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: ETH outperformed with -13.7% total return vs -36.9% for SOL.
- Risk-adjusted (Sharpe): ETH had better risk-adjusted returns with a Sharpe ratio of 0.12 vs -0.16 for SOL.
- Volatility: ETH was less volatile at 75.5% annualized vs 86.2% for SOL.
- Max drawdown: SOL had a shallower max drawdown of -59.8% vs -60.1% for ETH.
Correlation Analysis
ETH and SOL 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 | 0.16 | |
| Maximum | 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.
Investment Comparison
If you invested $10,000 in each asset on December 29, 2024:
Difference: $2,317.22 (ETH ahead)
Risk Analysis
ETH experienced its maximum drawdown of -60.1% from 2025-01-07 to 2025-04-09. It took 103 days to recover.
SOL experienced its maximum drawdown of -59.8% from 2025-01-19 to 2025-04-09. It has not yet recovered to its previous peak.
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 -0.8x more return per unit of risk than SOL.
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: ETH 49.1% vs SOL 54.2%.
Understanding Volatility
ETH's annualized volatility of 75.5% means it typically moves ±3.95% on any given day.
SOL's annualized volatility of 86.2% means it typically moves ±4.51% 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 | ETH | SOL |
|---|---|---|
| 30 Days | -3.2% | -14% |
| 90 Days | -27% | -39.6% |
| 180 Days | 17.2% | -19.8% |
| 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 | ETH | SOL |
|---|---|---|
| Total Return | -13.7% | -36.9% |
| Annualized Volatility | 75.5% | 86.2% |
| Sharpe Ratio | 0.12 | -0.16 |
| Sortino Ratio | 0.18 | -0.25 |
| Max Drawdown | -60.1% | -59.8% |
| Avg Correlation to S&P 500 | 0.02 | 0.03 |