Bit Digital’s High‑Beta Gamble: Big Upside Meets a History of Deep Drawdowns

Five risk flags signal heightened volatility as the stock rides a Bull‑HighVol regime

BTBT Bit Digital, Inc.

In this report

01

Returns Overview

Period returns, alpha, cumulative performance, distributions

P. 2-3

→

02

Volatility Analysis

Annualized volatility, downside deviation, drawdowns

P. 4-5

→

03

Beta & Correlation

Trailing, upside, downside beta, systematic risk

P. 6-7

→

04

Risk-Adjusted Returns

Sharpe, Sortino, Calmar, Information, Treynor

P. 8-9

→

05

Market Regime Analysis

Bull/bear behavior, capture ratios

P. 10-11

→

06

Investment Highlights & Risk Summary

Executive summary, risk flags, rankings

P. 12-13

→

Returns Overview

Bit Digital, Inc. (BTBT) — Return Performance

Bit Digital, Inc. (BTBT) exhibited highly volatile returns over the past seven periods, with performance diverging sharply from its financial services sector benchmark. While the stock posted a 25.19% gain over the trailing three months, it underperformed the sector by 5.93 percentage points and generated modest alpha of 12.09%, indicating that short‑term upside was partly offset by broader market strength. Over longer horizons the gap widened dramatically, with cumulative returns of -76.02% over five years versus a sector decline of -130.16%, delivering an alpha of +54.14% relative to the sector, reflecting the stock’s less severe downside in a declining industry environment.

Period Returns vs S&P 500 & XLF

Monthly Returns Heatmap

BTBT

The three‑month period was the only interval where BTBT posted positive returns (+25.19%) and delivered modest alpha (+12.09% vs sector), suggesting a brief rally possibly driven by crypto market dynamics. However, all other horizons—from one month through five years—showed negative performance, with alpha remaining negative in the short term (e.g., -16.22% over 1M) but turning positive over longer terms as the stock’s decline lagged behind the sector’s sharper fall.

Returns Overview

Bit Digital, Inc. (BTBT) — Return Charts

Volatility Analysis

Bit Digital, Inc. (BTBT) — Volatility Profile

Bit Digital, Inc. (BTBT) exhibits an annualized volatility of 133.8%, which is roughly 7.5 times higher than the S&P 500’s benchmark volatility of 17.78%. This extreme price fluctuation reflects the cryptocurrency‑related nature of the business and translates into a markedly riskier return profile for investors. Downside risk metrics reinforce this view: a downside deviation of 69.17% indicates that losses are far more pronounced than typical market declines, while a historic maximum drawdown of -98.16%—spanning from early 2021 to late 2022 with no recovery—highlights the potential for near‑total capital erosion over an extended period.

Volatility Metrics

BTBT

The current trailing volatility measures show a 60‑day annualized vol of 88.99% and a 252‑day vol of 92.86%, both substantially below the long‑term average of 133.8%. This compression suggests a temporary lull in price swings, but it remains well above the S&P 500’s 17.78% benchmark, indicating that even reduced volatility is still aggressive relative to equity markets. The downside deviation of 69.17% and the prolonged -98.16% drawdown underscore deep tail risk; investors would need to endure nearly two years of loss without any price recovery before expecting a turnaround.

BTBT’s annualized volatility is about 7.5× that of the S&P 500, signaling a highly speculative asset class.
Downside deviation (69.17%) and max drawdown (-98.16%) illustrate severe loss potential and long recovery horizons.
Current 60‑day and 252‑day volatilities are lower than the historical average but remain far above equity market norms.

Positive Characteristics
The recent dip in trailing volatility (60d/252d) suggests a temporary moderation in price swings, which could reduce short‑term risk exposure.

Volatility Analysis

Bit Digital, Inc. (BTBT) — Volatility & Drawdown Charts

Beta & Correlation

Bit Digital, Inc. (BTBT) — Beta Profile

Bit Digital, Inc. (BTBT) exhibits a trailing beta of 1.801 versus the S&P 500, placing it firmly in the aggressive range (>1.2). This indicates that the stock tends to amplify broad market moves by roughly 80% more than an average equity, making it highly sensitive to macro‑level risk factors. However, its sector beta of 1.074 against the Financial Services index (XLF) suggests that only a modest portion of this volatility is driven by sector dynamics; the bulk stems from broader market exposure and company‑specific forces. The asymmetric upside and downside betas—1.556 on the up‑side versus 1.212 on the down‑side—show that BTBT’s price reacts more strongly to positive market rallies than to negative ones, a nuance that risk managers should note when constructing hedged portfolios. An R-squared of 6.8% with the S&P 500 and only 3.5% with XLF confirms that the majority (over 90%) of BTBT’s return variance is idiosyncratic, implying limited diversification benefit from market or sector trends alone.

Beta & Correlation Metrics

BTBT

The trailing beta of 1.801 classifies BTBT as an aggressive stock, meaning it will likely out‑perform in a rising market but also suffer amplified losses when the market declines. Its upside beta (1.556) exceeds its downside beta (1.212), indicating a steeper reaction to bullish moves relative to bearish ones; investors may capture higher upside potential but should remain vigilant about downside risk, especially given the stock’s high volatility. With an R-squared of only 6.8% against the S&P 500, BTBT’s performance is largely driven by idiosyncratic factors—93.2% of its variance is company‑specific. The sector beta of 1.074 shows that while financial services movements do influence the stock, they account for a small fraction of total risk, reinforcing the view that BTBT behaves more like a stand‑alone crypto‑related asset than a traditional financial service.

Trailing market beta of 1.801 signals aggressive exposure to overall equity market movements.
Upside beta (1.556) exceeds downside beta (1.212), indicating stronger price gains in rising markets relative to losses in falling markets.
R-squared of 6.8% versus the S&P 500 means only a small share of BTBT’s returns are explained by market movements; diversification benefits from equity exposure are limited.
Systematic risk accounts for just 6.8% of total variance, while idiosyncratic risk dominates at 93.2%, highlighting company‑specific drivers.
Sector beta of 1.074 versus XLF shows modest sensitivity to financial services trends, confirming that most volatility originates from broader market or crypto‑specific factors.

Positive Characteristics
Higher upside beta suggests the stock can capture outsized gains during bullish market phases.
Low R-squared provides potential for diversification within a portfolio dominated by traditional equities.

Beta & Correlation

Bit Digital, Inc. (BTBT) — Rolling Beta

Positive Notes

Higher upside beta suggests the stock can capture outsized gains during bullish market phases.

Low R-squared provides potential for diversification within a portfolio dominated by traditional equities.

Risk-Adjusted Returns

Bit Digital, Inc. (BTBT) — Risk-Adjusted Performance

Bit Digital, Inc. (BTBT) delivers a modest risk-adjusted return profile as reflected by its Sharpe ratio of 0.48, which falls well below the threshold of 1.0 that typically signals a favorable balance between excess returns and total volatility. The company’s Sortino ratio of 0.928 exceeds its Sharpe, indicating that downside volatility is less pronounced than overall volatility and suggesting a relatively smoother loss experience for investors. While the Calmar ratio of 0.691 points to a return-to-worst-drawdown relationship that is below ideal levels, the Information ratio of 0.413 shows some consistency in generating alpha, albeit not at the >0.5 level associated with strong active management; the Treynor ratio of 35.638 reflects high returns per unit of systematic risk but must be interpreted alongside beta (not provided) to gauge market sensitivity.

Risk-free rate: 3.63% (Fed Funds Rate)

Risk-Adjusted Metrics

BTBT

Bit Digital, Inc. ranks first—and only—among the evaluated set in overall risk-adjusted performance, though its absolute metrics suggest room for improvement. The Sharpe ratio of 0.48 signals that excess returns are modest relative to total volatility, while the higher Sortino ratio (0.928) highlights a more favorable downside risk profile, implying that losses have been less volatile than gains. The Calmar ratio of 0.691 indicates that the stock’s cumulative return has not sufficiently compensated for its maximum historical drawdown, pointing to potential vulnerability during market stress.

Sharpe ratio (0.48) is below the desirable >1.0 benchmark, indicating limited excess return per unit of total risk.
Sortino ratio exceeds Sharpe, suggesting that downside volatility is lower than overall volatility and providing a cushion against severe losses.
Calmar ratio (0.691) reflects a modest return relative to worst drawdown, implying heightened sensitivity to market declines.
Information ratio (0.413) shows some alpha generation but falls short of the >0.5 level that denotes consistent outperformance.
Treynor ratio (35.638) is high, indicating strong returns per unit of systematic risk, though interpretation requires knowledge of beta.

Positive Characteristics
The Sortino ratio above the Sharpe demonstrates a relatively benign downside risk environment.
A Treynor ratio of 35.638 points to efficient compensation for market-related risk exposure.
Information ratio nearing 0.5 suggests that active management is delivering modest, albeit inconsistent, alpha.

Risk-Adjusted Returns

Bit Digital, Inc. (BTBT) — Rolling Sharpe & Sortino

Positive Notes

The Sortino ratio above the Sharpe demonstrates a relatively benign downside risk environment.

A Treynor ratio of 35.638 points to efficient compensation for market-related risk exposure.

Information ratio nearing 0.5 suggests that active management is delivering modest, albeit inconsistent, alpha.

Market Regime Analysis

Bit Digital, Inc. (BTBT) — Regime Behavior

Bit Digital, Inc. (BTBT) exhibits markedly higher returns during bullish periods, especially when market volatility is elevated. In the Bull-HighVol regime the stock delivers an average monthly return of 10.36%, more than double its performance in the calmer Bull-LowVol environment (5.48%). Conversely, BTBT’s downside resilience is limited; while it posts a modest +2.16% during Bear‑HighVol months, it suffers a sharp –8.94% decline in the rare Bear‑LowVol condition, indicating sensitivity to orderly market downtrends. The company’s upside capture of 465.6% and downside capture of 417.6% generate a capture ratio of 1.12, suggesting that BTBT amplifies both market gains and losses but does so with a slight net bias toward the upside.

Current Market Regime: Bull-HighVol

Bull-LowVol = calm uptrend • Bull-HighVol = volatile uptrend • Bear-LowVol = orderly decline • Bear-HighVol = crisis

Regime Returns & Capture Ratios

BTBT

During Bull‑LowVol phases, BTBT’s 5.48% average return reflects solid participation in an uptrend while maintaining relatively moderate risk exposure. The transition to Bull‑HighVol dramatically improves performance to 10.36%, indicating that the stock thrives on heightened market momentum and volatility, likely driven by speculative flows into digital assets. In Bear‑LowVol periods the stock’s –8.94% average underscores its defensive weakness when markets decline in a calm manner, as investors retreat from riskier sectors. However, in Bear‑HighVol episodes BTBT still manages a positive 2.16% return, hinting at some resilience amid turbulent declines, though this upside is modest relative to the broader market.

Market Regime Analysis

Bit Digital, Inc. (BTBT) — Regime & Capture Charts

Regime Timeline

BTBT’s returns are strongly regime‑dependent, excelling in volatile bull markets and underperforming in calm bear markets.
The capture ratio of 1.12 indicates that BTBT magnifies both upside and downside moves, but with a slight net advantage on the upside.
Downside capture of 417.6% reveals considerable vulnerability during market drops, limiting its defensive appeal.

Positive Characteristics
Exceptional upside capture (465.6%) in bullish environments provides strong upside potential for investors comfortable with volatility.
Positive performance (+2.16%) even in Bear‑HighVol suggests some ability to hold value during turbulent declines.

Investment Highlights & Risk Summary

Bit Digital, Inc. (BTBT) — Summary & Implications

Bit Digital, Inc. (BTBT) delivered a 1‑year total return of -25.11%, lagging the S&P 500 by 44.11% and underperforming its financial services sector by 25.67%. The stock’s beta of 1.80 and annualized volatility of 133.8% indicate amplified exposure to market swings, while a historic max drawdown of -98.16% underscores extreme downside risk. Despite these challenges, BTBT exhibits an upside capture ratio of 465.6%, suggesting that in bullish periods the stock can participate strongly in market gains; however, its downside capture of 417.6% magnifies losses when the broader market falls. Risk‑adjusted metrics are modest, with a Sharpe of 0.48 and a Sortino of 0.928, reflecting limited excess return per unit of risk and a relatively better performance on upside volatility than overall volatility.

Summary Dashboard

Investment Highlights

Upside capture of 465.6% shows the stock can generate outsized gains during market rallies, offering potential for high reward in bullish cycles.
Sortino ratio of 0.928 exceeds the Sharpe (0.48), indicating that BTBT’s returns are more favorable when measured against downside volatility alone.
Beta of 1.80 provides leveraged exposure to financial sector movements, which can be attractive for investors seeking amplified upside in a rising market.

Risk-Return Rankings

BTBT HIGH

High beta and volatility combine with extreme drawdown history, yielding a risk‑heavy profile despite strong upside capture.

Strength: Upside capture ratio of 465.6% delivering potential for large gains in bullish environments.

Concern: Maximum historical drawdown of -98.16% signals near‑total capital erosion risk.

Key Takeaways

BTBT’s upside capture dramatically exceeds its downside capture, creating a pronounced asymmetry that favors strong market rallies.
The stock’s Sharpe (0.48) and Sortino (0.928) ratios are below the commonly desired threshold of 1.0, indicating modest risk‑adjusted performance.
Extreme volatility (133.8%) and a beta of 1.80 amplify both gains and losses, making the security unsuitable for risk‑averse investors.
Sector underperformance (-25.67% vs XLF) suggests that BTBT is not benefiting from broader financial services trends.

PORTFOLIO IMPLICATIONS

Given its high beta and volatility, BTBT may serve as a satellite position in a diversified portfolio seeking speculative upside exposure, but it should be limited to a small allocation to avoid disproportionate drawdown risk. Pairing BTBT with low‑beta, lower‑volatility holdings can help smooth overall portfolio returns and mitigate the impact of its deep downside capture during market corrections.

BTBT

Related Reports

Visit finexus.net/reports for more reports

Report written 2026-06-07 • Finexus

Disclaimer

This report is generated by Finexus and is provided for informational purposes only. It does not constitute investment advice, a recommendation, or an offer or solicitation to buy or sell any security.

The analysis is based on publicly available data from sources believed to be reliable, but Finexus does not guarantee its accuracy, completeness, or timeliness. Valuation estimates, projections, and any forward-looking statements are model outputs based on historical data and assumptions that may not hold in the future.

Past performance is not indicative of future results. Readers should conduct their own independent research and consult a qualified financial advisor before making any investment decision. Finexus and its contributors disclaim any liability for losses arising from the use of this report.