Cite This Comparison
"MicroStrategy vs S&P 500 (MSTR vs SPY): Returns, Risk & Volatility (2023)." Gale Finance, December 31, 2023. https://www.gale.finance/compare/mstr-vs-spy-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 MSTR vs SPY (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: MSTR delivered a +335.5% total return, while SPY returned +26.7% over the same period. MSTR outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): MSTR had a higher Sharpe (2.34 vs 1.55), indicating better risk-adjusted performance.
- Volatility (Annualized): MSTR was more volatile, with 73.1% annualized volatility, versus 13.1% for SPY.
- Maximum Drawdown: SPY's maximum drawdown was -10.0%, while MSTR experienced a deeper drawdown of -35.7%.
MicroStrategy vs S&P 500 Correlation
MicroStrategy and S&P 500 were moderately correlated in 2023. With a correlation of 0.39, 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) | 0.21 | |
| Average (full period) | 0.39 | |
| Minimum | -0.02 | |
| Maximum | 0.73 |
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: $30,881.688 (MSTR ahead)
MicroStrategy and S&P 500: Risk Analysis
MicroStrategy experienced its maximum drawdown of -35.7% from 2023-02-15 to 2023-03-10. It has not yet recovered to its previous peak.
S&P 500 experienced its maximum drawdown of -10% from 2023-07-31 to 2023-10-27. 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 SPY
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. MSTR had a higher Sharpe (2.34 vs 1.55), 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 MSTR and SPY
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. MSTR 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: MSTR 39.8% vs SPY 8.0%. 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 MicroStrategy vs. S&P 500 (2023)
| Metric | MSTR | SPY |
|---|---|---|
| Total Return | +335.5% | +26.7% |
| Annualized Volatility | 73.1% | 13.1% |
| Sharpe Ratio | 2.34 | 1.55 |
| Sortino Ratio | 4.30 | 2.54 |
| Max Drawdown | -35.7% | -10.0% |
| Avg Correlation to S&P 500 | N/A | N/A |
MicroStrategy vs S&P 500: Frequently Asked Questions
Which had higher volatility: MSTR or SPY?
MSTR showed higher volatility at 73.1% annualized, compared to 13.1% for SPY During 2023. Higher volatility meant larger price swings in both directions.
Did MSTR provide diversification when held with SPY?
MSTR and SPY were moderately correlated in 2023, with an average correlation of 0.39. This offered some diversification benefit, though they still tended to move together during major market moves.
Which had better risk-adjusted returns: MSTR or SPY?
MSTR showed better risk-adjusted performance with a Sharpe ratio of 2.34 versus SPY's 1.55 During 2023.
Could MSTR and SPY have been combined in a portfolio?
Yes, though allocation sizing mattered. Their moderate correlation offered some diversification benefits. MSTR's higher volatility (73.1%) meant even small allocations can materially impact overall portfolio risk.