ETH vs XAG: Returns, Risk & Volatility (2023)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2023-01-01 to 2023-12-31

ETH Total Return

↑ +89.3%

XAG Total Return

↓ -0.9%

Relative Performance of ETH vs XAG (Normalized to 100)

ETH XAG

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: ETH delivered a +89.3% total return, while XAG returned -0.9% over the same period. ETH outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): XAG had a negative Sharpe (-0.10) while ETH was positive (1.51), indicating ETH had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): ETH was more volatile, with 47.0% annualized volatility, versus 24.6% for XAG.
Maximum Drawdown: XAG's maximum drawdown was -19.5%, while ETH experienced a deeper drawdown of -27.4%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -3.90% and its Expected Shortfall (CVaR) was -5.15%; XAG's were -2.13% and -3.47%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETH 0.36 vs XAG 0.10. Excess kurtosis: ETH 2.14 vs XAG 1.95. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETH 12/14, XAG 8/9. Worst day: ETH -7.99% (2023-04-19) vs XAG -5.13% (2023-10-02). Best day: ETH +12.24% (2023-11-09) vs XAG +6.09% (2023-03-13).
Risk ratios: Sortino - ETH: 2.43 vs. XAG: -0.14 , Calmar - ETH: N/A vs. XAG: N/A , Sterling - ETH: N/A vs. XAG: N/A , Treynor - ETH: N/A vs. XAG: N/A , Ulcer Index - ETH: N/A vs. XAG: N/A

Ethereum vs Silver Correlation

0.11 Average Correlation

Ethereum and Silver were weakly correlated in 2023. With a correlation of 0.11, 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)	-0.09
Average (full period)	0.11
Minimum	-0.30
Maximum	0.57

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 January 1, 2023:

ETH $18,929.588 +89.3%

XAG $9,911.075 -0.9%

Difference: $9,018.513 (ETH ahead)

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Ethereum and Silver: Risk Analysis

Ethereum experienced its maximum drawdown of -27.4% from 2023-04-16 to 2023-10-12. It has not yet recovered to its previous peak.

Silver experienced its maximum drawdown of -19.5% from 2023-05-04 to 2023-10-05. 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 of ETH and XAG

ETH Sharpe Ratio

↑ 1.51

XAG Sharpe Ratio

↓ -0.10

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. XAG had a negative Sharpe (-0.10) while ETH was positive (1.51), 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

ETH Sortino Ratio

↑ 2.43

XAG Sortino Ratio

↓ -0.14

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 29.2% vs XAG 17.0%. 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).

Tail Risk & Distribution Shape (2023): 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 $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

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

Metric (2023)	ETH	XAG
5% VaR (daily log return)	-3.90%	-2.13%
5% Expected Shortfall (CVaR)	-5.15% (worst 19 days)	-3.47% (worst 13 days)
Skew	0.36	0.10
Excess kurtosis	2.14	1.95
2σ tail days (down / up)	12 / 14	8 / 9
Worst day	-7.99% (2023-04-19)	-5.13% (2023-10-02)
Best day	+12.24% (2023-11-09)	+6.09% (2023-03-13)

Downside co-moves (2σ) — 2023

Computed on shared dates only (n=256). 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 XAG has a big down day, ETH also does

0.0%

0 / 8 days

When ETH has a big down day, XAG also does

0.0%

0 / 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 XAG had a big down day (2σ)

None in this window.

Days when ETH had a big down day

Date (interval)	ETH	XAG
2023-02-09	-6.32%	-1.53%
2023-03-09	-6.22%	+0.22%
2023-04-19	-7.99%	+0.38%
2023-05-05 → 2023-05-08	-7.32%	-0.40%
2023-08-17	-6.69%	+1.22%
2023-12-08 → 2023-12-11	-5.69%	-0.89%

Days when XAG had a big down day

Date (interval)	ETH	XAG
2023-02-03	+1.31%	-4.75%
2023-03-07	-0.35%	-4.64%
2023-05-11	-2.49%	-4.75%
2023-06-20	+3.13%	-3.34%
2023-07-27	-0.63%	-3.22%
2023-09-29 → 2023-10-02	-0.26%	-5.13%
2023-12-01 → 2023-12-04	+7.48%	-3.78%
2023-12-08	+0.05%	-3.26%

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 (2023)

Metric	ETH	XAG
Total Return	+89.3%	-0.9%
Annualized Volatility	47.0%	24.6%
Sharpe Ratio	1.51	-0.10
Sortino Ratio	2.43	-0.14
Calmar Ratio	N/A	N/A
Sterling Ratio	N/A	N/A
Treynor Ratio	N/A	N/A
Ulcer Index	N/A	N/A
Max Drawdown	-27.4%	-19.5%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-3.90%	-2.13%
5% Expected Shortfall (CVaR)	-5.15%	-3.47%
Skew	0.36	0.10
Excess kurtosis	2.14	1.95
2σ tail days (down / up)	12 / 14	8 / 9

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2023-01-01 → 2023-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
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%.

XAG: 4.50%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETH: ≈ -11.0%/yr

XAG: ≈ -3.0%/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 Silver: Frequently Asked Questions

Which had higher volatility: ETH or XAG?

ETH showed higher volatility at 47.0% annualized, compared to 24.6% for XAG During 2023. Higher volatility meant larger price swings in both directions.

Did ETH provide diversification when held with XAG?

ETH and XAG were weakly correlated in 2023, with an average correlation of 0.11. This weak correlation suggested meaningful diversification benefits when held together.

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

During 2023, ETH's 5% VaR was -3.90% and its 5% Expected Shortfall was -5.15% (worst 19 days). XAG's were -2.13% and -3.47% (worst 13 days).

Do ETH and XAG crash together on bad days?

On shared dates (n=256), when XAG has a 2σ down day, ETH also does 0.0% (0/8 days). In the other direction, when ETH has one, XAG also does 0.0% (0/6 days).

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

XAG had a negative Sharpe (-0.10) while ETH was positive (1.51) During 2023, 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 (47.0%) meant even small allocations can materially impact overall portfolio risk.

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