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

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

Over the past year, IBIT looks like the better investment: it had higher total return (IBIT -27.2% vs GBTC -28.0%) and a higher Sharpe ratio (IBIT -0.55 vs GBTC -0.58). On risk, GBTC was less volatile (GBTC 46.1% vs IBIT 46.2%), IBIT had a smaller max drawdown (IBIT -49.4% vs GBTC -49.5%), and GBTC had less severe losses on the worst 5% of days (Expected Shortfall of GBTC -6.89% vs IBIT -6.90%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: IBIT or GBTC?

Over the past year, IBIT outperformed (-27.2% vs -28.0%) with a Sharpe ratio of -0.55.

Total Return

IBIT WIN -27.2%

GBTC -28.0%

Sharpe Ratio

IBIT WIN -0.55

GBTC -0.58

Annualized Volatility

IBIT 46.2%

GBTC WIN 46.1%

Max Drawdown

IBIT WIN -49.4%

GBTC -49.5%

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

IBIT Total Return

↓ -27.2%

GBTC Total Return

↓ -28.0%

Relative Performance of IBIT vs GBTC (Normalized to 100)

IBIT GBTC

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: IBIT delivered a -27.2% total return, while GBTC returned -28.0% over the same period. IBIT outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (IBIT -0.55 vs GBTC -0.58), meaning both underperformed the risk-free rate; IBIT was less negative.
Volatility (Annualized): IBIT was more volatile, with 46.2% annualized volatility, versus 46.1% for GBTC.
Maximum Drawdown: IBIT's maximum drawdown was -49.4%, while GBTC experienced a deeper drawdown of -49.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), IBIT's VaR was -4.23% and its Expected Shortfall (CVaR) was -6.90%; GBTC's were -4.27% and -6.89%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: IBIT -0.45 vs GBTC -0.46. Excess kurtosis: IBIT 1.99 vs GBTC 2.06. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): IBIT 7/3, GBTC 6/3. Worst day: IBIT -13.16% (2026-02-05) vs GBTC -13.21% (2026-02-05). Best day: IBIT +9.92% (2026-02-06) vs GBTC +10.01% (2026-02-06).
Risk ratios: Sortino - IBIT: -0.75 vs. GBTC: -0.78 , Calmar - IBIT: -0.56 vs. GBTC: -0.57 , Sterling - IBIT: -1.14 vs. GBTC: -1.16 , Treynor - IBIT: -0.25 vs. GBTC: -0.26 , Ulcer Index - IBIT: 17.83% vs. GBTC: 17.92%

iShares Bitcoin Trust ETF vs Grayscale Bitcoin Trust Correlation

1.00 Average Correlation

iShares Bitcoin Trust ETF and Grayscale Bitcoin Trust 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 IBIT and GBTC 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:

IBIT $7,282.75 -27.2%

GBTC $7,200.59 -28.0%

Difference: $82.16 (IBIT ahead)

iShares Bitcoin Trust ETF and Grayscale Bitcoin Trust: Risk Analysis

iShares Bitcoin Trust ETF experienced its maximum drawdown of -49.4% from 2025-10-06 to 2026-02-05. It has not yet recovered to its previous peak.

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.

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

Sharpe Ratio of IBIT and GBTC

IBIT Sharpe Ratio

↓ -0.55

GBTC Sharpe Ratio

↓ -0.58

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

IBIT Sortino Ratio

↓ -0.75

GBTC Sortino Ratio

↓ -0.78

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). IBIT 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: IBIT 34.3% vs GBTC 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 IBIT and GBTC

IBIT Calmar Ratio

↓ -0.56

GBTC Calmar Ratio

↓ -0.57

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

IBIT Sterling Ratio

↓ -1.14

GBTC Sterling Ratio

↓ -1.16

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

IBIT Treynor Ratio

↓ -0.25

GBTC Treynor Ratio

↓ -0.26

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

IBIT Ulcer Index

17.83%

GBTC Ulcer Index

17.92%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. IBIT 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): iShares Bitcoin Trust ETF vs. Grayscale Bitcoin Trust

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)	IBIT	GBTC
5% VaR (daily log return)	-4.23%	-4.27%
5% Expected Shortfall (CVaR)	-6.90% (worst 13 days)	-6.89% (worst 13 days)
Skew	-0.45	-0.46
Excess kurtosis	1.99	2.06
2σ tail days (down / up)	7 / 3	6 / 3
Worst day	-13.16% (2026-02-05)	-13.21% (2026-02-05)
Best day	+9.92% (2026-02-06)	+10.01% (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 GBTC has a big down day, IBIT also does

100.0%

6 / 6 days

When IBIT has a big down day, GBTC also does

85.7%

6 / 7 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 IBIT and GBTC had a big down day (2σ)

Date (interval)	IBIT	GBTC
2025-02-25	-6.33%	-6.35%
2025-03-07 → 2025-03-10	-9.14%	-9.25%
2025-04-04 → 2025-04-07	-7.21%	-7.13%
2026-01-16 → 2026-01-20	-6.42%	-6.29%
2026-01-30 → 2026-02-02	-6.89%	-6.96%
2026-02-05	-13.16%	-13.21%

Days when IBIT had a big down day

Date (interval)	IBIT	GBTC
2025-02-25	-6.33%	-6.35%
2025-03-07 → 2025-03-10	-9.14%	-9.25%
2025-04-04 → 2025-04-07	-7.21%	-7.13%
2025-11-28 → 2025-12-01	-5.92%	-5.76%
2026-01-16 → 2026-01-20	-6.42%	-6.29%
2026-01-30 → 2026-02-02	-6.89%	-6.96%
2026-02-05	-13.16%	-13.21%

Days when GBTC had a big down day

Date (interval)	IBIT	GBTC
2025-02-25	-6.33%	-6.35%
2025-03-07 → 2025-03-10	-9.14%	-9.25%
2025-04-04 → 2025-04-07	-7.21%	-7.13%
2026-01-16 → 2026-01-20	-6.42%	-6.29%
2026-01-30 → 2026-02-02	-6.89%	-6.96%
2026-02-05	-13.16%	-13.21%

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.

iShares Bitcoin Trust ETF vs Grayscale Bitcoin Trust Volatility (IBIT vs GBTC)

IBIT Volatility

46.2%

±2.91% daily

GBTC Volatility

46.1%

±2.91% daily

Typical daily swing

IBIT

±2.91%

GBTC

±2.91%

iShares Bitcoin Trust ETF's annualized volatility of 46.2% means it typically moves ±2.91% on any given day.

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

IBIT's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while GBTC's smoother profile may better suit long-term allocators seeking steadier growth.

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.

iShares Bitcoin Trust ETF vs Grayscale Bitcoin Trust Performance Over Time

Metric	IBIT	GBTC
30 Days	-29.7%	-29.7%
90 Days	-27.1%	-27.3%
180 Days	-41.3%	-41.6%
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 iShares Bitcoin Trust ETF vs. Grayscale Bitcoin Trust (1-Year)

Metric	IBIT	GBTC
Total Return	-27.2%	-28.0%
Annualized Volatility	46.2%	46.1%
Sharpe Ratio	-0.55	-0.58
Sortino Ratio	-0.75	-0.78
Calmar Ratio	-0.56	-0.57
Sterling Ratio	-1.14	-1.16
Treynor Ratio	-0.25	-0.26
Ulcer Index	17.83%	17.92%
Max Drawdown	-49.4%	-49.5%
Avg Correlation to S&P 500	0.44	0.44
5% VaR (daily log return)	-4.23%	-4.27%
5% Expected Shortfall (CVaR)	-6.90%	-6.89%
Skew	-0.45	-0.46
Excess kurtosis	1.99	2.06
2σ tail days (down / up)	7 / 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): IBIT: 252 days/year; GBTC: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

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

GBTC: 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.

IBIT: ≈ -10.7%/yr

GBTC: ≈ -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.

iShares Bitcoin Trust ETF vs Grayscale Bitcoin Trust: Frequently Asked Questions

Which has higher volatility: IBIT or GBTC?

IBIT showed higher volatility at 46.2% annualized, compared to 46.1% for GBTC Over the past year. Higher volatility means larger price swings in both directions.

Does IBIT provide diversification when held with GBTC?

IBIT and GBTC 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 IBIT vs GBTC?

Over the past year, IBIT's 5% VaR was -4.23% and its 5% Expected Shortfall was -6.90% (worst 13 days). GBTC's were -4.27% and -6.89% (worst 13 days).

Do IBIT and GBTC crash together on bad days?

On shared dates (n=249), when GBTC has a 2σ down day, IBIT also does 100.0% (6/6 days). In the other direction, when IBIT has one, GBTC also does 85.7% (6/7 days).

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

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

Can IBIT and GBTC be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. IBIT's higher volatility (46.2%) means even small allocations can materially impact overall portfolio risk.