ETH vs ETHA: Crypto Returns, Risk & Volatility (2026)

Q: Which is a better investment: ETH or ETHA?

Over the past year, ETHA looks like the better investment: it had higher total return (ETHA -8.0% vs ETH -10.5%) and a higher Sharpe ratio (ETHA 0.22 vs ETH 0.17). On risk, ETHA was less volatile (ETHA 76.7% vs ETH 77.1%), ETH had a smaller max drawdown (ETH -61.5% vs ETHA -61.7%), and ETH had less severe losses on the worst 5% of days (Expected Shortfall of ETH -9.00% vs ETHA -10.67%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: ETH or ETHA?

Over the past year, ETHA outperformed (-10.5% vs -8.0%) with a Sharpe ratio of 0.22.

Total Return

ETH -10.5%

ETHA WIN -8.0%

Sharpe Ratio

ETH 0.17

ETHA WIN 0.22

Annualized Volatility

ETH 77.1%

ETHA WIN 76.7%

Max Drawdown

ETH WIN -61.5%

ETHA -61.7%

Analysis period: 2025-02-27 to 2026-02-25

ETH Total Return

↓ -10.5%

ETHA Total Return

↓ -8.0%

Relative Performance of ETH vs ETHA (Normalized to 100)

ETH ETHA

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: ETH delivered a -10.5% total return, while ETHA returned -8.0% over the same period. ETHA outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): ETHA had a higher Sharpe (0.22 vs 0.17), indicating better risk-adjusted performance.
Volatility (Annualized): ETH was more volatile, with 77.1% annualized volatility, versus 76.7% for ETHA.
Maximum Drawdown: ETH's maximum drawdown was -61.5%, while ETHA experienced a deeper drawdown of -61.7%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -5.99% and its Expected Shortfall (CVaR) was -9.00%; ETHA's were -7.44% and -10.67%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETH 0.24 vs ETHA -0.06. Excess kurtosis: ETH 3.13 vs ETHA 1.01. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETH 11/11, ETHA 6/7. Worst day: ETH -14.66% (2025-03-03) vs ETHA -15.11% (2025-04-07). Best day: ETH +21.39% (2025-05-08) vs ETHA +18.18% (2025-05-08).
Risk ratios: Sortino - ETH: 0.26 vs. ETHA: 0.32 , Calmar - ETH: -0.18 vs. ETHA: -0.13 , Sterling - ETH: -0.52 vs. ETHA: -0.39 , Treynor - ETH: 0.02 vs. ETHA: 0.09 , Ulcer Index - ETH: 27.52% vs. ETHA: 26.10%

Ethereum vs iShares Ethereum Trust ETF Correlation

0.85 Average Correlation

Ethereum and iShares Ethereum Trust ETF are strongly correlated over the past year. With a correlation of 0.85, these assets tend to move together, limiting diversification benefits.

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

Metric	Value
Current (30-day)	0.24
Average (full period)	0.85
Minimum	0.24
Maximum	0.97

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 February 27, 2025:

ETH $8,946.22 -10.5%

ETHA $9,196.48 -8.0%

Difference: $250.26 (ETHA ahead)

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Ethereum and iShares Ethereum Trust ETF: Risk Analysis

Ethereum experienced its maximum drawdown of -61.5% from 2025-08-22 to 2026-02-23. It has not yet recovered to its previous peak.

iShares Ethereum Trust ETF experienced its maximum drawdown of -61.7% from 2025-08-22 to 2026-02-24. 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 ETHA

ETH Sharpe Ratio

↑ 0.17

ETHA Sharpe Ratio

↑ 0.22

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. ETHA had a higher Sharpe (0.22 vs 0.17), 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 ETH and ETHA

ETH Sortino Ratio

↑ 0.26

ETHA Sortino Ratio

↑ 0.32

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: ETH 51.2% vs ETHA 51.9%. 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).

Calmar Ratio of ETH and ETHA

ETH Calmar Ratio

↓ -0.18

ETHA Calmar Ratio

↓ -0.13

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. ETHA posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of ETH and ETHA

ETH Sterling Ratio

↓ -0.52

ETHA Sterling Ratio

↓ -0.39

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). ETHA posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of ETH and ETHA

ETH Treynor Ratio

↑ 0.02

ETHA Treynor Ratio

↑ 0.09

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. ETHA posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of ETH and ETHA

ETH Ulcer Index

27.52%

ETHA Ulcer Index

26.10%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. ETHA had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Ethereum 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 (1-Year)	ETH	ETHA
5% VaR (daily log return)	-5.99%	-7.44%
5% Expected Shortfall (CVaR)	-9.00% (worst 19 days)	-10.67% (worst 13 days)
Skew	0.24	-0.06
Excess kurtosis	3.13	1.01
2σ tail days (down / up)	11 / 11	6 / 7
Worst day	-14.66% (2025-03-03)	-15.11% (2025-04-07)
Best day	+21.39% (2025-05-08)	+18.18% (2025-05-08)

Downside co-moves (2σ) — 1-Year

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.

When ETHA has a big down day, ETH also does

33.3%

2 / 6 days

When ETH has a big down day, ETHA also does

33.3%

2 / 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 ETHA had a big down day (2σ)

Date (interval)	ETH	ETHA
2025-03-07 → 2025-03-10	-12.22%	-13.43%
2025-04-04 → 2025-04-07	-14.25%	-15.11%

Days when ETH had a big down day

Date (interval)	ETH	ETHA
2025-03-07 → 2025-03-10	-12.22%	-13.43%
2025-04-04 → 2025-04-07	-14.25%	-15.11%
2025-08-22 → 2025-08-25	-9.27%	-8.58%
2025-10-10	-12.20%	-7.95%
2026-01-30	-10.58%	-4.45%
2026-02-04	-11.38%	-5.77%

Days when ETHA had a big down day

Date (interval)	ETH	ETHA
2025-03-07 → 2025-03-10	-12.22%	-13.43%
2025-04-04 → 2025-04-07	-14.25%	-15.11%
2025-11-04	-8.44%	-10.37%
2025-11-28 → 2025-12-01	-7.72%	-9.50%
2026-01-30 → 2026-02-02	-7.52%	-13.24%
2026-02-05	+10.50%	-13.95%

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.

Ethereum vs iShares Ethereum Trust ETF Volatility (ETH vs ETHA)

ETH Volatility

77.1%

±4.04% daily

ETHA Volatility

76.7%

±4.83% daily

Typical daily swing

ETH

±4.04%

ETHA

±4.83%

Ethereum's annualized volatility of 77.1% means it typically moves ±4.04% on any given day.

iShares Ethereum Trust ETF's annualized volatility of 76.7% means it typically moves ±4.83% on any given day.

ETH's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while ETHA'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.

Ethereum vs iShares Ethereum Trust ETF Performance Over Time

Metric	ETH	ETHA
30 Days	-31.6%	-28.4%
90 Days	-31.6%	-31.5%
180 Days	-52.7%	-52.2%
1 Year	-11.3%	-8%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Full Comparison of Ethereum vs. iShares Ethereum Trust ETF (1-Year)

Metric	ETH	ETHA
Total Return	-10.5%	-8.0%
Annualized Volatility	77.1%	76.7%
Sharpe Ratio	0.17	0.22
Sortino Ratio	0.26	0.32
Calmar Ratio	-0.18	-0.13
Sterling Ratio	-0.52	-0.39
Treynor Ratio	0.02	0.09
Ulcer Index	27.52%	26.10%
Max Drawdown	-61.5%	-61.7%
Avg Correlation to S&P 500	0.53	0.50
5% VaR (daily log return)	-5.99%	-7.44%
5% Expected Shortfall (CVaR)	-9.00%	-10.67%
Skew	0.24	-0.06
Excess kurtosis	3.13	1.01
2σ tail days (down / up)	11 / 11	6 / 7

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-27 → 2026-02-25 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): ETH: 365 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:

ETH: 4.20% over 2025-02-26 → 2026-02-25.

ETHA: 4.20% over 2025-02-27 → 2026-02-25.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETH: ≈ -29.7%/yr

ETHA: ≈ -29.4%/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.

Ethereum vs iShares Ethereum Trust ETF: Frequently Asked Questions

Which has higher volatility: ETH or ETHA?

ETH showed higher volatility at 77.1% annualized, compared to 76.7% for ETHA Over the past year. Higher volatility means larger price swings in both directions.

Does ETH provide diversification when held with ETHA?

ETH and ETHA are strongly correlated over the past year, with an average correlation of 0.85. This strong correlation limits diversification benefits.

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

Over the past year, ETH's 5% VaR was -5.99% and its 5% Expected Shortfall was -9.00% (worst 19 days). ETHA's were -7.44% and -10.67% (worst 13 days).

Do ETH and ETHA crash together on bad days?

On shared dates (n=249), when ETHA has a 2σ down day, ETH also does 33.3% (2/6 days). In the other direction, when ETH has one, ETHA also does 33.3% (2/6 days).

Which has better risk-adjusted returns: ETH or ETHA?

ETHA showed better risk-adjusted performance with a Sharpe ratio of 0.22 versus ETH's 0.17 Over the past year.

Can ETH and ETHA 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 (77.1%) means even small allocations can materially impact overall portfolio risk.