Cite This Comparison
"Bitcoin vs Ethereum (BTC vs ETH): Returns, Risk & Volatility (2024)." Gale Finance, December 31, 2024. https://www.gale.finance/compare/btc-vs-eth-2024 Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2024-01-01 to 2024-12-31
Relative Performance of BTC vs ETH (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: BTC delivered a +119.5% total return, while ETH returned +47.4% over the same period. BTC outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): BTC had a higher Sharpe (1.66 vs 0.85), indicating better risk-adjusted performance.
- Volatility (Annualized): ETH was more volatile, with 64.7% annualized volatility, versus 52.9% for BTC.
- Maximum Drawdown: BTC's maximum drawdown was -26.2%, while ETH experienced a deeper drawdown of -45.4%.
Bitcoin vs Ethereum Correlation
Bitcoin and Ethereum were strongly correlated in 2024. With a correlation of 0.79, these assets tended 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) | 0.79 | |
| Minimum | 0.46 | |
| 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, 2024:
Difference: $7,210.236 (BTC ahead)
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Bitcoin and Ethereum: Risk Analysis
Bitcoin experienced its maximum drawdown of -26.2% from 2024-03-14 to 2024-09-07. It has not yet recovered to its previous peak.
Ethereum experienced its maximum drawdown of -45.4% from 2024-03-12 to 2024-09-07. 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 BTC and ETH
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. BTC had a higher Sharpe (1.66 vs 0.85), 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. BTC 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 31.5% vs ETH 39.8%. 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).
Full Comparison of Bitcoin vs. Ethereum (2024)
| Metric | BTC | ETH |
|---|---|---|
| Total Return | +119.5% | +47.4% |
| Annualized Volatility | 52.9% | 64.7% |
| Sharpe Ratio | 1.66 | 0.85 |
| Sortino Ratio | 2.79 | 1.38 |
| Max Drawdown | -26.2% | -45.4% |
| Avg Correlation to S&P 500 | N/A | N/A |
Bitcoin vs Ethereum: Frequently Asked Questions
Which had higher volatility: BTC or ETH?
ETH showed higher volatility at 64.7% annualized, compared to 52.9% for BTC During 2024. Higher volatility meant larger price swings in both directions.
Did BTC provide diversification when held with ETH?
BTC and ETH were strongly correlated in 2024, with an average correlation of 0.79. This strong correlation limited diversification benefits.
Which had better risk-adjusted returns: BTC or ETH?
BTC showed better risk-adjusted performance with a Sharpe ratio of 1.66 versus ETH's 0.85 During 2024.
Could BTC and ETH have been combined in a portfolio?
Yes, though allocation sizing mattered. Their strong correlation provided limited risk reduction since they tended to move together. ETH's higher volatility (64.7%) meant even small allocations can materially impact overall portfolio risk.