VSTE
Littera Scripta

ISSN (online): 1805-9112

Open access

Gold versus Bitcoin: A Comparative Analysis of Risk, Return, and Risk-Adjusted Performance

Simarpal SAMBHI1*iD

  1. Mohawk College, 135 Fennell Avenue West, Hamilton, Ontario L9C 0E5, Canada

* Corresponding author: simarpal.sambhi@mohawkcollege.ca

Abstract

This study compares the investment performance and risk characteristics of gold and Bitcoin over a five-year period. Daily historical price data for Gold futures (GC=F) and Bitcoin (BTC-USD) were obtained from Yahoo Finance and analyzed using a quantitative approach. Investment performance was evaluated using Compound Annual Growth Rate (CAGR), while risk was assessed through daily volatility, the Sharpe ratio, and maximum drawdown. The results show that gold achieved a higher CAGR of 19.13%, compared with 11.31% for Bitcoin. Gold also demonstrated lower daily volatility (0.0115 versus 0.0282), a higher annualized Sharpe ratio (1.00 versus 0.37), and a substantially smaller maximum drawdown (−20.43% versus −76.63%). These findings indicate that gold provided a more favorable risk–return profile during the period examined. However, the results are specific to the selected observation period and should not be interpreted as evidence of permanent superiority. The study highlights the importance of considering both return and risk when comparing traditional and digital assets.

Keywords:GoldBitcoinInvestment PerformanceRisk-Adjusted ReturnVolatilitySharpe RatioMaximum Drawdown
JEL:G11G12G15

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