Bitcoin, created in 2009, was the first blockchain-based digital asset described as a peer-to-peer electronic cash system. It introduced novel ideas that make a digital currency possible, such as preventing double-spending in the digital world and a fixed supply of units enforced in a decentralized manner, without any single entity being in-charge. From its humble beginnings on the cypherpunk newsletter, Bitcoin has emerged as the face of the digital asset revolution, and dominates the narrative and headlines around the industry. It is still the leader in terms of valuation, even as its vision has evolved into a digital store of value first and foremost.
Ethereum, created in 2015, took what Bitcoin had and introduced a Turing complete smart contract language that allowed developers to build arbitrary applications. Instead of being limited to use as digital money, Ethereum created a flourishing ecosystem of decentralized applications - DApps - which could interplay with one another (lego blocks for money) in a permissionless way. Ethereum has emerged as the leading smart contract platform and a contender to Bitcoin in several ways. It has an evolving roadmap that includes scalability via layer-2s and base-layer privacy via zero-knowledge proofs.
Cite This Comparison
"Bitcoin vs Ethereum (BTC vs ETH): Returns, Risk & Volatility (2026)." Gale Finance, January 9, 2026. https://www.gale.finance/compare/btc-vs-eth Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2025-01-10 to 2026-01-09
Relative Performance of BTC vs ETH (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: BTC delivered a -1.6% total return, while ETH returned -3.2% over the same period. BTC outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): ETH had a higher Sharpe (0.27 vs 0.07), indicating better risk-adjusted performance.
- Volatility (Annualized): ETH was more volatile, with 74.9% annualized volatility, versus 41.4% for BTC.
- Maximum Drawdown: BTC's maximum drawdown was -32.1%, while ETH experienced a deeper drawdown of -57.7%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), BTC's VaR was -3.38% and its Expected Shortfall (CVaR) was -4.97%; ETH's were -5.85% and -8.76%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
- Skew & Kurtosis: Skew: BTC -0.01 vs ETH 0.21. Excess kurtosis: BTC 2.41 vs ETH 3.37. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): BTC 10/9, ETH 10/9. Worst day: BTC -9.03% (2025-03-04) vs ETH -15.86% (2025-03-04). Best day: BTC +9.17% (2025-03-03) vs ETH +19.38% (2025-05-09).
Bitcoin vs Ethereum Correlation
Bitcoin and Ethereum are strongly correlated over the past year. With a correlation of 0.81, these assets tend to move together, limiting diversification benefits.
For portfolio construction, this strong correlation means holding both BTC and ETH provides limited risk reduction — they're likely to decline together in downturns.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.83 | |
| Average (full period) | 0.81 | |
| Minimum | 0.44 | |
| Maximum | 0.96 |
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 10, 2025:
Difference: $164.04 (BTC ahead)
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Bitcoin and Ethereum: Risk Analysis
Bitcoin experienced its maximum drawdown of -32.1% from 2025-10-07 to 2025-11-23. It has not yet recovered to its previous peak.
Ethereum experienced its maximum drawdown of -57.7% from 2025-01-18 to 2025-04-09. It took 100 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio of BTC and ETH
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. ETH had a higher Sharpe (0.27 vs 0.07), 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 BTC and ETH
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. ETH had better downside-adjusted returns.
A higher Sortino is better. It's particularly useful for assets with asymmetric volatility (big gains, smaller losses). Downside volatility: BTC 28.5% vs ETH 48.8%. 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).
Tail Risk & Distribution Shape: Bitcoin vs. Ethereum
This section looks at the shape of daily returns, not just the average. We use daily log returns so multi-day moves add cleanly.
| Metric (1y) | BTC | ETH |
|---|---|---|
| 5% VaR (daily log return) | -3.38% | -5.85% |
| 5% Expected Shortfall (CVaR) | -4.97% (worst 19 days) | -8.76% (worst 19 days) |
| Skew | -0.01 | 0.21 |
| Excess kurtosis | 2.41 | 3.37 |
| 2σ tail days (down / up) | 10 / 9 | 10 / 9 |
| Worst day | -9.03% (2025-03-04) | -15.86% (2025-03-04) |
| Best day | +9.17% (2025-03-03) | +19.38% (2025-05-09) |
Downside co-moves (2σ)
Computed on shared dates only (n=364). 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.
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 BTC and ETH had a big down day (2σ)
| Date (interval) | BTC | ETH |
|---|---|---|
| 2025-02-25 | -5.12% | -11.46% |
| 2025-03-04 | -8.63% | -14.66% |
| 2025-03-10 | -6.26% | -8.31% |
| 2025-04-07 | -6.44% | -13.00% |
| 2025-10-11 | -6.98% | -12.20% |
| 2025-11-05 | -4.59% | -8.44% |
Days when BTC had a big down day
| Date (interval) | BTC | ETH |
|---|---|---|
| 2025-02-25 | -5.12% | -11.46% |
| 2025-02-27 | -5.47% | -6.79% |
| 2025-03-04 | -8.63% | -14.66% |
| 2025-03-10 | -6.26% | -8.31% |
| 2025-04-07 | -6.44% | -13.00% |
| 2025-10-11 | -6.98% | -12.20% |
| 2025-11-05 | -4.59% | -8.44% |
| 2025-11-15 | -5.29% | -3.99% |
| 2025-11-21 | -5.16% | -6.15% |
| 2025-12-02 | -4.56% | -6.48% |
Days when ETH had a big down day
| Date (interval) | BTC | ETH |
|---|---|---|
| 2025-02-03 | -3.09% | -8.39% |
| 2025-02-25 | -5.12% | -11.46% |
| 2025-03-04 | -8.63% | -14.66% |
| 2025-03-10 | -6.26% | -8.31% |
| 2025-04-07 | -6.44% | -13.00% |
| 2025-04-11 | -3.66% | -8.34% |
| 2025-08-26 | -2.83% | -8.30% |
| 2025-10-11 | -6.98% | -12.20% |
| 2025-11-04 | -3.73% | -7.91% |
| 2025-11-05 | -4.59% | -8.44% |
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.
Bitcoin vs Ethereum Volatility (BTC vs ETH)
Bitcoin's annualized volatility of 41.4% means it typically moves ±2.17% on any given day.
Ethereum's annualized volatility of 74.9% means it typically moves ±3.92% on any given day.
ETH's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while BTC'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.
Bitcoin vs Ethereum Performance Over Time
| Metric | BTC | ETH |
|---|---|---|
| 30 Days | -1.9% | -6.2% |
| 90 Days | -19.7% | -18.8% |
| 180 Days | -22.6% | 5.9% |
| 1 Year | -1.6% | -3.2% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of Bitcoin vs. Ethereum (1-Year)
| Metric | BTC | ETH |
|---|---|---|
| Total Return | -1.6% | -3.2% |
| Annualized Volatility | 41.4% | 74.9% |
| Sharpe Ratio | 0.07 | 0.27 |
| Sortino Ratio | 0.10 | 0.41 |
| Max Drawdown | -32.1% | -57.7% |
| Avg Correlation to S&P 500 | 0.46 | 0.51 |
| 5% VaR (daily log return) | -3.38% | -5.85% |
| 5% Expected Shortfall (CVaR) | -4.97% | -8.76% |
| Skew | -0.01 | 0.21 |
| Excess kurtosis | 2.41 | 3.37 |
| 2σ tail days (down / up) | 10 / 9 | 10 / 9 |
Bitcoin vs Ethereum: Frequently Asked Questions
Which has higher volatility: BTC or ETH?
ETH showed higher volatility at 74.9% annualized, compared to 41.4% for BTC Over the past year. Higher volatility means larger price swings in both directions.
Does BTC provide diversification when held with ETH?
BTC and ETH are strongly correlated over the past year, with an average correlation of 0.81. This strong correlation limits diversification benefits.
How bad are the worst 5% days for BTC vs ETH?
Over the past year, BTC's 5% VaR was -3.38% and its 5% Expected Shortfall was -4.97% (worst 19 days). ETH's were -5.85% and -8.76% (worst 19 days).
Do BTC and ETH crash together on bad days?
On shared dates (n=364), when ETH has a 2σ down day, BTC also does 60.0% (6/10 days). In the other direction, when BTC has one, ETH also does 60.0% (6/10 days).
Which has better risk-adjusted returns: BTC or ETH?
ETH showed better risk-adjusted performance with a Sharpe ratio of 0.27 versus BTC's 0.07 Over the past year.
Can BTC and ETH be combined in a portfolio?
Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. ETH's higher volatility (74.9%) means even small allocations can materially impact overall portfolio risk.