Ethereum vs S&P 500 (ETH vs SPY) 2021: Returns, Risk & Volatility

Key Takeaways

Total Return: ETH delivered a +254.0% total return, while SPY returned +30.5% over the same period. ETH outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): ETH had a higher Sharpe (2.01 vs 1.79), indicating better risk-adjusted performance.
Volatility (Annualized): ETH was more volatile, with 107.1% annualized volatility, versus 12.9% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -5.1%, while ETH experienced a deeper drawdown of -57.1%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -8.27% and its Expected Shortfall (CVaR) was -12.72%; SPY's were -1.30% and -1.84%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETH -0.47 vs SPY -0.36. Excess kurtosis: ETH 4.10 vs SPY 0.72. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETH 10/6, SPY 8/4. Worst day: ETH -27.20% (2021-05-19) vs SPY -2.44% (2021-01-27). Best day: ETH +25.95% (2021-01-03) vs SPY +2.42% (2021-03-01).
Risk ratios: Sortino - ETH: 3.09 vs. SPY: 2.64 , Calmar - ETH: 7.13 vs. SPY: 6.05 , Sterling - ETH: 15.01 vs. SPY: No 10% drawdown , Treynor - ETH: 0.91 vs. SPY: 0.23 , Ulcer Index - ETH: 24.42% vs. SPY: 1.47%

Investment Comparison

If you invested $10,000 in each asset on January 1, 2021:

ETH $35,401.999 +254.0%

SPY $13,052.115 +30.5%

Difference: $22,349.884 (ETH ahead)

Ethereum vs S&P 500 Correlation

Average Correlation

weakly correlated

0.25

Current (30-day) 0.27

30-day rolling range -0.25 to +0.60

Ethereum and S&P 500 were weakly correlated in 2021. With a correlation of 0.25, these assets showed meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining ETH and SPY could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.27
Average (full period)	0.25
Minimum (30-day rolling)	-0.25
Maximum (30-day rolling)	0.60

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

ETH

-57.1%

SPY

-5.1%

Ethereum experienced its maximum drawdown of -57.1% from 2021-05-11 to 2021-07-20. It has not yet recovered to its previous peak.

S&P 500 experienced its maximum drawdown of -5.1% from 2021-09-02 to 2021-10-04. It has not yet recovered to its previous peak.

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

Risk-adjusted ratios

Sharpe Ratio of ETH and SPY

Sharpe Ratio: ETH vs. SPY

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. ETH had a higher Sharpe (2.01 vs 1.79), 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

Sortino Ratio: ETH vs. SPY

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). ETH 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 69.8% vs SPY 8.7%. 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

Calmar Ratio: ETH vs. SPY

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. ETH 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

Sterling Ratio: ETH vs. SPY

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%). 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 ETH and SPY

Treynor Ratio: ETH vs. SPY

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. ETH 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

Ulcer Index: ETH vs. SPY

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. 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 (2021): 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.

Tail Risk & Distribution Shape: ETH vs. SPY (2021)

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 (2021)	ETH	SPY
5% VaR (daily log return)	-8.27%	-1.30%
5% Expected Shortfall (CVaR)	-12.72% (worst 19 days)	-1.84% (worst 13 days)
Skew	-0.47	-0.36
Excess kurtosis	4.10	0.72
2σ tail days (down / up)	10 / 6	8 / 4
Worst day	-27.20% (2021-05-19)	-2.44% (2021-01-27)
Best day	+25.95% (2021-01-03)	+2.42% (2021-03-01)

Downside co-moves (2σ) — 2021

Computed on shared dates only (n=251). 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: ETH vs. SPY (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 ETH and SPY 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 ETH and SPY had a big down day (2σ)

Date (interval)	ETH	SPY
2021-09-17 → 2021-09-20	-12.93%	-1.67%

Days when ETH had a big down day

Date (interval)	ETH	SPY
2021-01-21	-18.86%	+0.09%
2021-02-23	-11.88%	+0.12%
2021-05-14 → 2021-05-17	-19.53%	-0.25%
2021-05-19	-27.20%	-0.26%
2021-05-21	-12.70%	-0.08%
2021-06-18 → 2021-06-21	-15.38%	+1.43%
2021-09-03 → 2021-09-07	-13.05%	-0.36%
2021-09-17 → 2021-09-20	-12.93%	-1.67%

Days when SPY had a big down day

Date (interval)	ETH	SPY
2021-01-27	-7.65%	-2.44%
2021-01-29	+3.75%	-2.00%
2021-02-25	-9.28%	-2.41%
2021-05-12	-9.18%	-2.12%
2021-09-17 → 2021-09-20	-12.93%	-1.67%
2021-09-28	-4.32%	-2.02%
2021-11-24 → 2021-11-26	-4.93%	-2.23%
2021-11-30	+4.19%	-1.95%

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 Ethereum vs. S&P 500 (2021)

Metric	ETH	SPY
Total Return	+254.0%	+30.5%
Annualized Volatility	107.1%	12.9%
Sharpe Ratio	2.01	1.79
Sortino Ratio	3.09	2.64
Calmar Ratio	7.13	6.05
Sterling Ratio	15.01	No 10% drawdown
Treynor Ratio	0.91	0.23
Ulcer Index	24.42%	1.47%
Max Drawdown	-57.1%	-5.1%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-8.27%	-1.30%
5% Expected Shortfall (CVaR)	-12.72%	-1.84%
Skew	-0.47	-0.36
Excess kurtosis	4.10	0.72
2σ tail days (down / up)	10 / 6	8 / 4

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2021-01-04 → 2021-12-31 (last shared close).
Rolling correlation sample (shared closes): 222 rolling 30-day values (from 251 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: 4.50% over 2021-01-01 → 2021-12-31.

SPY: 4.50% over 2021-01-04 → 2021-12-31.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETH: ≈ -57.4%/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

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 had higher volatility: ETH or SPY?

ETH showed higher volatility at 107.1% annualized, compared to 12.9% for SPY During 2021. Higher volatility meant larger price swings in both directions.

Did ETH provide diversification when held with SPY?

ETH and SPY were weakly correlated in 2021, with an average correlation of 0.25. This weak correlation suggested meaningful diversification benefits when held together.

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

During 2021, ETH's 5% VaR was -8.27% and its 5% Expected Shortfall was -12.72% (worst 19 days). SPY's were -1.30% and -1.84% (worst 13 days).

Do ETH and SPY crash together on bad days?

On shared dates (n=251), when SPY has a 2σ down day, ETH also does 12.5% (1/8 days). In the other direction, when ETH has one, SPY also does 12.5% (1/8 days).

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

ETH showed better risk-adjusted performance with a Sharpe ratio of 2.01 versus SPY's 1.79 During 2021.

Could ETH and SPY have been combined in a portfolio?

Yes, though allocation sizing mattered. Their weak correlation could have meaningfully reduced overall portfolio variance. ETH's higher volatility (107.1%) meant even small allocations can materially impact overall portfolio risk.

Ethereum vs S&P 500 (ETH vs SPY): Returns, Risk & Volatility (2021)

Relative Performance of ETH vs SPY (Normalized to 100)

Trade ETH or SPY

Key Takeaways

Investment Comparison

Ethereum vs S&P 500 Correlation

Drawdown

Risk-adjusted ratios

Sharpe Ratio of ETH and SPY

Sharpe Ratio: ETH vs. SPY

Sortino Ratio of ETH and SPY

Sortino Ratio: ETH vs. SPY

Calmar Ratio of ETH and SPY

Calmar Ratio: ETH vs. SPY

Sterling Ratio of ETH and SPY

Sterling Ratio: ETH vs. SPY

Treynor Ratio of ETH and SPY

Treynor Ratio: ETH vs. SPY

Ulcer Index of ETH and SPY

Ulcer Index: ETH vs. SPY

Tail Risk & Distribution Shape (2021): Ethereum vs. S&P 500

Tail Risk & Distribution Shape: ETH vs. SPY (2021)

Downside co-moves (2σ) — 2021

Downside co-move map: ETH vs. SPY (2σ)

Days when both ETH and SPY had a big down day (2σ)

Days when ETH had a big down day

Days when SPY had a big down day

Full Comparison of Ethereum vs. S&P 500 (2021)

Inputs & conventions

Formulas

Ethereum vs S&P 500: Frequently Asked Questions

Which had higher volatility: ETH or SPY?

Did ETH provide diversification when held with SPY?

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

Do ETH and SPY crash together on bad days?

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

Could ETH and SPY have been combined in a portfolio?

Share This Comparison of ETH vs SPY

Relative Performance of ETH vs SPY (Normalized to 100)

Trade ETH or SPY

Key Takeaways

Investment Comparison

Ethereum vs S&P 500 Correlation

Drawdown

Risk-adjusted ratios

Sharpe Ratio of ETH and SPY

Sharpe Ratio: ETH vs. SPY

Sortino Ratio of ETH and SPY

Sortino Ratio: ETH vs. SPY

Calmar Ratio of ETH and SPY

Calmar Ratio: ETH vs. SPY

Sterling Ratio of ETH and SPY

Sterling Ratio: ETH vs. SPY

Treynor Ratio of ETH and SPY

Treynor Ratio: ETH vs. SPY

Ulcer Index of ETH and SPY

Ulcer Index: ETH vs. SPY

Tail Risk & Distribution Shape (2021): Ethereum vs. S&P 500

Tail Risk & Distribution Shape: ETH vs. SPY (2021)

Downside co-moves (2σ) — 2021

Downside co-move map: ETH vs. SPY (2σ)

Days when both ETH and SPY had a big down day (2σ)

Days when ETH had a big down day

Days when SPY had a big down day

Full Comparison of Ethereum vs. S&P 500 (2021)

Inputs & conventions

Formulas

Ethereum vs S&P 500: Frequently Asked Questions

Which had higher volatility: ETH or SPY?

Did ETH provide diversification when held with SPY?

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

Do ETH and SPY crash together on bad days?

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

Could ETH and SPY have been combined in a portfolio?