ETH vs SPY: Returns, Risk & Volatility (2026)

Q: Which is a better investment: ETH or SPY?

Over the past year, SPY looks like the better investment: it had higher total return (SPY +19.9% vs ETH -10.5%) and a higher Sharpe ratio (SPY 0.82 vs ETH 0.17). On risk, SPY was less volatile (SPY 19.4% vs ETH 77.1%), SPY had a smaller max drawdown (SPY -16.2% vs ETH -61.5%), and SPY had less severe losses on the worst 5% of days (Expected Shortfall of SPY -2.82% vs ETH -9.00%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Ethereum created the first blockchain geared towards running smart contracts. With a Turing complete programming language, Ethereum was able to attract early developers who wanted to build complex applications on a permissionless blockchain. This was in contrast to Bitcoin's very limited programming language. Over time, Ethereum became the home for decentralized finance (DeFi) that allowed users access to financial tools in a permissionless manner as long as they had an internet connection. Most major stablecoins are also deployed on Ethereum.

Investors have the ability to invest in ETH via ETFs and treasury asset companies (DATs). Comparing ETH's recent performance to S&P500 helps set the stage for investors to understand the kinds of risks they are taking. However, with uncorrelated risk/return profile, ETH can provide strong diversification benefits to an equity-only portfolio.

Quick answer

Which is a better investment: ETH or SPY?

Over the past year, SPY outperformed (-10.5% vs +19.9%) with a Sharpe ratio of 0.82.

Total Return

ETH -10.5%

SPY WIN +19.9%

Sharpe Ratio

ETH 0.17

SPY WIN 0.82

Annualized Volatility

ETH 77.1%

SPY WIN 19.4%

Max Drawdown

ETH -61.5%

SPY WIN -16.2%

Analysis period: 2025-02-27 to 2026-02-25

ETH Total Return

↓ -10.5%

SPY Total Return

↑ +19.9%

Relative Performance of ETH vs SPY (Normalized to 100)

ETH SPY

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: ETH delivered a -10.5% total return, while SPY returned +19.9% over the same period. SPY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SPY had a higher Sharpe (0.82 vs 0.17), indicating better risk-adjusted performance.
Volatility (Annualized): ETH was more volatile, with 77.1% annualized volatility, versus 19.4% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -16.2%, while ETH experienced a deeper drawdown of -61.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -5.99% and its Expected Shortfall (CVaR) was -9.00%; SPY's were -1.67% and -2.82%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETH 0.24 vs SPY 1.10. Excess kurtosis: ETH 3.13 vs SPY 20.99. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETH 11/11, SPY 6/3. Worst day: ETH -14.66% (2025-03-03) vs SPY -5.85% (2025-04-04). Best day: ETH +21.39% (2025-05-08) vs SPY +10.50% (2025-04-09).
Risk ratios: Sortino - ETH: 0.26 vs. SPY: 1.24 , Calmar - ETH: -0.18 vs. SPY: 1.24 , Sterling - ETH: -0.52 vs. SPY: 0.98 , Treynor - ETH: 0.02 vs. SPY: 0.16 , Ulcer Index - ETH: 27.52% vs. SPY: 3.51%

Ethereum vs S&P 500 Correlation

0.49 Average Correlation

Ethereum and S&P 500 are moderately correlated over the past year. With a correlation of 0.49, 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)	0.12
Average (full period)	0.49
Minimum	0.01
Maximum	0.80

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 February 27, 2025:

ETH $8,946.22 -10.5%

SPY $11,986.43 +19.9%

Difference: $3,040.21 (SPY ahead)

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Ethereum and S&P 500: Risk Analysis

Ethereum experienced its maximum drawdown of -61.5% from 2025-08-22 to 2026-02-23. It has not yet recovered to its previous peak.

S&P 500 experienced its maximum drawdown of -16.2% from 2025-02-28 to 2025-04-08. It took 38 days to recover.

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

Sharpe Ratio of ETH and SPY

ETH Sharpe Ratio

↑ 0.17

SPY Sharpe Ratio

↑ 0.82

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SPY had a higher Sharpe (0.82 vs 0.17), indicating better risk-adjusted performance.

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 ETH and SPY

ETH Sortino Ratio

↑ 0.26

SPY Sortino Ratio

↑ 1.24

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: ETH 51.2% vs SPY 12.9%. 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 ETH and SPY

ETH Calmar Ratio

↓ -0.18

SPY Calmar Ratio

↑ 1.24

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 ETH and SPY

ETH Sterling Ratio

↓ -0.52

SPY Sterling Ratio

↑ 0.98

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SPY 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 ETH and SPY

ETH Treynor Ratio

↑ 0.02

SPY Treynor Ratio

↑ 0.16

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 ETH and SPY

ETH Ulcer Index

27.52%

SPY Ulcer Index

3.51%

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): Ethereum 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 $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

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

Metric (1-Year)	ETH	SPY
5% VaR (daily log return)	-5.99%	-1.67%
5% Expected Shortfall (CVaR)	-9.00% (worst 19 days)	-2.82% (worst 13 days)
Skew	0.24	1.10
Excess kurtosis	3.13	20.99
2σ tail days (down / up)	11 / 11	6 / 3
Worst day	-14.66% (2025-03-03)	-5.85% (2025-04-04)
Best day	+21.39% (2025-05-08)	+10.50% (2025-04-09)

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.

When SPY has a big down day, ETH also does

33.3%

2 / 6 days

When ETH has a big down day, SPY also does

33.3%

2 / 6 days

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 ETH and SPY had a big down day (2σ)

Date (interval)	ETH	SPY
2025-03-07 → 2025-03-10	-12.22%	-2.66%
2025-10-10	-12.20%	-2.70%

Days when ETH had a big down day

Date (interval)	ETH	SPY
2025-03-07 → 2025-03-10	-12.22%	-2.66%
2025-04-04 → 2025-04-07	-14.25%	-0.18%
2025-08-22 → 2025-08-25	-9.27%	-0.44%
2025-10-10	-12.20%	-2.70%
2026-01-30	-10.58%	-0.30%
2026-02-04	-11.38%	-0.48%

Days when SPY had a big down day

Date (interval)	ETH	SPY
2025-03-07 → 2025-03-10	-12.22%	-2.66%
2025-04-03	+1.25%	-4.93%
2025-04-04	-0.21%	-5.85%
2025-04-10	-8.34%	-4.38%
2025-04-17 → 2025-04-21	-0.38%	-2.38%
2025-10-10	-12.20%	-2.70%

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.

Ethereum vs S&P 500 Volatility (ETH vs SPY)

ETH Volatility

77.1%

±4.04% daily

SPY Volatility

19.4%

±1.22% daily

Typical daily swing

ETH

±4.04%

SPY

±1.22%

Ethereum's annualized volatility of 77.1% means it typically moves ±4.04% on any given day.

S&P 500's annualized volatility of 19.4% means it typically moves ±1.22% on any given day.

ETH's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SPY's smoother profile may better suit long-term allocators seeking steadier growth.

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.

Ethereum vs S&P 500 Performance Over Time

Metric	ETH	SPY
30 Days	-31.6%	0.1%
90 Days	-31.6%	2.3%
180 Days	-52.7%	8.1%
1 Year	-11.3%	19.9%

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

Full Comparison of Ethereum vs. S&P 500 (1-Year)

Metric	ETH	SPY
Total Return	-10.5%	+19.9%
Annualized Volatility	77.1%	19.4%
Sharpe Ratio	0.17	0.82
Sortino Ratio	0.26	1.24
Calmar Ratio	-0.18	1.24
Sterling Ratio	-0.52	0.98
Treynor Ratio	0.02	0.16
Ulcer Index	27.52%	3.51%
Max Drawdown	-61.5%	-16.2%
Avg Correlation to S&P 500	0.53	1.00
5% VaR (daily log return)	-5.99%	-1.67%
5% Expected Shortfall (CVaR)	-9.00%	-2.82%
Skew	0.24	1.10
Excess kurtosis	3.13	20.99
2σ tail days (down / up)	11 / 11	6 / 3

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-27 → 2026-02-25 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): ETH: 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:

ETH: 4.20% over 2025-02-26 → 2026-02-25.

SPY: 4.20% over 2025-02-27 → 2026-02-25.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETH: ≈ -29.7%/yr

SPY: ≈ -1.9%/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.

Ethereum vs S&P 500: Frequently Asked Questions

Which has higher volatility: ETH or SPY?

ETH showed higher volatility at 77.1% annualized, compared to 19.4% for SPY Over the past year. Higher volatility means larger price swings in both directions.

Does ETH provide diversification when held with SPY?

ETH and SPY are moderately correlated over the past year, with an average correlation of 0.49. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for ETH vs SPY?

Over the past year, ETH's 5% VaR was -5.99% and its 5% Expected Shortfall was -9.00% (worst 19 days). SPY's were -1.67% and -2.82% (worst 13 days).

Do ETH and SPY crash together on bad days?

On shared dates (n=249), when SPY has a 2σ down day, ETH also does 33.3% (2/6 days). In the other direction, when ETH has one, SPY also does 33.3% (2/6 days).

Which has better risk-adjusted returns: ETH or SPY?

SPY showed better risk-adjusted performance with a Sharpe ratio of 0.82 versus ETH's 0.17 Over the past year.

Can ETH and SPY be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. ETH's higher volatility (77.1%) means even small allocations can materially impact overall portfolio risk.