比特币的BTC/USD极端波动使其不适合作为液体资金的基准

该报告由MarcinKaímierczak撰写，认为，尽管比特币提供了引人注目的回报，但其风险调整的绩效使其成为标准的资格

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

根据Redstone Oracles的新报告，比特币的BTC/USD极端波动使其不适合作为液体基金的基准。

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.

发生的事情是：由MarcinKaímierczak撰写的，该报告的标题为“比特币确实是液体基金的合适基准”，评估了比特币的投资绩效，并将其与传统和分散的基金基准进行了比较。

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.

它认为，虽然比特币对大量价格变动和引人注目的回报引起了重大兴趣，但其风险调整后的绩效使其不合格，这是衡量资本保存策略成功的标准，这是流动资金的主要目标。

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.

该分析显示了比特币的夏普比率从-6.58到6.97，而观察结果的25％低于-1.20，这表明了资本生成的高资本风险和不一致。

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.

这些特征从根本上与流动资金的核心目标相矛盾，该目标优先考虑资本结构的稳定性，有效的资本利用来持续收入和短期流动性。

“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.”

卡伊米尔卡克（Kaitmierczak）写道：“波动性，风险食欲和投资范围从根本上有缺陷，为何基准为比特币绩效进行基准测试。

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.

即使与以增长为导向的传统指数（例如标准普尔500指数）相比，对于许多流动基金授权而言，它本身可能太波动了，比特币在稳定性和可预测性方面的性能很差。

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%.

该报告指出，比特币在2024年1月至9月之间的下降幅度为-49.22％，而同期标准普尔500指数的下降最大的下降量为-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.

比特币的夏普比率的标准偏差在2.72处计算出来，突出了加密货币在极端增长和严重损失之间的振荡。

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.

该报告认为，这些快速的转变将使宪章成员的投资组合面临不可接受的下行风险水平，尤其是对于短期流动性要求和时间范围较短的资金。

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

它为什么重要：Karmierczak还突出了现在在链融资中出现的性能评估框架的差异。

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等平台正在使基金经理能够以一种允许更多样化的投资策略的方式构建流动性，产量和风险属性的“金库”。

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.

尽管这些平台的报告收益率从25％到45％不等，但可能会导致简单的BTC持有策略，但它们通过采用专业级别的风险管理框架来代表一种更可持续的方法。

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

该分析展示了诸如智能合约和链上数据之类的新技术如何解锁资本生成和风险调整的绩效测量的新途径。

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.

通过利用30天的滚动夏普比率和时间同步的绩效模型来说明交易日和不同的时间段，该报告强调了在更广泛的环境中考虑风险调整后的收益。