比特幣的BTC/USD極端波動使其不適合作為液體資金的基準

該報告由MarcinKaímierczak撰寫，認為，儘管比特幣提供了引人注目的回報，但其風險調整的績效使其成為標準的資格

Bitcoin's BTC/USD extreme volatility makes it unsuitable as a benchmark for liquid funds, according to a new report by RedStone Oracles.

根據Redstone Oracles的新報告，比特幣的BTC/USD極端波動使其不適合作為液體基金的基準。

What Happened: Authored by Marcin Kaźmierczak, the report, titled "Is Bitcoin Really a Suitable Benchmark for Liquid Funds," assesses Bitcoin's investment performance and compares it to traditional and decentralized fund benchmarks.

發生的事情是：由MarcinKaímierczak撰寫的，該報告的標題為“比特幣確實是液體基金的合適基準”，評估了比特幣的投資績效，並將其與傳統和分散的基金基准進行了比較。

It argues that while Bitcoin has generated significant interest with large price movements and headline-grabbing returns, its risk-adjusted performance disqualifies it as a standard for measuring the success of capital preservation strategies, which is a primary goal of liquid funds.

它認為，雖然比特幣對大量價格變動和引人注目的回報引起了重大興趣，但其風險調整後的績效使其不合格，這是衡量資本保存策略成功的標準，這是流動資金的主要目標。

The analysis showcases Bitcoin's Sharpe ratio ranging from -6.58 to 6.97, and 25% of the observations fell below -1.20, signaling high capital risk and inconsistency in capital generation.

該分析顯示了比特幣的夏普比率從-6.58到6.97，而觀察結果的25％低於-1.20，這表明了資本生成的高資本風險和不一致。

These traits fundamentally contradict the core objectives of liquid funds, which prioritize stability in capital structure, efficient capital utilization for sustained income, and short-term liquidity.

這些特徵從根本上與流動資金的核心目標相矛盾，該目標優先考慮資本結構的穩定性，有效的資本利用來持續收入和短期流動性。

“Volatility, risk appetite, and investment horizons reveal why benchmarking every fund to the Bitcoin performance is fundamentally flawed,” Kaźmierczak wrote, adding that "the reported 70% return rate offers a dangerously incomplete picture.”

卡伊米爾卡克（Kaitmierczak）寫道：“波動性，風險食慾和投資範圍從根本上有缺陷，為何基準為比特幣績效進行基準測試。

Even when compared to growth-oriented traditional indices like the S&P 500 index, which itself may be too volatile for many liquid fund mandates, Bitcoin performs poorly in terms of stability and predictability.

即使與以增長為導向的傳統指數（例如標準普爾500指數）相比，對於許多流動基金授權而言，它本身可能太波動了，比特幣在穩定性和可預測性方面的性能很差。

The report notes that Bitcoin saw a -49.22% drawdown between January and September 2024, while the S&P 500's largest decline during the same period was -15.59%.

該報告指出，比特幣在2024年1月至9月之間的下降幅度為-49.22％，而同期標準普爾500指數的下降最大的下降量為-15.59％。

The standard deviation of Bitcoin's Sharpe ratio, calculated at 2.72, highlights the cryptocurrency's oscillations between extreme gains and severe losses.

比特幣的夏普比率的標準偏差在2.72處計算出來，突出了加密貨幣在極端增長和嚴重損失之間的振盪。

These rapid shifts, the report argues, would expose charter members' portfolios to unacceptable levels of downside risk, especially for funds with short-term liquidity requirements and shorter time horizons.

該報告認為，這些快速的轉變將使憲章成員的投資組合面臨不可接受的下行風險水平，尤其是對於短期流動性要求和時間範圍較短的資金。

Why It Matters: Karmierczak also highlights the difference in performance evaluation frameworks now emerging in on-chain finance.

它為什麼重要：Karmierczak還突出了現在在鏈融資中出現的性能評估框架的差異。

Platforms like Morpho and Euler are enabling fund managers to structure "vaults" that factor in liquidity, yield, and risk attributes in a way that allows for more diverse investment strategies.

Morpho和Euler等平台正在使基金經理能夠以一種允許更多樣化的投資策略的方式構建流動性，產量和風險屬性的“金庫”。

While the reported returns from these platforms, ranging from 25% to 45%, may trail simple BTC holding strategies, they represent a more sustainable approach by adopting professional-grade risk management frameworks.

儘管這些平台的報告收益率從25％到45％不等，但可能會導致簡單的BTC持有策略，但它們通過採用專業級別的風險管理框架來代表一種更可持續的方法。

The analysis showcases how new technologies like smart contracts and on-chain data unlock new avenues for capital generation and risk-adjusted performance measurement.

該分析展示了諸如智能合約和鏈上數據之類的新技術如何解鎖資本生成和風險調整的績效測量的新途徑。

By utilizing 30-day rolling Sharpe ratios and a time-synchronized performance model to account for trading days and varying time periods, the report underscores the need to consider risk-adjusted returns in a broader context.

通過利用30天的滾動夏普比率和時間同步的績效模型來說明交易日和不同的時間段，該報告強調了在更廣泛的環境中考慮風險調整後的收益。