MSTR vs BTC: Returns, Risk & Volatility (2026)

Q: Which is a better investment: MSTR or BTC?

Over the past year, BTC looks like the better investment: it had higher total return (BTC -19.6% vs MSTR -43.5%) and a higher Sharpe ratio (BTC -0.32 vs MSTR -0.39). On risk, BTC was less volatile (BTC 45.6% vs MSTR 79.7%), BTC had a smaller max drawdown (BTC -48.9% vs MSTR -76.5%), and BTC had less severe losses on the worst 5% of days (Expected Shortfall of BTC -5.71% vs MSTR -11.05%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: MSTR or BTC?

Over the past year, BTC outperformed (-43.5% vs -19.6%) with a Sharpe ratio of -0.32.

Total Return

MSTR -43.5%

BTC WIN -19.6%

Sharpe Ratio

MSTR -0.39

BTC WIN -0.32

Annualized Volatility

MSTR 79.7%

BTC WIN 45.6%

Max Drawdown

MSTR -76.5%

BTC WIN -48.9%

Analysis period: 2025-02-27 to 2026-02-25

MSTR Total Return

↓ -43.5%

BTC Total Return

↓ -19.6%

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 -43.5% total return, while BTC returned -19.6% over the same period. BTC outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (BTC -0.32 vs MSTR -0.39), meaning both underperformed the risk-free rate; BTC was less negative.
Volatility (Annualized): MSTR was more volatile, with 79.7% annualized volatility, versus 45.6% for BTC.
Maximum Drawdown: BTC's maximum drawdown was -48.9%, while MSTR experienced a deeper drawdown of -76.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), MSTR's VaR was -8.08% and its Expected Shortfall (CVaR) was -11.05%; BTC's were -3.80% and -5.71%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: MSTR 0.34 vs BTC -0.15. Excess kurtosis: MSTR 3.90 vs BTC 4.43. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): MSTR 6/5, BTC 9/9. Worst day: MSTR -17.12% (2026-02-05) vs BTC -11.85% (2026-02-04). Best day: MSTR +26.11% (2026-02-06) vs BTC +11.72% (2026-02-05).
Risk ratios: Sortino - MSTR: -0.57 vs. BTC: -0.45 , Calmar - MSTR: -0.57 vs. BTC: -0.39 , Sterling - MSTR: -1.34 vs. BTC: -0.86 , Treynor - MSTR: -0.14 vs. BTC: -0.27 , Ulcer Index - MSTR: 38.66% vs. BTC: 18.99%

MicroStrategy vs Bitcoin Correlation

0.66 Average Correlation

MicroStrategy and Bitcoin are strongly correlated over the past year. With a correlation of 0.66, these assets tend 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)	-0.06
Average (full period)	0.66
Minimum	-0.13
Maximum	0.92

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 27, 2025:

MSTR $5,650.91 -43.5%

BTC $8,043.39 -19.6%

Difference: $2,392.48 (BTC ahead)

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MicroStrategy and Bitcoin: Risk Analysis

MicroStrategy experienced its maximum drawdown of -76.5% from 2025-07-16 to 2026-02-05. It has not yet recovered to its previous peak.

Bitcoin experienced its maximum drawdown of -48.9% from 2025-10-06 to 2026-02-04. 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

↓ -0.39

BTC Sharpe Ratio

↓ -0.32

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (BTC -0.32 vs MSTR -0.39), meaning both underperformed the risk-free rate; BTC 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 MSTR and BTC

MSTR Sortino Ratio

↓ -0.57

BTC Sortino Ratio

↓ -0.45

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). BTC 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 54.0% vs BTC 32.5%. 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 MSTR and BTC

MSTR Calmar Ratio

↓ -0.57

BTC Calmar Ratio

↓ -0.39

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

MSTR Sterling Ratio

↓ -1.34

BTC Sterling Ratio

↓ -0.86

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

MSTR Treynor Ratio

↓ -0.14

BTC Treynor Ratio

↓ -0.27

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

MSTR Ulcer Index

38.66%

BTC Ulcer Index

18.99%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. BTC 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): 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 (1-Year)	MSTR	BTC
5% VaR (daily log return)	-8.08%	-3.80%
5% Expected Shortfall (CVaR)	-11.05% (worst 13 days)	-5.71% (worst 19 days)
Skew	0.34	-0.15
Excess kurtosis	3.90	4.43
2σ tail days (down / up)	6 / 5	9 / 9
Worst day	-17.12% (2026-02-05)	-11.85% (2026-02-04)
Best day	+26.11% (2026-02-06)	+11.72% (2026-02-05)

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 BTC has a big down day, MSTR also does

12.5%

1 / 8 days

When MSTR has a big down day, BTC also does

16.7%

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

Date (interval)	MSTR	BTC
2025-03-07 → 2025-03-10	-16.68%	-9.21%

Days when MSTR had a big down day

Date (interval)	MSTR	BTC
2025-03-07 → 2025-03-10	-16.68%	-9.21%
2025-03-28	-10.84%	-3.29%
2025-04-03	-9.68%	+0.77%
2025-04-08	-11.26%	-3.60%
2025-11-19	-9.82%	-1.57%
2026-02-05	-17.12%	+11.72%

Days when BTC had a big down day

Date (interval)	MSTR	BTC
2025-03-07 → 2025-03-10	-16.68%	-9.21%
2025-04-04 → 2025-04-07	-8.67%	-5.57%
2025-08-22 → 2025-08-25	-4.17%	-5.69%
2025-10-10	-4.84%	-6.98%
2026-01-16 → 2026-01-20	-7.76%	-6.06%
2026-01-30	+4.55%	-7.07%
2026-02-04	-3.13%	-11.85%
2026-02-20 → 2026-02-23	-5.60%	-5.65%

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.

MicroStrategy vs Bitcoin Volatility (MSTR vs BTC)

MSTR Volatility

79.7%

±5.02% daily

BTC Volatility

45.6%

±2.39% daily

Typical daily swing

MSTR

±5.02%

BTC

±2.39%

MicroStrategy's annualized volatility of 79.7% means it typically moves ±5.02% on any given day.

Bitcoin's annualized volatility of 45.6% means it typically moves ±2.39% on any given day.

MSTR's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while BTC'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.

MicroStrategy vs Bitcoin Performance Over Time

Metric	MSTR	BTC
30 Days	-15.5%	-23.5%
90 Days	-22.8%	-25.4%
180 Days	-59.4%	-37.2%
1 Year	-43.5%	-18.8%

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

Full Comparison of MicroStrategy vs. Bitcoin (1-Year)

Metric	MSTR	BTC
Total Return	-43.5%	-19.6%
Annualized Volatility	79.7%	45.6%
Sharpe Ratio	-0.39	-0.32
Sortino Ratio	-0.57	-0.45
Calmar Ratio	-0.57	-0.39
Sterling Ratio	-1.34	-0.86
Treynor Ratio	-0.14	-0.27
Ulcer Index	38.66%	18.99%
Max Drawdown	-76.5%	-48.9%
Avg Correlation to S&P 500	0.48	0.47
5% VaR (daily log return)	-8.08%	-3.80%
5% Expected Shortfall (CVaR)	-11.05%	-5.71%
Skew	0.34	-0.15
Excess kurtosis	3.90	4.43
2σ tail days (down / up)	6 / 5	9 / 9

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-27 → 2026-02-25 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
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: 4.20% over 2025-02-27 → 2026-02-25.

BTC: 4.20% over 2025-02-26 → 2026-02-25.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

MSTR: ≈ -31.8%/yr

BTC: ≈ -10.4%/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 has higher volatility: MSTR or BTC?

MSTR showed higher volatility at 79.7% annualized, compared to 45.6% for BTC Over the past year. Higher volatility means larger price swings in both directions.

Does MSTR provide diversification when held with BTC?

MSTR and BTC are strongly correlated over the past year, with an average correlation of 0.66. This strong correlation limits diversification benefits.

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

Over the past year, MSTR's 5% VaR was -8.08% and its 5% Expected Shortfall was -11.05% (worst 13 days). BTC's were -3.80% and -5.71% (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 12.5% (1/8 days). In the other direction, when MSTR has one, BTC also does 16.7% (1/6 days).

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

Both assets posted negative Sharpe ratios Over the past year (BTC -0.32 vs MSTR -0.39), meaning both underperformed the risk-free rate; BTC was less negative.

Can MSTR and BTC be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. MSTR's higher volatility (79.7%) means even small allocations can materially impact overall portfolio risk.