ETH vs SPY: Returns, Risk & Volatility (2022)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2022-01-01 to 2022-12-31

ETH Total Return

↓ -68.1%

SPY Total Return

↓ -18.6%

Relative Performance of ETH vs SPY (Normalized to 100)

ETH SPY

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: ETH delivered a -68.1% total return, while SPY returned -18.6% over the same period. SPY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (SPY -0.92 vs ETH -0.94), meaning both underperformed the risk-free rate; SPY was less negative.
Volatility (Annualized): ETH was more volatile, with 86.9% annualized volatility, versus 24.3% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -24.5%, while ETH experienced a deeper drawdown of -73.8%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -7.98% and its Expected Shortfall (CVaR) was -11.67%; SPY's were -2.78% and -3.41%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETH -0.37 vs SPY -0.00. Excess kurtosis: ETH 2.79 vs SPY 0.30. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETH 12/8, SPY 8/5. Worst day: ETH -17.46% (2022-11-09) vs SPY -4.35% (2022-09-13). Best day: ETH +18.11% (2022-11-10) vs SPY +5.50% (2022-11-10).
Risk ratios: Sortino - ETH: -1.28 vs. SPY: -1.26 , Calmar - ETH: N/A vs. SPY: N/A , Sterling - ETH: N/A vs. SPY: N/A , Treynor - ETH: N/A vs. SPY: N/A , Ulcer Index - ETH: N/A vs. SPY: N/A

Ethereum vs S&P 500 Correlation

0.56 Average Correlation

Ethereum and S&P 500 were moderately correlated in 2022. With a correlation of 0.56, these assets showed 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	Value
Current (30-day)	0.53
Average (full period)	0.56
Minimum	0.18
Maximum	0.77

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, 2022:

ETH $3,188.278 -68.1%

SPY $8,135.726 -18.6%

Difference: $4,947.448 (SPY ahead)

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Ethereum and S&P 500: Risk Analysis

Ethereum experienced its maximum drawdown of -73.8% from 2022-01-04 to 2022-06-18. It has not yet recovered to its previous peak.

S&P 500 experienced its maximum drawdown of -24.5% from 2022-01-03 to 2022-10-12. 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 SPY

ETH Sharpe Ratio

↓ -0.94

SPY Sharpe Ratio

↓ -0.92

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (SPY -0.92 vs ETH -0.94), meaning both underperformed the risk-free rate; SPY was less negative.

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

ETH Sortino Ratio

↓ -1.28

SPY Sortino Ratio

↓ -1.26

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SPY 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 64.1% vs SPY 17.7%. 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).

Tail Risk & Distribution Shape (2022): Ethereum vs. S&P 500

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 (2022)	ETH	SPY
5% VaR (daily log return)	-7.98%	-2.78%
5% Expected Shortfall (CVaR)	-11.67% (worst 19 days)	-3.41% (worst 13 days)
Skew	-0.37	-0.00
Excess kurtosis	2.79	0.30
2σ tail days (down / up)	12 / 8	8 / 5
Worst day	-17.46% (2022-11-09)	-4.35% (2022-09-13)
Best day	+18.11% (2022-11-10)	+5.50% (2022-11-10)

Downside co-moves (2σ) — 2022

Computed on shared dates only (n=250). 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 SPY has a big down day, ETH also does

50.0%

4 / 8 days

When ETH has a big down day, SPY also does

44.4%

4 / 9 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 SPY had a big down day (2σ)

Date (interval)	ETH	SPY
2022-05-06 → 2022-05-09	-16.68%	-3.20%
2022-06-10 → 2022-06-13	-27.65%	-3.80%
2022-06-16	-13.42%	-3.31%
2022-08-26	-11.12%	-3.38%

Days when ETH had a big down day

Date (interval)	ETH	SPY
2022-01-21	-14.77%	-1.96%
2022-05-06 → 2022-05-09	-16.68%	-3.20%
2022-05-11	-11.58%	-1.59%
2022-06-10 → 2022-06-13	-27.65%	-3.80%
2022-06-16	-13.42%	-3.31%
2022-08-19	-12.67%	-1.34%
2022-08-26	-11.12%	-3.38%
2022-11-08	-15.03%	+0.54%
2022-11-09	-17.46%	-2.06%

Days when SPY had a big down day

Date (interval)	ETH	SPY
2022-04-29	-4.13%	-3.70%
2022-05-05	-6.51%	-3.55%
2022-05-06 → 2022-05-09	-16.68%	-3.20%
2022-05-18	-8.31%	-4.03%
2022-06-10 → 2022-06-13	-27.65%	-3.80%
2022-06-16	-13.42%	-3.31%
2022-08-26	-11.12%	-3.38%
2022-09-13	-7.76%	-4.35%

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.

Full Comparison of Ethereum vs. S&P 500 (2022)

Metric	ETH	SPY
Total Return	-68.1%	-18.6%
Annualized Volatility	86.9%	24.3%
Sharpe Ratio	-0.94	-0.92
Sortino Ratio	-1.28	-1.26
Calmar Ratio	N/A	N/A
Sterling Ratio	N/A	N/A
Treynor Ratio	N/A	N/A
Ulcer Index	N/A	N/A
Max Drawdown	-73.8%	-24.5%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-7.98%	-2.78%
5% Expected Shortfall (CVaR)	-11.67%	-3.41%
Skew	-0.37	-0.00
Excess kurtosis	2.79	0.30
2σ tail days (down / up)	12 / 8	8 / 5

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2022-01-01 → 2022-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
Annualization (days/year): ETH: 365 days/year; SPY: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

ETH: 4.50%.

SPY: 4.50%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETH: ≈ -37.8%/yr

SPY: ≈ -3.0%/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 S&P 500: Frequently Asked Questions

Which had higher volatility: ETH or SPY?

ETH showed higher volatility at 86.9% annualized, compared to 24.3% for SPY During 2022. Higher volatility meant larger price swings in both directions.

Did ETH provide diversification when held with SPY?

ETH and SPY were moderately correlated in 2022, with an average correlation of 0.56. This offered some diversification benefit, though they still tended to move together during major market moves.

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

During 2022, ETH's 5% VaR was -7.98% and its 5% Expected Shortfall was -11.67% (worst 19 days). SPY's were -2.78% and -3.41% (worst 13 days).

Do ETH and SPY crash together on bad days?

On shared dates (n=250), when SPY has a 2σ down day, ETH also does 50.0% (4/8 days). In the other direction, when ETH has one, SPY also does 44.4% (4/9 days).

Which had better risk-adjusted returns: ETH or SPY?

Both assets posted negative Sharpe ratios During 2022 (SPY -0.92 vs ETH -0.94), meaning both underperformed the risk-free rate; SPY was less negative.

Could ETH and SPY have been combined in a portfolio?

Yes, though allocation sizing mattered. Their moderate correlation offered some diversification benefits. ETH's higher volatility (86.9%) meant even small allocations can materially impact overall portfolio risk.

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