By examining this information, TradeBlock determined that bitcoin had a Sortino Ratio of 1.97 during the period, while gold stood at 1.06 and the S&P 500 at 0.25. More than one expert emphasized that both of the aforementioned ratios have their place when evaluating risk-adjusted returns. "Both ratios are quite good and both are legitimate," said Tim Enneking, managing director of Digital Capital Management.

https://www.forbes.com/sites/cbovaird/2019/08/13/bitcoins-risk-adjusted-returns-superior-to-sp-500-and-gold/#71e45ace30f6