Bitcoin, created in 2009 as a decentralized peer to peer electronic cash system has emerged into an entirely new asset class as a digital store of value. It allows anyone in the world to permissionlessly send value across the internet without any centralized intermediary. Today, Bitcoin's marketcap rivals those of some of the biggest and most successful companies in the world. However, Bitcoin's risk profile and its return characteristics are usually very different from equities. Its price and value drivers are also different from that of equities.
So it is natural to compare Bitcoin with S&P500 index as a comparison between Bitcoin and the stock market. More importantly, Bitcoin can provide diversification benefits to a traditional equities portfolio by enhancing returns and reducing risks for the portfolio, given its unique risk/return profile.
Cite This Comparison
"Bitcoin vs S&P 500 (BTC vs SPY): Returns, Risk & Volatility (2026)." Gale Finance, January 10, 2026. https://www.gale.finance/compare/btc-vs-spy Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2025-01-13 to 2026-01-10
Relative Performance of BTC vs SPY (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: BTC delivered a -4.2% total return, while SPY returned +20.8% over the same period. SPY outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): BTC had a negative Sharpe (-0.01) while SPY was positive (0.86), indicating SPY had meaningfully better risk-adjusted performance in this period.
- Volatility (Annualized): BTC was more volatile, with 41.4% annualized volatility, versus 19.4% for SPY.
- Maximum Drawdown: SPY's maximum drawdown was -18.8%, while BTC experienced a deeper drawdown of -32.1%.
- 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%; SPY's were -1.67% and -2.80%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
- Skew & Kurtosis: Skew: BTC -0.00 vs SPY 1.10. Excess kurtosis: BTC 2.44 vs SPY 20.93. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): BTC 10/9, SPY 6/3. Worst day: BTC -9.03% (2025-03-04) vs SPY -6.03% (2025-04-04). Best day: BTC +9.17% (2025-03-03) vs SPY +9.99% (2025-04-09).
Bitcoin vs S&P 500 Correlation
Bitcoin and S&P 500 are moderately correlated over the past year. With a correlation of 0.44, these assets show moderate co-movement, offering some diversification when held together.
For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.31 | |
| Average (full period) | 0.44 | |
| Minimum | -0.04 | |
| Maximum | 0.78 |
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 13, 2025:
Difference: $2,496.47 (SPY ahead)
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Bitcoin and S&P 500: 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.
S&P 500 experienced its maximum drawdown of -18.8% from 2025-02-19 to 2025-04-08. It took 79 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio of BTC and SPY
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. BTC had a negative Sharpe (-0.01) while SPY was positive (0.86), indicating SPY 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 BTC and SPY
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. SPY 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 SPY 15.3%. 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. S&P 500
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 | SPY |
|---|---|---|
| 5% VaR (daily log return) | -3.38% | -1.67% |
| 5% Expected Shortfall (CVaR) | -4.97% (worst 19 days) | -2.80% (worst 13 days) |
| Skew | -0.00 | 1.10 |
| Excess kurtosis | 2.44 | 20.93 |
| 2σ tail days (down / up) | 10 / 9 | 6 / 3 |
| Worst day | -9.03% (2025-03-04) | -6.03% (2025-04-04) |
| Best day | +9.17% (2025-03-03) | +9.99% (2025-04-09) |
Downside co-moves (2σ)
Computed on shared dates only (n=249). 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 SPY had a big down day (2σ)
| Date (interval) | BTC | SPY |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -9.21% | -2.66% |
| 2025-10-10 | -6.98% | -2.70% |
Days when BTC had a big down day
| Date (interval) | BTC | SPY |
|---|---|---|
| 2025-02-21 → 2025-02-24 | -4.93% | -0.46% |
| 2025-02-26 | -5.47% | +0.05% |
| 2025-03-07 → 2025-03-10 | -9.21% | -2.66% |
| 2025-04-04 → 2025-04-07 | -5.57% | -0.18% |
| 2025-08-22 → 2025-08-25 | -5.69% | -0.44% |
| 2025-10-10 | -6.98% | -2.70% |
| 2025-11-14 | -5.29% | -0.02% |
| 2025-11-20 | -5.16% | -1.52% |
| 2025-11-28 → 2025-12-01 | -5.13% | -0.46% |
Days when SPY had a big down day
| Date (interval) | BTC | SPY |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -9.21% | -2.66% |
| 2025-04-03 | +0.77% | -4.93% |
| 2025-04-04 | +0.83% | -5.85% |
| 2025-04-10 | -3.66% | -4.38% |
| 2025-04-17 → 2025-04-21 | +2.97% | -2.38% |
| 2025-10-10 | -6.98% | -2.70% |
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 S&P 500 Volatility (BTC vs SPY)
Bitcoin's annualized volatility of 41.4% means it typically moves ±2.16% on any given day.
S&P 500's annualized volatility of 19.4% means it typically moves ±1.22% on any given day.
BTC's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SPY'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 S&P 500 Performance Over Time
| Metric | BTC | SPY |
|---|---|---|
| 30 Days | -2.4% | 1.2% |
| 90 Days | -20.1% | 6.6% |
| 180 Days | -22.9% | 11.9% |
| 1 Year | -4.5% | 20.8% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of Bitcoin vs. S&P 500 (1-Year)
| Metric | BTC | SPY |
|---|---|---|
| Total Return | -4.2% | +20.8% |
| Annualized Volatility | 41.4% | 19.4% |
| Sharpe Ratio | -0.01 | 0.86 |
| Sortino Ratio | -0.01 | 1.10 |
| Max Drawdown | -32.1% | -18.8% |
| Avg Correlation to S&P 500 | 0.46 | 1.00 |
| 5% VaR (daily log return) | -3.38% | -1.67% |
| 5% Expected Shortfall (CVaR) | -4.97% | -2.80% |
| Skew | -0.00 | 1.10 |
| Excess kurtosis | 2.44 | 20.93 |
| 2σ tail days (down / up) | 10 / 9 | 6 / 3 |
Bitcoin vs S&P 500: Frequently Asked Questions
Which has higher volatility: BTC or SPY?
BTC showed higher volatility at 41.4% annualized, compared to 19.4% for SPY Over the past year. Higher volatility means larger price swings in both directions.
Does BTC provide diversification when held with SPY?
BTC and SPY are moderately correlated over the past year, with an average correlation of 0.44. This offers some diversification benefit, though they still tend to move together during major market moves.
How bad are the worst 5% days for BTC vs SPY?
Over the past year, BTC's 5% VaR was -3.38% and its 5% Expected Shortfall was -4.97% (worst 19 days). SPY's were -1.67% and -2.80% (worst 13 days).
Do BTC and SPY crash together on bad days?
On shared dates (n=249), when SPY has a 2σ down day, BTC also does 33.3% (2/6 days). In the other direction, when BTC has one, SPY also does 22.2% (2/9 days).
Which has better risk-adjusted returns: BTC or SPY?
BTC had a negative Sharpe (-0.01) while SPY was positive (0.86) Over the past year, indicating SPY had meaningfully better risk-adjusted performance.
Can BTC and SPY be combined in a portfolio?
Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. BTC's higher volatility (41.4%) means even small allocations can materially impact overall portfolio risk.