk ratios: Sortino - GBTC: -0.78 vs. FBTC: -0.75 , Calmar - GBTC: -0.57 vs. FBTC: -0.56 , Sterling - GBTC: -1.16 vs. FBTC: -1.14 , Treynor - GBTC: -0.26 vs. FBTC: -0.25 , Ulcer Index - GBTC: 17.92% vs. FBTC: 17.80%

Grayscale Bitcoin Trust vs Fidelity Wise Origin Bitcoin Fund Correlation

1.00 Average Correlation

Grayscale Bitcoin Trust and Fidelity Wise Origin Bitcoin Fund are strongly correlated over the past year. With a correlation of 1.00, these assets tend to move together, limiting diversification benefits.

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

Metric	Value
Current (30-day)	1.00
Average (full period)	1.00
Minimum	1.00
Maximum	1.00

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 February 18, 2025:

GBTC $7,200.59 -28.0%

FBTC $7,286.77 -27.1%

Difference: $86.18 (FBTC ahead)

Grayscale Bitcoin Trust and Fidelity Wise Origin Bitcoin Fund: Risk Analysis

Grayscale Bitcoin Trust experienced its maximum drawdown of -49.5% from 2025-10-06 to 2026-02-05. It has not yet recovered to its previous peak.

Fidelity Wise Origin Bitcoin Fund experienced its maximum drawdown of -49.3% 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.

Sharpe Ratio of GBTC and FBTC

GBTC Sharpe Ratio

↓ -0.58

FBTC Sharpe Ratio

↓ -0.55

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (FBTC -0.55 vs GBTC -0.58), meaning both underperformed the risk-free rate; FBTC 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 GBTC and FBTC

GBTC Sortino Ratio

↓ -0.78

FBTC Sortino Ratio

↓ -0.75

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). FBTC 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: GBTC 34.2% vs FBTC 34.2%. 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).

Calmar Ratio of GBTC and FBTC

GBTC Calmar Ratio

↓ -0.57

FBTC Calmar Ratio

↓ -0.56

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. FBTC 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 GBTC and FBTC

GBTC Sterling Ratio

↓ -1.16

FBTC Sterling Ratio

↓ -1.14

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). FBTC 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 GBTC and FBTC

GBTC Treynor Ratio

↓ -0.26

FBTC Treynor Ratio

↓ -0.25

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. FBTC 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 GBTC and FBTC

GBTC Ulcer Index

17.92%

FBTC Ulcer Index

17.80%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. FBTC 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): Grayscale Bitcoin Trust vs. Fidelity Wise Origin Bitcoin Fund

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 (1-Year)	GBTC	FBTC
5% VaR (daily log return)	-4.27%	-4.32%
5% Expected Shortfall (CVaR)	-6.89% (worst 13 days)	-6.88% (worst 13 days)
Skew	-0.46	-0.47
Excess kurtosis	2.06	2.07
2σ tail days (down / up)	6 / 3	6 / 3
Worst day	-13.21% (2026-02-05)	-13.22% (2026-02-05)
Best day	+10.01% (2026-02-06)	+9.94% (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.

When FBTC has a big down day, GBTC also does

100.0%

6 / 6 days

When GBTC has a big down day, FBTC also does

100.0%

6 / 6 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 GBTC and FBTC had a big down day (2σ)

Date (interval)	GBTC	FBTC
2025-02-25	-6.35%	-6.32%
2025-03-07 → 2025-03-10	-9.25%	-9.18%
2025-04-04 → 2025-04-07	-7.13%	-7.15%
2026-01-16 → 2026-01-20	-6.29%	-6.31%
2026-01-30 → 2026-02-02	-6.96%	-7.03%
2026-02-05	-13.21%	-13.22%

Days when GBTC had a big down day

Date (interval)	GBTC	FBTC
2025-02-25	-6.35%	-6.32%
2025-03-07 → 2025-03-10	-9.25%	-9.18%
2025-04-04 → 2025-04-07	-7.13%	-7.15%
2026-01-16 → 2026-01-20	-6.29%	-6.31%
2026-01-30 → 2026-02-02	-6.96%	-7.03%
2026-02-05	-13.21%	-13.22%

Days when FBTC had a big down day

Date (interval)	GBTC	FBTC
2025-02-25	-6.35%	-6.32%
2025-03-07 → 2025-03-10	-9.25%	-9.18%
2025-04-04 → 2025-04-07	-7.13%	-7.15%
2026-01-16 → 2026-01-20	-6.29%	-6.31%
2026-01-30 → 2026-02-02	-6.96%	-7.03%
2026-02-05	-13.21%	-13.22%

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.

Grayscale Bitcoin Trust vs Fidelity Wise Origin Bitcoin Fund Volatility (GBTC vs FBTC)

GBTC Volatility

46.1%

±2.91% daily

FBTC Volatility

46.1%

±2.9% daily

Typical daily swing

GBTC

±2.91%

FBTC

±2.9%

Grayscale Bitcoin Trust's annualized volatility of 46.1% means it typically moves ±2.91% on any given day.

Fidelity Wise Origin Bitcoin Fund's annualized volatility of 46.1% means it typically moves ±2.9% on any given day.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

Grayscale Bitcoin Trust vs Fidelity Wise Origin Bitcoin Fund Performance Over Time

Metric	GBTC	FBTC
30 Days	-29.7%	-29.6%
90 Days	-27.3%	-27.1%
180 Days	-41.6%	-41.3%
1 Year	N/A	N/A

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

Full Comparison of Grayscale Bitcoin Trust vs. Fidelity Wise Origin Bitcoin Fund (1-Year)

Metric	GBTC	FBTC
Total Return	-28.0%	-27.1%
Annualized Volatility	46.1%	46.1%
Sharpe Ratio	-0.58	-0.55
Sortino Ratio	-0.78	-0.75
Calmar Ratio	-0.57	-0.56
Sterling Ratio	-1.16	-1.14
Treynor Ratio	-0.26	-0.25
Ulcer Index	17.92%	17.80%
Max Drawdown	-49.5%	-49.3%
Avg Correlation to S&P 500	0.44	0.44
5% VaR (daily log return)	-4.27%	-4.32%
5% Expected Shortfall (CVaR)	-6.89%	-6.88%
Skew	-0.46	-0.47
Excess kurtosis	2.06	2.07
2σ tail days (down / up)	6 / 3	6 / 3

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-18 → 2026-02-13 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): GBTC: 252 days/year; FBTC: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

GBTC: 4.20% over 2025-02-18 → 2026-02-13.

FBTC: 4.20% over 2025-02-18 → 2026-02-13.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

GBTC: ≈ -10.6%/yr

FBTC: ≈ -10.6%/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.

Grayscale Bitcoin Trust vs Fidelity Wise Origin Bitcoin Fund: Frequently Asked Questions

Which has higher volatility: GBTC or FBTC?

GBTC showed higher volatility at 46.1% annualized, compared to 46.1% for FBTC Over the past year. Higher volatility means larger price swings in both directions.

Does GBTC provide diversification when held with FBTC?

GBTC and FBTC are strongly correlated over the past year, with an average correlation of 1.00. This strong correlation limits diversification benefits.

How bad are the worst 5% days for GBTC vs FBTC?

Over the past year, GBTC's 5% VaR was -4.27% and its 5% Expected Shortfall was -6.89% (worst 13 days). FBTC's were -4.32% and -6.88% (worst 13 days).

Do GBTC and FBTC crash together on bad days?

On shared dates (n=249), when FBTC has a 2σ down day, GBTC also does 100.0% (6/6 days). In the other direction, when GBTC has one, FBTC also does 100.0% (6/6 days).

Which has better risk-adjusted returns: GBTC or FBTC?

Both assets posted negative Sharpe ratios Over the past year (FBTC -0.55 vs GBTC -0.58), meaning both underperformed the risk-free rate; FBTC was less negative.

Can GBTC and FBTC be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. GBTC's higher volatility (46.1%) means even small allocations can materially impact overall portfolio risk.