Fidelity Investments的Jurrien Timmer发表了一篇文章，分析了比特币与黄金之间的关系

Panews在5月4日报道说，Fidelity Investments全球宏观总监Jurrien Timmer最近发表了一篇文章，详细分析了比特币与黄金之间的动态关系。

In a recent article, Jurrien Timmer, global macro director at Fidelity Investments, discussed in detail the dynamic relationship between Bitcoin and gold, highlighting the changing trends of their Sharpe ratios and relative performance, which he believes may be at a turning point. Citing data from Fidelity Management and Research Company (FMR Co) and Bloomberg, Timmer's analysis began with an observation on the ironic negative correlation between gold and Bitcoin.

Fidelity Investments的全球宏观总监Jurrien Timmer在最近的一篇文章中详细讨论了比特币与黄金之间的动态关系，强调了其Sharpe比率和相对绩效的变化趋势，他认为这可能处于转折点。蒂默的分析引用了富达管理和研究公司（FMR CO）和彭博社的数据，始于对黄金和比特币之间具有讽刺意味的负相关性的观察。

As the chart below shows, the Sharpe ratios of the two assets have been alternating recently. It seems like Bitcoin’s ‘lead moment’ may be next, as its Sharpe ratio is currently -0.40, while gold’s is 1.33. So, we may be witnessing a baton handover from gold to Bitcoin.

如下图所示，这两个资产的夏普比率最近在交替。似乎比特币的“领先时刻”可能是下一个，因为其夏普比率目前为-0.40，而黄金的比率为1.33。因此，我们可能目睹了从黄金到比特币的接力棒移交。

Sharpe Ratio (Last 10 Years)As of March 31, 2023Source: FMR Co, via Bloomberg

夏普（Sharpe）比率（最近10年）截至2023年3月31日：FMR CO，通过彭博社

Sharpe Ratio (Last 10 Years)

夏普比率（最近10年）

The higher the Sharpe ratio, the better the risk-adjusted return. A negative Sharpe ratio indicates that the return is less than risk-free rates, while a positive Sharpe ratio indicates that the investment is generating returns above the risk-free rate of interest.

夏普比率越高，风险调整后的回报越好。负夏普比率表明收益小于无风险利率，而正夏普比率表明投资的回报率高于无风险利率。

The lower volatility of gold compared to Bitcoin is evident, with gold’s standard deviation of annual total returns being around 20%, compared to around 80% for Bitcoin. Hence, when considering the ratio of average annual total return to the standard deviation of annual total return, a four-to-one ratio in terms of portfolio allocation seems appropriate.

与比特币相比，黄金的波动率较低，明显的是，黄金的年总收益的标准偏差约为20％，而比特币的标准偏差约为80％。因此，当考虑平均年度总回报与年度总收益的标准偏差的比率时，就投资组合分配而言，四对一的比率似乎是合适的。

This difference in volatility also becomes apparent when examining their annual total returns over the past 10 years. In 2013, the worst year for gold in the past 10 years, it still managed a return of -10%, while the worst year for Bitcoin was 2014, with a loss of around -46%.

在检查过去10年的年度总回报时，波动率的这种差异也显而易见。在2013年，这是过去10年中黄金最糟糕的一年，它的回报率仍然为-10％，而比特币最糟糕的一年是2014年，损失约为-46％。

However, in 2019, Bitcoin had an annual total return of around 90%, compared to around 15% for gold.

但是，在2019年，比特币的年总收益约为90％，而黄金的总回报率约为15％。

The implication is that for a portfolio of four parts gold to one part Bitcoin, the average annual total return would be around 10%, with a standard deviation of around 20%.

这意味着，对于一部分黄金到一个比特币的投资组合，年平均总收益率为10％，标准偏差约为20％。

At the beginning of 2013, a hypothetical portfolio of four parts gold to one part Bitcoin would have been worth $500,000. Over the past 10 years, with annual contributions of $50,000 at the beginning of each year, the portfolio would have grown to around $3.6 million by the end of March 2023, an average annual total return of 9.8% and a standard deviation of annual total return of 19.4%.

在2013年初，假想的四分之一黄金到一个比特币的投资组合价值为500,000美元。在过去的10年中，每年年初的年度捐款为50,000美元，到2023年3月底，投资组合将增长到360万美元，平均年总收益率为9.8％，年总收益的标准偏差为19.4％。