Coinbase Institutional H1 2021 in Review - 1 7
Coinbase Institutional H1 2021 in Review - 1 7
Coinbase Institutional H1 2021 in Review - 1 7
July 2021
We hope you find the report useful. If you have questions about our work
or want to understand how Coinbase’s institutional practice can help your
firm engage with the crypto markets, please contact us at institutional.
coinbase.com.
Brian Foster
Coinbase Institutional Sales, Trading, and Prime Services
Coinbase Ventures
Contributors
Brett Tejpaul Head of Institutional Sales, Matt Boyd Head of Prime
Trading, and Prime Services Brokerage Financing
Kilian Mie Senior Staff Data Scientist, Nick de Bontin Senior Asset Integrations
Institutional Manager
Anthony DeMartino
Director, Institutional Trading
2 Ethereum 10
3 Exchange volumes 12
6 ETF outlook 20
7 Stablecoins 22
8 DeFi 23
9 Coinbase M&A 25
Realized capitalization
BTC stored $657 billion in global wealth at the end of H1 as institutional investors
such as traditional hedge funds, endowments, and corporates increased their
exposure over the period.3 BTC’s realized capitalization, which values each unit of
BTC at the price it most recently moved on-chain, reflected this growth and rose to
$364 billion by the end of the period.4
Volatility
The benchmark crypto asset remained volatile in the first half of 2021. For the
period, average rolling 30-day volatility stood at 4.8%, slightly higher than its H1
2020 mark of 3.7%.5
Volatility peaked in two pronounced phases in H1: first in the run-up to BTC’s all-
time high at $64,899 on April 13, then in the May selloff, which saw a drawdown of
56% from the all-time high to $28,800 on June 21, before finishing the period range
bound in the $30-40k price band.6
Sharpe ratio
BTC’s strong first quarter compensated investors for its volatility, although the
second quarter began to negatively impact BTC’s Sharpe ratio. For the period, BTC
performed well against benchmarks, recording an average rolling annualized Sharpe
ratio of 2.77 for the period, up from 1.01 in H1 2020.7
Sortino ratio
While the Sharpe ratio penalizes BTC for its “upwards” volatility as well as price
drawdowns, the Sortino ratio penalizes only negative volatility. On this metric, BTC
also performed well against benchmarks, posting an average rolling annualized
Sortino ratio of 2.12 for the period, up from 1.40 in H1 2020.8
Correlation
BTC continued to show low correlation with other benchmarks in H1 2021. Its trailing
twelve month correlation coefficient was 14.1% with the S&P 500 (SPY), 8.6% with
the aggregate bond index (AGG), 10.6% with gold (GLD), and 15.7% with the MSCI
world index (URTH).9