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Bitcoin & Ethereum Return Distribution Quick Analysis: Live Data

by CryptoDataDownload

The foundation of the Value at Risk model is the timeseries and underlying change data ( the "shifts"). To estimate VAR, we are essentially applying statistics on the PnL return distribution over some timeframe. In the below, we visualize what BTC and ETH's PnL distribution looks like over the last year.

This graphic is "live" in the sense that it auto-updates with new data points in the timeseries. Each day a return falls out of the last 365 days and a new day is added, so the one year lookback PnL distribution will likely change its appearance over time; especially if volatility increases. Click on either BTC or ETH to change the asset type. The data will dynamically use a date range of Today - 365 days.

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From our initial observations and at the time of publishing of this article, both assets have a return profile that seems fairly symmetrical around 0. But in financial assets and especially crypto, its the "long tail" of huge movement events that create the greatest amount of risk. Both assets also share roughly ~same greatest loss of nearly -40% ... The "fat tailed" distribution goes in both directions. ETH has several days of +20% to the upside. For those who are new to the cryptocurrency space, these are massive moves in % terms on a daily basis for financial markets. In comparison, the S&P 500 might climb or fall more than 4% roughly a handful of times in a year. The volatility in cryptocurrency is easily 2x that level.



Notice: Information contained herein is not and should not be construed as an offer, solicitation, or recommendation to buy or sell securities. The information has been obtained from sources we believe to be reliable; however no guarantee is made or implied with respect to its accuracy, timeliness, or completeness. Author does not own the any crypto currency discussed. The information and content are subject to change without notice. CryptoDataDownload and its affiliates do not provide investment, tax, legal or accounting advice.

This material has been prepared for informational purposes only and is the opinion of the author, and is not intended to provide, and should not be relied on for, investment, tax, legal, accounting advice. You should consult your own investment, tax, legal and accounting advisors before engaging in any transaction. All content published by CryptoDataDownload is not an endorsement whatsoever. CryptoDataDownload was not compensated to submit this article. Please also visit our Privacy policy; disclaimer; and terms and conditions page for further information.
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