Arbitrum vs Optimism (ARB vs OP) 2026: Crypto Returns, Risk & Volatility

Q: Which is a better investment: ARB or OP?

Over the past year, ARB looks like the better investment: it had higher total return (ARB -62.6% vs OP -84.7%) and a higher Sharpe ratio (ARB -0.49 vs OP -1.34). On risk, ARB was less volatile (ARB 102.4% vs OP 103.0%), ARB had a smaller max drawdown (ARB -85.3% vs OP -88.8%), and ARB had less severe losses on the worst 5% of days (Expected Shortfall of ARB -11.91% vs OP -13.91%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: ARB or OP?

Over the past year, ARB outperformed OP. ARB returned -62.6% compared with OP’s -84.7%. ARB had the better risk-adjusted return, with a Sharpe ratio of -0.49 versus OP’s -1.34. ARB was less volatile than OP, and ARB had a smaller max drawdown than OP.

Total Return

ARB -62.6%

OP -84.7%

Sharpe Ratio

ARB -0.49

OP -1.34

Annualized Volatility

ARB 102.4%

OP 103.0%

Max Drawdown

ARB -85.3%

OP -88.8%

Metric winners: Total Return: ARB; Sharpe Ratio: ARB; Annualized Volatility: ARB (less volatile); Max Drawdown: ARB (smaller drawdown).

ARB Total Return

↓ -62.6%

OP Total Return

↓ -84.7%

Relative Performance of ARB vs OP (Normalized to 100)

ARB OP

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: ARB delivered a -62.6% total return, while OP returned -84.7% over the same period. ARB outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (ARB -0.49 vs OP -1.34), meaning both underperformed the risk-free rate; ARB was less negative.
Volatility (Annualized): OP was more volatile, with 103.0% annualized volatility, versus 102.4% for ARB.
Maximum Drawdown: ARB's maximum drawdown was -85.3%, while OP experienced a deeper drawdown of -88.8%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ARB's VaR was -7.90% and its Expected Shortfall (CVaR) was -11.91%; OP's were -8.72% and -13.91%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ARB -0.21 vs OP -0.65. Excess kurtosis: ARB 5.87 vs OP 4.37. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ARB 5/11, OP 11/6. Worst day: ARB -28.71% (2025-10-10) vs OP -28.43% (2025-10-10). Best day: ARB +28.66% (2025-05-10) vs OP +20.80% (2025-05-10).
Risk ratios: Sortino - ARB: -0.72 vs. OP: -1.78 , Calmar - ARB: -0.74 vs. OP: -0.95 , Sterling - ARB: -1.82 vs. OP: -1.50 , Treynor - ARB: -0.17 vs. OP: -0.58 , Ulcer Index - ARB: 54.47% vs. OP: 56.10%

Investment Comparison

If you invested $10,000 in each asset on April 24, 2025:

ARB $3,741.67 -62.6%

OP $1,529.72 -84.7%

Difference: $2,211.95 (ARB ahead)

Arbitrum vs Optimism Performance Over Time

Metric	ARB	OP
30 Days	31.1%	6.4%
90 Days	-27.6%	-60.2%
180 Days	-60%	-72.9%
1 Year	-62.6%	-84.7%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Arbitrum vs Optimism Correlation

Average Correlation

strongly correlated

0.91

Current (30-day) 0.80

30-day rolling range +0.75 to +0.97

Arbitrum and Optimism are strongly correlated over the past year. With a correlation of 0.91, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both ARB and OP provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.80
Average (full period)	0.91
Minimum (30-day rolling)	0.75
Maximum (30-day rolling)	0.97

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

ARB

-85.3%

-88.8%

Arbitrum experienced its maximum drawdown of -85.3% from 2025-08-23 to 2026-03-28. It has not yet recovered to its previous peak.

Optimism experienced its maximum drawdown of -88.8% from 2025-05-10 to 2026-03-28. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Arbitrum vs Optimism Volatility (ARB vs OP)

ARB Volatility

102.4%

±5.36% 1-day vol

OP Volatility

103.0%

±5.39% 1-day vol

1-day volatility (1σ)

ARB

±5.36%

±5.39%

Arbitrum's 102.4% annualized volatility translates to about ±5.36% one-standard-deviation daily volatility.

Optimism's 103.0% annualized volatility translates to about ±5.39% one-standard-deviation daily volatility.

OP had the wider volatility profile over this window. That means its day-to-day return distribution was broader; ARB was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of ARB and OP

Sharpe Ratio: ARB vs. OP

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (ARB -0.49 vs OP -1.34), meaning both underperformed the risk-free rate; ARB was less negative.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of ARB and OP

Sortino Ratio: ARB vs. OP

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). ARB had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: ARB 70.4% vs OP 77.4%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of ARB and OP

Calmar Ratio: ARB vs. OP

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. ARB posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of ARB and OP

Sterling Ratio: ARB vs. OP

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). OP posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of ARB and OP

Treynor Ratio: ARB vs. OP

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. ARB posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of ARB and OP

Ulcer Index: ARB vs. OP

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. ARB had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Arbitrum vs. Optimism

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: ARB vs. OP (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	ARB	OP
5% VaR (daily log return)	-7.90%	-8.72%
5% Expected Shortfall (CVaR)	-11.91% (worst 19 days)	-13.91% (worst 19 days)
Skew	-0.21	-0.65
Excess kurtosis	5.87	4.37
2σ tail days (down / up)	5 / 11	11 / 6
Worst day	-28.71% (2025-10-10)	-28.43% (2025-10-10)
Best day	+28.66% (2025-05-10)	+20.80% (2025-05-10)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=364). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: ARB vs. OP (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both ARB and OP crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both ARB and OP had a big down day (2σ)

Date (interval)	ARB	OP
2025-05-30	-15.71%	-15.06%
2025-08-25	-10.45%	-11.33%
2025-10-10	-28.71%	-28.43%
2025-11-03	-15.26%	-16.14%
2026-02-05	-16.25%	-17.00%

Days when ARB had a big down day

Date (interval)	ARB	OP
2025-05-30	-15.71%	-15.06%
2025-08-25	-10.45%	-11.33%
2025-10-10	-28.71%	-28.43%
2025-11-03	-15.26%	-16.14%
2026-02-05	-16.25%	-17.00%

Days when OP had a big down day

Date (interval)	ARB	OP
2025-05-30	-15.71%	-15.06%
2025-07-23	-9.95%	-13.49%
2025-08-14	-9.48%	-13.56%
2025-08-25	-10.45%	-11.33%
2025-10-10	-28.71%	-28.43%
2025-11-03	-15.26%	-16.14%
2025-11-21	-6.44%	-14.90%
2026-01-31	-9.76%	-10.86%
2026-02-05	-16.25%	-17.00%
2026-02-18	-4.60%	-11.30%
2026-02-19	-9.10%	-16.03%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Arbitrum vs. Optimism (1-Year)

Metric	ARB	OP
Total Return	-62.6%	-84.7%
Annualized Volatility	102.4%	103.0%
Sharpe Ratio	-0.49	-1.34
Sortino Ratio	-0.72	-1.78
Calmar Ratio	-0.74	-0.95
Sterling Ratio	-1.82	-1.50
Treynor Ratio	-0.17	-0.58
Ulcer Index	54.47%	56.10%
Max Drawdown	-85.3%	-88.8%
Avg Correlation to S&P 500	0.46	0.37
5% VaR (daily log return)	-7.90%	-8.72%
5% Expected Shortfall (CVaR)	-11.91%	-13.91%
Skew	-0.21	-0.65
Excess kurtosis	5.87	4.37
2σ tail days (down / up)	5 / 11	11 / 6

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-24 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 335 rolling 30-day values (from 364 shared daily returns).
Annualization (days/year): ARB: 365 days/year; OP: 365 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

ARB: 4.17% over 2025-04-24 → 2026-04-23.

OP: 4.17% over 2025-04-24 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ARB: ≈ -52.4%/yr

OP: ≈ -53.0%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Arbitrum vs Optimism: Frequently Asked Questions

Which has higher volatility: ARB or OP?

OP showed higher volatility at 103.0% annualized, compared to 102.4% for ARB Over the past year. Higher volatility means larger price swings in both directions.

Does ARB provide diversification when held with OP?

ARB and OP are strongly correlated over the past year, with an average correlation of 0.91. This strong correlation limits diversification benefits.

How bad are the worst 5% days for ARB vs OP?

Over the past year, ARB's 5% VaR was -7.90% and its 5% Expected Shortfall was -11.91% (worst 19 days). OP's were -8.72% and -13.91% (worst 19 days).

Do ARB and OP crash together on bad days?

On shared dates (n=364), when OP has a 2σ down day, ARB also does 45.5% (5/11 days). In the other direction, when ARB has one, OP also does 100.0% (5/5 days).

Which has better risk-adjusted returns: ARB or OP?

Both assets posted negative Sharpe ratios Over the past year (ARB -0.49 vs OP -1.34), meaning both underperformed the risk-free rate; ARB was less negative.

Can ARB and OP be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. OP's higher volatility (103.0%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: ARB or OP?

Share This Comparison of ARB vs OP

Relative Performance of ARB vs OP (Normalized to 100)

Trade ARB or OP

Key Takeaways

Investment Comparison

Arbitrum vs Optimism Performance Over Time

Arbitrum vs Optimism Correlation

Drawdown

Arbitrum vs Optimism Volatility (ARB vs OP)

Risk-adjusted ratios

Sharpe Ratio of ARB and OP

Sharpe Ratio: ARB vs. OP

Sortino Ratio of ARB and OP

Sortino Ratio: ARB vs. OP

Calmar Ratio of ARB and OP

Calmar Ratio: ARB vs. OP

Sterling Ratio of ARB and OP

Sterling Ratio: ARB vs. OP

Treynor Ratio of ARB and OP

Treynor Ratio: ARB vs. OP

Ulcer Index of ARB and OP

Ulcer Index: ARB vs. OP

Tail Risk & Distribution Shape (1-Year): Arbitrum vs. Optimism

Tail Risk & Distribution Shape: ARB vs. OP (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: ARB vs. OP (2σ)

Days when both ARB and OP had a big down day (2σ)

Days when ARB had a big down day

Days when OP had a big down day

Full Comparison of Arbitrum vs. Optimism (1-Year)

Inputs & conventions

Formulas

Arbitrum vs Optimism: Frequently Asked Questions

Which has higher volatility: ARB or OP?

Does ARB provide diversification when held with OP?

How bad are the worst 5% days for ARB vs OP?

Do ARB and OP crash together on bad days?

Which has better risk-adjusted returns: ARB or OP?

Can ARB and OP be combined in a portfolio?