Bitcoin, created in 2009 as a decentralized peer to peer electronic cash system has emerged into an entirely new asset class as a digital store of value. It allows anyone in the world to permissionlessly send value across the internet without any centralized intermediary. Today, Bitcoin's marketcap rivals those of some of the biggest and most successful companies in the world. However, Bitcoin's risk profile and its return characteristics are usually very different from equities. Its price and value drivers are also different from that of equities.
So it is natural to compare Bitcoin with S&P500 index as a comparison between Bitcoin and the stock market. More importantly, Bitcoin can provide diversification benefits to a traditional equities portfolio by enhancing returns and reducing risks for the portfolio, given its unique risk/return profile.
Which is a better investment: BTC or SPY?
Over the past year, SPY outperformed BTC. SPY returned +29.8% compared with BTC’s -17.9%. SPY had the better risk-adjusted return, with a Sharpe ratio of 1.84 versus BTC’s -0.33. SPY was less volatile than BTC, and SPY had a smaller max drawdown than BTC.
Metric winners: Total Return: SPY; Sharpe Ratio: SPY; Annualized Volatility: SPY (less volatile); Max Drawdown: SPY (smaller drawdown).
Cite This Comparison
"Bitcoin vs S&P 500 (BTC vs SPY): 2026 Risk & Volatility Metrics." Gale Finance, April 24, 2026. https://www.gale.finance/compare/btc-vs-spy/ Free to use with attribution. Please link back to this page or gale.finance.
Relative Performance of BTC vs SPY (Normalized to 100)
Normalized to 100 at start date for comparison
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Key Takeaways
- Total Return: BTC delivered a -17.9% total return, while SPY returned +29.8% over the same period. SPY outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): BTC had a negative Sharpe (-0.33) while SPY was positive (1.84), indicating SPY had meaningfully better risk-adjusted performance in this period.
- Volatility (Annualized): BTC was more volatile, with 42.7% annualized volatility, versus 12.5% for SPY.
- Maximum Drawdown: SPY's maximum drawdown was -9.1%, while BTC experienced a deeper drawdown of -48.9%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), BTC's VaR was -3.80% and its Expected Shortfall (CVaR) was -5.20%; SPY's were -1.32% and -1.70%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
- Skew & Kurtosis: Skew: BTC -0.19 vs SPY 0.03. Excess kurtosis: BTC 4.48 vs SPY 1.96. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): BTC 9/9, SPY 10/5. Worst day: BTC -11.85% (2026-02-04) vs SPY -2.70% (2025-10-10). Best day: BTC +11.72% (2026-02-05) vs SPY +3.30% (2025-05-12).
- Risk ratios: Sortino - BTC: -0.46 vs. SPY: 2.82 , Calmar - BTC: -0.35 vs. SPY: 3.28 , Sterling - BTC: -0.70 vs. SPY: No 10% drawdown , Treynor - BTC: -0.15 vs. SPY: 0.23 , Ulcer Index - BTC: 25.22% vs. SPY: 1.98%
Investment Comparison
If you invested $10,000 in each asset on April 25, 2025:
Difference: $4,766.77 (SPY ahead)
Bitcoin vs S&P 500 Performance Over Time
| Metric | BTC | SPY |
|---|---|---|
| 30 Days | 9.1% | 8.5% |
| 90 Days | -12.9% | 2.8% |
| 180 Days | -30.3% | 4.9% |
| 1 Year | -17.1% | 29.8% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Bitcoin vs S&P 500 Correlation
Bitcoin and S&P 500 are moderately correlated over the past year. With a correlation of 0.37, these assets show moderate co-movement, offering some diversification when held together.
For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.
| Metric | Value |
|---|---|
| Current (30-day) | 0.15 |
| Average (full period) | 0.37 |
| Minimum (30-day rolling) | -0.14 |
| Maximum (30-day rolling) | 0.78 |
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
Bitcoin experienced its maximum drawdown of -48.9% from 2025-10-06 to 2026-02-04. It has not yet recovered to its previous peak.
S&P 500 experienced its maximum drawdown of -9.1% from 2026-01-27 to 2026-03-30. It took 16 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Bitcoin vs S&P 500 Volatility (BTC vs SPY)
Bitcoin's 42.7% annualized volatility translates to about ±2.23% one-standard-deviation daily volatility.
S&P 500's 12.5% annualized volatility translates to about ±0.79% one-standard-deviation daily volatility.
BTC had the wider volatility profile over this window. That means its day-to-day return distribution was broader; SPY 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 BTC and SPY
Sharpe Ratio: BTC vs. SPY
Return per total volatilitySharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. BTC had a negative Sharpe (-0.33) while SPY was positive (1.84), indicating SPY had meaningfully better risk-adjusted performance in this period.
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 BTC and SPY
Sortino Ratio: BTC vs. SPY
Return per downside volatilitySortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SPY 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: BTC 30.4% vs SPY 8.1%. 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 BTC and SPY
Calmar Ratio: BTC vs. SPY
CAGR per worst drawdownCalmar compares CAGR against the single deepest peak-to-trough loss over the period.
Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. SPY 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 BTC and SPY
Sterling Ratio: BTC vs. SPY
Return per average drawdownSterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.
Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SPY had no 10% drawdown in this lookback, so Sterling is not calculated.
Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.
Treynor Ratio of BTC and SPY
Treynor Ratio: BTC vs. SPY
Excess return per market betaTreynor 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.
Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. SPY 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 BTC and SPY
Ulcer Index: BTC vs. SPY
Drawdown painUlcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.
Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SPY 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): Bitcoin vs. S&P 500
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 so multi-day moves add cleanly.
Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.
Tail Risk & Distribution Shape: BTC vs. SPY (1-Year)
Actual daily return tailsThe bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.
| Metric (1-Year) | BTC | SPY |
|---|---|---|
| 5% VaR (daily log return) | -3.80% | -1.32% |
| 5% Expected Shortfall (CVaR) | -5.20% (worst 19 days) | -1.70% (worst 13 days) |
| Skew | -0.19 | 0.03 |
| Excess kurtosis | 4.48 | 1.96 |
| 2σ tail days (down / up) | 9 / 9 | 10 / 5 |
| Worst day | -11.85% (2026-02-04) | -2.70% (2025-10-10) |
| Best day | +11.72% (2026-02-05) | +3.30% (2025-05-12) |
Downside co-moves (2σ) — 1-Year
Computed on shared dates only (n=249). 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: BTC vs. SPY (2σ)
Shared-close daily returnsDots 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 BTC and SPY crossed their own 2σ downside threshold.
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 BTC and SPY had a big down day (2σ)
| Date (interval) | BTC | SPY |
|---|---|---|
| 2025-10-10 | -6.98% | -2.70% |
| 2026-01-16 → 2026-01-20 | -6.06% | -2.04% |
Days when BTC had a big down day
| Date (interval) | BTC | SPY |
|---|---|---|
| 2025-08-22 → 2025-08-25 | -5.69% | -0.44% |
| 2025-10-10 | -6.98% | -2.70% |
| 2025-11-14 | -5.29% | -0.02% |
| 2026-01-16 → 2026-01-20 | -6.06% | -2.04% |
| 2026-01-28 | -5.42% | -0.01% |
| 2026-01-30 | -7.07% | -0.30% |
| 2026-02-04 | -11.85% | -0.48% |
| 2026-02-20 → 2026-02-23 | -5.65% | -1.02% |
Days when SPY had a big down day
| Date (interval) | BTC | SPY |
|---|---|---|
| 2025-05-21 | +2.70% | -1.69% |
| 2025-08-01 | -2.13% | -1.64% |
| 2025-10-10 | -6.98% | -2.70% |
| 2025-11-13 | -1.76% | -1.66% |
| 2025-11-20 | -5.16% | -1.52% |
| 2026-01-16 → 2026-01-20 | -6.06% | -2.04% |
| 2026-02-12 | +4.05% | -1.54% |
| 2026-03-12 | +0.89% | -1.52% |
| 2026-03-26 | -4.13% | -1.79% |
| 2026-03-27 | +1.08% | -1.71% |
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 Bitcoin vs. S&P 500 (1-Year)
| Metric | BTC | SPY |
|---|---|---|
| Total Return | -17.9% | +29.8% |
| Annualized Volatility | 42.7% | 12.5% |
| Sharpe Ratio | -0.33 | 1.84 |
| Sortino Ratio | -0.46 | 2.82 |
| Calmar Ratio | -0.35 | 3.28 |
| Sterling Ratio | -0.70 | No 10% drawdown |
| Treynor Ratio | -0.15 | 0.23 |
| Ulcer Index | 25.22% | 1.98% |
| Max Drawdown | -48.9% | -9.1% |
| Avg Correlation to S&P 500 | 0.41 | 1.00 |
| 5% VaR (daily log return) | -3.80% | -1.32% |
| 5% Expected Shortfall (CVaR) | -5.20% | -1.70% |
| Skew | -0.19 | 0.03 |
| Excess kurtosis | 4.48 | 1.96 |
| 2σ tail days (down / up) | 9 / 9 | 10 / 5 |
Audit this calculation
Formulas, inputs, and conventions used to compute the metrics on this page.
Inputs & conventions
- Shared window for pair metrics
- 2025-04-25 → 2026-04-23 (last shared close).
- Rolling correlation sample (shared closes)
- 220 rolling 30-day values (from 249 shared daily returns).
- Annualization (days/year)
- BTC: 365 days/year; SPY: 252 days/year.
- Risk-free rate
- Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:
- BTC: 4.17% over 2025-04-24 → 2026-04-23.
- SPY: 4.17% over 2025-04-25 → 2026-04-23.
- Volatility drag (rule of thumb)
- Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.
- BTC: ≈ -9.1%/yr
- SPY: ≈ -0.8%/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
- Price on day t.
- Simple daily return.
- Log daily return.
- Average daily return.
- Standard deviation of daily returns.
- Annualization factor (days/year).
- Annual risk-free rate.
Bitcoin vs S&P 500: Frequently Asked Questions
Which has higher volatility: BTC or SPY?
BTC showed higher volatility at 42.7% annualized, compared to 12.5% for SPY Over the past year. Higher volatility means larger price swings in both directions.
Does BTC provide diversification when held with SPY?
BTC and SPY are moderately correlated over the past year, with an average correlation of 0.37. This offers some diversification benefit, though they still tend to move together during major market moves.
How bad are the worst 5% days for BTC vs SPY?
Over the past year, BTC's 5% VaR was -3.80% and its 5% Expected Shortfall was -5.20% (worst 19 days). SPY's were -1.32% and -1.70% (worst 13 days).
Do BTC and SPY crash together on bad days?
On shared dates (n=249), when SPY has a 2σ down day, BTC also does 20.0% (2/10 days). In the other direction, when BTC has one, SPY also does 25.0% (2/8 days).
Which has better risk-adjusted returns: BTC or SPY?
BTC had a negative Sharpe (-0.33) while SPY was positive (1.84) Over the past year, indicating SPY had meaningfully better risk-adjusted performance.
Can BTC and SPY be combined in a portfolio?
Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. BTC's higher volatility (42.7%) means even small allocations can materially impact overall portfolio risk.