Ethereum created the first blockchain geared towards running smart contracts. With a Turing complete programming language, Ethereum was able to attract early developers who wanted to build complex applications on a permissionless blockchain. This was in contrast to Bitcoin's very limited programming language. Over time, Ethereum became the home for decentralized finance (DeFi) that allowed users access to financial tools in a permissionless manner as long as they had an internet connection. Most major stablecoins are also deployed on Ethereum.
Investors have the ability to invest in ETH via ETFs and treasury asset companies (DATs). Comparing ETH's recent performance to S&P500 helps set the stage for investors to understand the kinds of risks they are taking. However, with uncorrelated risk/return profile, ETH can provide strong diversification benefits to an equity-only portfolio.
Cite This Comparison
"Ethereum vs S&P 500 (ETH vs SPY): Returns, Risk & Volatility (2026)." Gale Finance, January 10, 2026. https://www.gale.finance/compare/eth-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 ETH vs SPY (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: ETH delivered a -5.6% total return, while SPY returned +20.8% over the same period. SPY outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): SPY had a higher Sharpe (0.86 vs 0.23), indicating better risk-adjusted performance.
- Volatility (Annualized): ETH was more volatile, with 74.9% annualized volatility, versus 19.4% for SPY.
- Maximum Drawdown: SPY's maximum drawdown was -18.8%, while ETH experienced a deeper drawdown of -57.7%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -5.85% and its Expected Shortfall (CVaR) was -8.76%; 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: ETH 0.22 vs SPY 1.10. Excess kurtosis: ETH 3.37 vs SPY 20.93. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): ETH 10/9, SPY 6/3. Worst day: ETH -15.86% (2025-03-04) vs SPY -6.03% (2025-04-04). Best day: ETH +19.38% (2025-05-09) vs SPY +9.99% (2025-04-09).
Ethereum vs S&P 500 Correlation
Ethereum and S&P 500 are moderately correlated over the past year. With a correlation of 0.50, 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) | 0.38 | |
| Average (full period) | 0.50 | |
| Minimum | 0.09 | |
| Maximum | 0.80 |
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: $2,636.76 (SPY ahead)
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Ethereum and S&P 500: Risk Analysis
Ethereum experienced its maximum drawdown of -57.7% from 2025-01-18 to 2025-04-09. It took 100 days to recover.
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 ETH and SPY
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SPY had a higher Sharpe (0.86 vs 0.23), 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 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: ETH 48.7% 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: Ethereum 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) | ETH | SPY |
|---|---|---|
| 5% VaR (daily log return) | -5.85% | -1.67% |
| 5% Expected Shortfall (CVaR) | -8.76% (worst 19 days) | -2.80% (worst 13 days) |
| Skew | 0.22 | 1.10 |
| Excess kurtosis | 3.37 | 20.93 |
| 2σ tail days (down / up) | 10 / 9 | 6 / 3 |
| Worst day | -15.86% (2025-03-04) | -6.03% (2025-04-04) |
| Best day | +19.38% (2025-05-09) | +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 ETH and SPY had a big down day (2σ)
| Date (interval) | ETH | SPY |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -12.22% | -2.66% |
| 2025-10-10 | -12.20% | -2.70% |
Days when ETH had a big down day
| Date (interval) | ETH | SPY |
|---|---|---|
| 2025-01-31 → 2025-02-03 | -12.70% | -0.67% |
| 2025-03-07 → 2025-03-10 | -12.22% | -2.66% |
| 2025-04-04 → 2025-04-07 | -14.25% | -0.18% |
| 2025-08-22 → 2025-08-25 | -9.27% | -0.44% |
| 2025-10-10 | -12.20% | -2.70% |
Days when SPY had a big down day
| Date (interval) | ETH | SPY |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -12.22% | -2.66% |
| 2025-04-03 | +1.25% | -4.93% |
| 2025-04-04 | -0.21% | -5.85% |
| 2025-04-10 | -8.34% | -4.38% |
| 2025-04-17 → 2025-04-21 | -0.38% | -2.38% |
| 2025-10-10 | -12.20% | -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.
Ethereum vs S&P 500 Volatility (ETH vs SPY)
Ethereum's annualized volatility of 74.9% means it typically moves ±3.92% on any given day.
S&P 500's annualized volatility of 19.4% means it typically moves ±1.22% on any given day.
ETH'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.
Ethereum vs S&P 500 Performance Over Time
| Metric | ETH | SPY |
|---|---|---|
| 30 Days | -7.2% | 1.2% |
| 90 Days | -19.7% | 6.6% |
| 180 Days | 4.7% | 11.9% |
| 1 Year | -5.7% | 20.8% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of Ethereum vs. S&P 500 (1-Year)
| Metric | ETH | SPY |
|---|---|---|
| Total Return | -5.6% | +20.8% |
| Annualized Volatility | 74.9% | 19.4% |
| Sharpe Ratio | 0.23 | 0.86 |
| Sortino Ratio | 0.36 | 1.10 |
| Max Drawdown | -57.7% | -18.8% |
| Avg Correlation to S&P 500 | 0.51 | 1.00 |
| 5% VaR (daily log return) | -5.85% | -1.67% |
| 5% Expected Shortfall (CVaR) | -8.76% | -2.80% |
| Skew | 0.22 | 1.10 |
| Excess kurtosis | 3.37 | 20.93 |
| 2σ tail days (down / up) | 10 / 9 | 6 / 3 |
Ethereum vs S&P 500: Frequently Asked Questions
Which has higher volatility: ETH or SPY?
ETH showed higher volatility at 74.9% annualized, compared to 19.4% for SPY Over the past year. Higher volatility means larger price swings in both directions.
Does ETH provide diversification when held with SPY?
ETH and SPY are moderately correlated over the past year, with an average correlation of 0.50. This offers some diversification benefit, though they still tend to move together during major market moves.
How bad are the worst 5% days for ETH vs SPY?
Over the past year, ETH's 5% VaR was -5.85% and its 5% Expected Shortfall was -8.76% (worst 19 days). SPY's were -1.67% and -2.80% (worst 13 days).
Do ETH and SPY crash together on bad days?
On shared dates (n=249), when SPY has a 2σ down day, ETH also does 33.3% (2/6 days). In the other direction, when ETH has one, SPY also does 40.0% (2/5 days).
Which has better risk-adjusted returns: ETH or SPY?
SPY showed better risk-adjusted performance with a Sharpe ratio of 0.86 versus ETH's 0.23 Over the past year.
Can ETH and SPY be combined in a portfolio?
Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. ETH's higher volatility (74.9%) means even small allocations can materially impact overall portfolio risk.