What a miner's leverage factor measures

The leverage factor is a single number that describes how a miner's daily return moves in relation to bitcoin's daily return. It is the slope of the line that best fits the pair of returns over a set of sessions.

We look at CleanSpark over its longest fixed window of 365 sessions. In this window, we compare the daily log return of CleanSpark stock to the daily log return of bitcoin. Both returns are measured at the same moment in the same session.

The leverage factor for this window is 1.3. This value is the least-squares slope. It tells us the average change in CleanSpark's return for every one-unit change in bitcoin's return.

The estimate comes with an interval. The lower end of the interval is 1.14. The upper end is 1.47. The standard error of the slope is 0.0854. The p-value for the slope is under 0.0001.

The fit of the line is measured by R squared. For this window, R squared is 0.39. This value shows how much of the variation in CleanSpark's returns is accounted for by the linear relationship with bitcoin's returns.

We can also look at the direction of the moves. In 127 sessions, bitcoin was up and CleanSpark was up. In 44 sessions, bitcoin was up and CleanSpark was not. In 52 sessions, bitcoin was not up and CleanSpark was up. In 142 sessions, neither was up.

The share of bitcoin's up sessions where CleanSpark was also up is 0.743. The share of bitcoin's other sessions where CleanSpark was up is 0.268. The chi-square statistic for this table is 81.9, with a p-value of under 0.0001.

Volatility is another part of the picture. CleanSpark's annualized volatility over the window is 0.87. Bitcoin's annualized volatility over the same sessions is 0.417.

We can also see how CleanSpark moves against a stock index proxy. Its beta against the index is 3.35. When bitcoin and the index are in the same fit, CleanSpark's beta against bitcoin is 1.08, and its beta against the index is 1.66.

The leverage factor describes the historical relationship between the two returns over the specific window. It does not predict future moves. The interval and R squared describe the precision and fit of that historical relationship. The concordance table describes the frequency of matching directions. The volatility figures describe the magnitude of the daily changes. The beta figures describe the relationship to other assets. All these figures are descriptive of the past window.