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Ethereum vs Silver (ETH vs XAG): Returns, Risk & Volatility (2021)

Published:

Last updated:

Analysis period: 2021-01-01 to 2021-12-31

Gale Finance Team
Written by Gale Finance Team
Sid Kalla
Reviewed by Sid Kalla CFA Charterholder
ETH Total Return
↑ +254.0%
XAG Total Return
↓ -14.6%

Relative Performance of ETH vs XAG (Normalized to 100)

ETH XAG

Normalized to 100 at start date for comparison

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Key Takeaways

  • Total Return: ETH delivered a +254.0% total return, while XAG returned -14.6% over the same period. ETH outperformed on total returns.
  • Risk-Adjusted Return (Sharpe Ratio): XAG had a negative Sharpe (-0.62) while ETH was positive (2.01), indicating ETH had meaningfully better risk-adjusted performance in this period.
  • Volatility (Annualized): ETH was more volatile, with 107.1% annualized volatility, versus 26.4% for XAG.
  • Maximum Drawdown: XAG's maximum drawdown was -25.8%, 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%; XAG's were -2.63% and -4.01%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
  • Skew & Kurtosis: Skew: ETH -0.47 vs XAG -0.37. Excess kurtosis: ETH 4.10 vs XAG 4.33. Negative skew leans downside; higher excess kurtosis means fatter tails.
  • Tail Days & Extremes: 2σ tail days (down/up): ETH 10/6, XAG 6/5. Worst day: ETH -27.20% (2021-05-19) vs XAG -8.06% (2021-02-02). Best day: ETH +25.95% (2021-01-03) vs XAG +7.92% (2021-02-01).
  • Risk ratios: Sortino - ETH: 3.09 vs. XAG: -0.84 , Calmar - ETH: 7.13 vs. XAG: -0.57 , Sterling - ETH: 15.01 vs. XAG: -1.06 , Treynor - ETH: 0.91 vs. XAG: -0.31 , Ulcer Index - ETH: 24.42% vs. XAG: 14.52%
Assets:Ethereum (ETH)·Silver (XAG)
Related:Cardano vs Ethereum·Bitmine vs Ethereum·Bitcoin vs Ethereum
Live:ETH vs XAG (rolling)

Investment Comparison

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

ETH $35,401.999 +254.0%
XAG $8,541.3 -14.6%

Difference: $26,860.699 (ETH ahead)

Ethereum vs Silver Correlation

Average Correlation
weakly correlated
0.17
Current (30-day) 0.00
30-day rolling range -0.18 to +0.50

Ethereum and Silver were weakly correlated in 2021. With a correlation of 0.17, these assets showed meaningful independence, offering diversification benefits when held together.

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

Metric Value
Current (30-day) 0.00
Average (full period) 0.17
Minimum (30-day rolling) -0.18
Maximum (30-day rolling) 0.50

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%
XAG
-25.8%

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.

Silver experienced its maximum drawdown of -25.8% from 2021-02-01 to 2021-09-29. 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 XAG

Sharpe Ratio: ETH vs. XAG

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 Annualized volatility 0 125% vol 107.1% · excess +215.5% vol 26.4% · excess -16.5%
excess return / total volatility
Formula Sharpe=E[R]−RfσR\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. XAG had a negative Sharpe (-0.62) while ETH was positive (2.01), indicating ETH 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 ETH and XAG

Sortino Ratio: ETH vs. XAG

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better
Frequency (days) Daily return (%) target -29.3% +28.1% 109 0
excess return / downside volatility
Formula Sortino=E[R]−Rfσdown\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 XAG 19.6%. 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 XAG

Calmar Ratio: ETH vs. XAG

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better
0% ETH +407.0% -57.1% XAG -14.8% -25.9%
CAGR / max drawdown
Formula Calmar=CAGR∣MaxDD∣\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 XAG

Sterling Ratio: ETH vs. XAG

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better
0% -15% -30% -45% -60% 10% drawdown threshold
excess annual return / average deep drawdown
Formula Sterling=CAGR−RfD‾>10%\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%). ETH 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 XAG

Treynor Ratio: ETH vs. XAG

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
Asset return Market return 0 0 β 1.92 β 0.54
excess return / market beta
Formula Treynor=E[R]−Rfβ\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 XAG

Ulcer Index: ETH vs. XAG

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better
0% -15% -30% -45% -60%
root-mean-square drawdown
Formula UI=E[Dt2]\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. XAG 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. Silver

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⁡(PtPt−1)\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. XAG (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
ETH VaR 5% ES 5% XAG VaR 5% ES 5% -36.7% 0% +36.7% Daily log return
VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.
Formula VaR5%=Q0.05(rt),ES5%=E[rt∣rt≤VaR5%]\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 XAG
5% VaR (daily log return) -8.27% -2.63%
5% Expected Shortfall (CVaR) -12.72% (worst 19 days) -4.01% (worst 13 days)
Skew -0.47 -0.37
Excess kurtosis 4.10 4.33
2σ tail days (down / up) 10 / 6 6 / 5
Worst day -27.20% (2021-05-19) -8.06% (2021-02-02)
Best day +25.95% (2021-01-03) +7.92% (2021-02-01)

Downside co-moves (2σ) — 2021

Computed on shared dates only (n=257). 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. XAG (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 XAG crossed their own 2σ downside threshold.

2σ
-2σ XAG -2σ ETH Joint downside zone -9.6% 0% +9.6% +36.2% 0% -36.2% XAG daily log return ETH daily log return
Shared daily return 257
ETH Downside threshold -12.18%
XAG Downside threshold -3.39%
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 XAG had a big down day (2σ)

None in this window.

Days when ETH had a big down day

Date (interval) ETH XAG
2021-01-21 -18.86% +0.38%
2021-02-23 -11.88% -1.63%
2021-05-14 → 2021-05-17 -19.53% +2.80%
2021-05-19 -27.20% -1.63%
2021-05-21 -12.70% -0.85%
2021-05-28 -11.57% +0.29%
2021-06-18 → 2021-06-21 -15.38% +0.75%
2021-09-07 -12.78% -1.52%
2021-09-17 → 2021-09-20 -12.93% -0.53%

Days when XAG had a big down day

Date (interval) ETH XAG
2021-01-08 -0.12% -6.71%
2021-02-02 +10.68% -8.06%
2021-06-17 +0.18% -4.00%
2021-08-06 → 2021-08-09 +9.58% -3.55%
2021-09-16 -1.22% -3.94%
2021-09-29 +1.63% -4.11%

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. Silver (2021)

Metric ETH XAG
Total Return +254.0% -14.6%
Annualized Volatility 107.1% 26.4%
Sharpe Ratio 2.01 -0.62
Sortino Ratio 3.09 -0.84
Calmar Ratio 7.13 -0.57
Sterling Ratio 15.01 -1.06
Treynor Ratio 0.91 -0.31
Ulcer Index 24.42% 14.52%
Max Drawdown -57.1% -25.8%
Avg Correlation to S&P 500 N/A N/A
5% VaR (daily log return) -8.27% -2.63%
5% Expected Shortfall (CVaR) -12.72% -4.01%
Skew -0.47 -0.37
Excess kurtosis 4.10 4.33
2σ tail days (down / up) 10 / 6 6 / 5
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)
228 rolling 30-day values (from 257 shared daily returns).
Annualization (days/year)
ETH: 365 days/year; XAG: 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.
  • XAG: 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
  • XAG: ≈ -3.5%/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
rt=PtPt−1−1r_t = \frac{P_t}{P_{t-1}} - 1
Volatility
σann=σ(rt)A\sigma_{ann} = \sigma(r_t)\sqrt{A}
Volatility drag (approx.)
drag≈12σann2\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2
Sharpe Ratio
S=A rˉ−rfσ(rt)AS = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}
Sortino Ratio
So=A rˉ−rfE[min⁡(0, rt−rf/A)2] ASo = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}
Maximum Drawdown
MDD=min⁡t(Ptmax⁡s≤tPs−1)MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)
Average Correlation
ρ=cov⁡(rA, rB)σA σB\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}
Log returns
ℓt=ln⁡(PtPt−1)\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)
Notation
PtP_t
Price on day t.
rtr_t
Simple daily return.
ℓt\ell_t
Log daily return.
rˉ\bar{r}
Average daily return.
σ(rt)\sigma(r_t)
Standard deviation of daily returns.
AA
Annualization factor (days/year).
rfr_f
Annual risk-free rate.

Ethereum vs Silver: Frequently Asked Questions

Which had higher volatility: ETH or XAG?

ETH showed higher volatility at 107.1% annualized, compared to 26.4% for XAG During 2021. Higher volatility meant larger price swings in both directions.

Did ETH provide diversification when held with XAG?

ETH and XAG were weakly correlated in 2021, with an average correlation of 0.17. This weak correlation suggested meaningful diversification benefits when held together.

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

During 2021, ETH's 5% VaR was -8.27% and its 5% Expected Shortfall was -12.72% (worst 19 days). XAG's were -2.63% and -4.01% (worst 13 days).

Do ETH and XAG crash together on bad days?

On shared dates (n=257), when XAG has a 2σ down day, ETH also does 0.0% (0/6 days). In the other direction, when ETH has one, XAG also does 0.0% (0/9 days).

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

XAG had a negative Sharpe (-0.62) while ETH was positive (2.01) During 2021, indicating ETH had meaningfully better risk-adjusted performance.

Could ETH and XAG 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.

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