IBIT vs ETHA: Returns, Risk & Volatility (2025)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2025-01-01 to 2025-12-31

IBIT Total Return

↓ -11.3%

ETHA Total Return

↓ -17.9%

Relative Performance of IBIT vs ETHA (Normalized to 100)

IBIT ETHA

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: IBIT delivered a -11.3% total return, while ETHA returned -17.9% over the same period. IBIT outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): IBIT had a negative Sharpe (-0.18) while ETHA was positive (0.05), indicating ETHA had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): ETHA was more volatile, with 75.3% annualized volatility, versus 42.1% for IBIT.
Maximum Drawdown: IBIT's maximum drawdown was -32.7%, while ETHA experienced a deeper drawdown of -60.4%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), IBIT's VaR was -3.88% and its Expected Shortfall (CVaR) was -5.67%; ETHA's were -6.89% and -10.42%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: IBIT -0.19 vs ETHA -0.20. Excess kurtosis: IBIT 0.26 vs ETHA 1.63. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): IBIT 7/5, ETHA 5/5. Worst day: IBIT -9.14% (2025-03-10) vs ETHA -18.27% (2025-02-03). Best day: IBIT +7.43% (2025-04-09) vs ETHA +18.18% (2025-05-08).
Risk ratios: Sortino - IBIT: -0.25 vs. ETHA: 0.08 , Calmar - IBIT: N/A vs. ETHA: N/A , Sterling - IBIT: N/A vs. ETHA: N/A , Treynor - IBIT: N/A vs. ETHA: N/A , Ulcer Index - IBIT: N/A vs. ETHA: N/A

iShares Bitcoin Trust ETF vs iShares Ethereum Trust ETF Correlation

0.79 Average Correlation

iShares Bitcoin Trust ETF and iShares Ethereum Trust ETF were strongly correlated in 2025. With a correlation of 0.79, these assets tended to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both IBIT and ETHA provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.94
Average (full period)	0.79
Minimum	0.39
Maximum	0.95

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, 2025:

IBIT $8,872.409 -11.3%

ETHA $8,207.098 -17.9%

Difference: $665.31 (IBIT ahead)

iShares Bitcoin Trust ETF and iShares Ethereum Trust ETF: Risk Analysis

iShares Bitcoin Trust ETF experienced its maximum drawdown of -32.7% from 2025-10-06 to 2025-12-18. It has not yet recovered to its previous peak.

iShares Ethereum Trust ETF experienced its maximum drawdown of -60.4% from 2025-01-06 to 2025-04-08. 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 IBIT and ETHA

IBIT Sharpe Ratio

↓ -0.18

ETHA Sharpe Ratio

↑ 0.05

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. IBIT had a negative Sharpe (-0.18) while ETHA was positive (0.05), indicating ETHA 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 IBIT and ETHA

IBIT Sortino Ratio

↓ -0.25

ETHA Sortino Ratio

↑ 0.08

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). ETHA 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: IBIT 30.2% vs ETHA 52.1%. 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 (2025): iShares Bitcoin Trust ETF vs. iShares Ethereum Trust ETF

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 (2025)	IBIT	ETHA
5% VaR (daily log return)	-3.88%	-6.89%
5% Expected Shortfall (CVaR)	-5.67% (worst 13 days)	-10.42% (worst 13 days)
Skew	-0.19	-0.20
Excess kurtosis	0.26	1.63
2σ tail days (down / up)	7 / 5	5 / 5
Worst day	-9.14% (2025-03-10)	-18.27% (2025-02-03)
Best day	+7.43% (2025-04-09)	+18.18% (2025-05-08)

Downside co-moves (2σ) — 2025

Computed on shared dates only (n=248). 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 ETHA has a big down day, IBIT also does

80.0%

4 / 5 days

When IBIT has a big down day, ETHA also does

57.1%

4 / 7 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 IBIT and ETHA had a big down day (2σ)

Date (interval)	IBIT	ETHA
2025-03-07 → 2025-03-10	-9.14%	-13.43%
2025-04-04 → 2025-04-07	-7.21%	-15.11%
2025-11-04	-5.53%	-10.37%
2025-11-28 → 2025-12-01	-5.92%	-9.50%

Days when IBIT had a big down day

Date (interval)	IBIT	ETHA
2025-01-07	-5.81%	-8.20%
2025-02-25	-6.33%	-5.80%
2025-03-07 → 2025-03-10	-9.14%	-13.43%
2025-04-03	-5.75%	-6.63%
2025-04-04 → 2025-04-07	-7.21%	-15.11%
2025-11-04	-5.53%	-10.37%
2025-11-28 → 2025-12-01	-5.92%	-9.50%

Days when ETHA had a big down day

Date (interval)	IBIT	ETHA
2025-01-31 → 2025-02-03	-0.23%	-18.27%
2025-03-07 → 2025-03-10	-9.14%	-13.43%
2025-04-04 → 2025-04-07	-7.21%	-15.11%
2025-11-04	-5.53%	-10.37%
2025-11-28 → 2025-12-01	-5.92%	-9.50%

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 iShares Bitcoin Trust ETF vs. iShares Ethereum Trust ETF (2025)

Metric	IBIT	ETHA
Total Return	-11.3%	-17.9%
Annualized Volatility	42.1%	75.3%
Sharpe Ratio	-0.18	0.05
Sortino Ratio	-0.25	0.08
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	-32.7%	-60.4%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-3.88%	-6.89%
5% Expected Shortfall (CVaR)	-5.67%	-10.42%
Skew	-0.19	-0.20
Excess kurtosis	0.26	1.63
2σ tail days (down / up)	7 / 5	5 / 5

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-01-01 → 2025-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
Annualization (days/year): IBIT: 252 days/year; ETHA: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

IBIT: 4.22%.

ETHA: 4.22%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

IBIT: ≈ -8.9%/yr

ETHA: ≈ -28.4%/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.

iShares Bitcoin Trust ETF vs iShares Ethereum Trust ETF: Frequently Asked Questions

Which had higher volatility: IBIT or ETHA?

ETHA showed higher volatility at 75.3% annualized, compared to 42.1% for IBIT During 2025. Higher volatility meant larger price swings in both directions.

Did IBIT provide diversification when held with ETHA?

IBIT and ETHA were strongly correlated in 2025, with an average correlation of 0.79. This strong correlation limited diversification benefits.

How bad are the worst 5% days for IBIT vs ETHA?

During 2025, IBIT's 5% VaR was -3.88% and its 5% Expected Shortfall was -5.67% (worst 13 days). ETHA's were -6.89% and -10.42% (worst 13 days).

Do IBIT and ETHA crash together on bad days?

On shared dates (n=248), when ETHA has a 2σ down day, IBIT also does 80.0% (4/5 days). In the other direction, when IBIT has one, ETHA also does 57.1% (4/7 days).

Which had better risk-adjusted returns: IBIT or ETHA?

IBIT had a negative Sharpe (-0.18) while ETHA was positive (0.05) During 2025, indicating ETHA had meaningfully better risk-adjusted performance.

Could IBIT and ETHA have been combined in a portfolio?

Yes, though allocation sizing mattered. Their strong correlation provided limited risk reduction since they tended to move together. ETHA's higher volatility (75.3%) meant even small allocations can materially impact overall portfolio risk.

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