Analysis period: 2024-12-29 to 2025-12-27
Relative Performance (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Raw returns: BTC outperformed with -8% total return vs -13.7% for ETH.
- Risk-adjusted (Sharpe): ETH had better risk-adjusted returns with a Sharpe ratio of 0.12 vs -0.09 for BTC.
- Volatility: BTC was less volatile at 42% annualized vs 75.5% for ETH.
- Max drawdown: BTC had a shallower max drawdown of -32.1% vs -60.1% for ETH.
Correlation Analysis
BTC and ETH are strongly correlated over the past 6 months. With a correlation of 0.81, these assets tend to move together, limiting diversification benefits.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.89 | |
| Average (full period) | 0.81 | |
| Minimum | 0.44 | |
| Maximum | 0.96 |
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.
Investment Comparison
If you invested $10,000 in each asset on December 29, 2024:
Difference: $569.62 (BTC ahead)
Risk Analysis
BTC experienced its maximum drawdown of -32.1% from 2025-10-07 to 2025-11-23. It has not yet recovered to its previous peak.
ETH experienced its maximum drawdown of -60.1% from 2025-01-07 to 2025-04-09. It took 103 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio
The Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. ETH delivered -1.3x more return per unit of risk than BTC.
A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate.
Sortino Ratio
The Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. ETH had better downside-adjusted returns.
A higher Sortino is better. It's particularly useful for assets with asymmetric volatility (big gains, smaller losses). Downside volatility: BTC 28.9% vs ETH 49.1%.
Understanding Volatility
BTC's annualized volatility of 42% means it typically moves ±2.2% on any given day.
ETH's annualized volatility of 75.5% means it typically moves ±3.95% on any given day.
For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.
Performance Over Time
| Metric | BTC | ETH |
|---|---|---|
| 30 Days | -3.2% | -3.2% |
| 90 Days | -20.2% | -27% |
| 180 Days | -19.2% | 17.2% |
| 1 Year | N/A | N/A |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison
| Metric | BTC | ETH |
|---|---|---|
| Total Return | -8.0% | -13.7% |
| Annualized Volatility | 42.0% | 75.5% |
| Sharpe Ratio | -0.09 | 0.12 |
| Sortino Ratio | -0.13 | 0.18 |
| Max Drawdown | -32.1% | -60.1% |
| Avg Correlation to S&P 500 | 0.03 | 0.02 |