Ethereum, TRON, and Iota have outperformed most other major cryptocurrencies by the 30-day Sharpe ratio, a measure developed by Nobel laureate William F. Sharpe to evaluate the return of an investment relative to its risk.
One indicator, the Sharpe ratio, calculates the performance of an investment adjusted for the risk-free interest rate per unit of volatility.
Finally, the excess return is divided by the standard deviation to produce the Sharpe ratio.
The greater the returns over the risk-free return, the higher the Sharpe ratio.
More consistent returns over time also produce a higher Sharpe ratio.
For comparison, U.S. Treasury Bills have a Sharpe ratio of zero.
The S&P 500, an index of stocks from the largest 500 U.S. companies, had a rolling 12-month Sharpe ratio of approximately 1.0 over the last 25 years.
Ethereum and Iota generated Sharpe ratios of 0.124 and 0.127, respectively.
Over the last month, Bitcoin had a dismal ratio of -0.0722, indicating that U.S. Treasury Bills outperformed the cryptocurrency in the last 30 days.
Whether the Sharpe ratio has any relevance for evaluating the merits of a cryptocurrency is another matter entirely.
Ethereum, TRON, Iota Lead in Peformance Adjusted for Risk by Sharpe Ratio, Bitcoin Underperforms
gepubliceerd op Jan 6, 2019
by Cryptoslate | gepubliceerd op Coinage
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