## Figure 1.13. Crypto Assets: Size, Price Appreciation, Realized Volatility, and Sharpe Ratio

## Source details

**Canonical URL:** [Figure 1.13. Crypto Assets: Size, Price Appreciation, Realized Volatility, and Sharpe Ratio](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-13.pdf)

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### Panels and metrics
- Panel 1 — Market Capitalization of Crypto Assets (Billions of US dollars)
  - Axis ticks and labels shown in source: 0, 50, 100, 150, 200, 250, 300, 350
  - Additional scale values present in figure: 0, 100, 200, 300, 400, 500, 600, 700
  - Time span shown: Dec. 2016, Jan. 17, Feb. 17, Mar. 17, Apr. 17, May 17, Jun. 17, Jul. 17, Aug. 17, Sep. 17, Oct. 17, Nov. 17, Dec. 17, Jan. 18, Feb. 18, Mar. 18
- Panel 2 — Price Changes (Number of times the starting price)
  - Axis ticks and labels shown in source: 0, 1, 2, 3, 4, 5, 6
  - Horizontal axis: Number of years around the peak
- Panel 3 — Volatility (Percent)
  - Note: Panel 3 is based on 90-day realized volatility.
  - Volatility axis labels and values shown in source: –1.0, 3.0, and a separate listing of values: –0.8, –0.6, –0.3, 0.2, 0.5, 0.8
- Panel 4 — Annualized Sharpe Ratio of the Selected Asset Classes
  - Crypto assets in panel 4 is an average across Bitcoin, Ethereum, Litecoin, and Ripple.
  - Sharpe ratio definition in source: "The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of total risk."
  - Asset classes shown for comparison: FANGs; Crypto assets; US real estate; S&P 500; US bonds; Gold; Oil; EM FX

### Key findings and comparisons (as stated in the source)
- "Crypto assets account for a small fraction of G4 central bank balance sheets."
  - G4 defined in source: Group of Four (euro area, Japan, United Kingdom, United States)
- "Bitcoin’s realized volatility is much higher than that of other asset classes."
- "Risk-adjusted returns of crypto assets have not dramatically exceeded those of other mainstream assets."

### Notation and abbreviations used in the figure
- EM = emerging market
- FANGs = equal-weighted index of highly traded stocks of technology and tech-enabled companies such as Facebook, Amazon, Netflix, and Alphabet’s Google
- FX = foreign exchange
- TOPIX = Tokyo Stock Price Index

*Sources: Bloomberg Finance L.P.; CoinDance; CoinMetrics; European Central Bank; Haver Analytics; national central banks; Yale International Center for Finance; and IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-13.pdf_