Research: cryptocurrencies usually have a higher Sharpe ratio than traditional bonds and stocks

The data shows that Bitcoin's risk-adjusted rate of return has consistently been higher than other major asset classes. The Sharpe ratio of Bitcoin for 4 years has been above 2.0, and it has reached 3.0 or above in 2019. At the same time, the recent rebound in gold prices has returned the Sharpe ratio to around 1.3. On the other hand, the Sharpe ratio of bonds and EMFX (Emerging Markets Forex) is in a negative territory. Aleh Tsyvinski, an economist and current professor of economics at Yale University, published a research article on the risks and rewards of cryptocurrency. Tsyvinski notes that cryptocurrencies typically have a higher Sharpe ratio than traditional bonds and stocks. This shows that cryptocurrency is not only more volatile, but also worth investing in because it can generate higher returns.