Analysis: Bitcoin's 365-Day Sharpe Ratio Falls to Lowest Level Since 2022, Historically Correspondin

On July 6, according to CryptoQuant data, Bitcoin has accumulated a decline of approximately 28% this year, with its 365-day rolling Sharpe Ratio dropping to around -21, the lowest level since the end of 2022, and currently still close to -20. The Sharpe Ratio is used to measure the risk-adjusted return of an asset. A negative value indicates that investors are taking on higher volatility risk but are receiving returns lower than risk-free assets (such as 10-year U.S. Treasury bonds). In the context of the current yield of about 4.45% on U.S. Treasuries, this metric reflects a significant deterioration in Bitcoin's risk-return performance over the past year. However, CryptoQuant points out that historically, when the Sharpe Ratio falls to such extreme negative values, it often signifies that market selling pressure is nearing exhaustion. Similar levels were observed around the bear market bottoms in 2015, 2019, and 2022, each followed by a new upward cycle for Bitcoin.