Ethereum vs Treasury Bonds (ETH vs TLT) 2026: Returns, Risk & Volatility

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

Over the past year, ETH looks like the better investment: it had higher total return (ETH +29.1% vs TLT +0.7%) and a higher Sharpe ratio (ETH 0.67 vs TLT -0.29). On risk, TLT was less volatile (TLT 10.2% vs ETH 71.8%), TLT had a smaller max drawdown (TLT -6.6% vs ETH -61.5%), and TLT had less severe losses on the worst 5% of days (Expected Shortfall of TLT -1.28% vs ETH -7.68%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: ETH or TLT?

Over the past year, ETH outperformed TLT. ETH returned +29.1% compared with TLT’s +0.7%. ETH had the better risk-adjusted return, with a Sharpe ratio of 0.67 versus TLT’s -0.29. TLT was less volatile than ETH, and TLT had a smaller max drawdown than ETH.

Total Return

ETH +29.1%

TLT +0.7%

Sharpe Ratio

ETH 0.67

TLT -0.29

Annualized Volatility

ETH 71.8%

TLT 10.2%

Max Drawdown

ETH -61.5%

TLT -6.6%

Metric winners: Total Return: ETH; Sharpe Ratio: ETH; Annualized Volatility: TLT (less volatile); Max Drawdown: TLT (smaller drawdown).

ETH Total Return

↑ +29.1%

TLT Total Return

↑ +0.7%

Relative Performance of ETH vs TLT (Normalized to 100)

ETH TLT

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: ETH delivered a +29.1% total return, while TLT returned +0.7% over the same period. ETH outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): TLT had a negative Sharpe (-0.29) while ETH was positive (0.67), indicating ETH had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): ETH was more volatile, with 71.8% annualized volatility, versus 10.2% for TLT.
Maximum Drawdown: TLT's maximum drawdown was -6.6%, while ETH experienced a deeper drawdown of -61.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETH's VaR was -5.69% and its Expected Shortfall (CVaR) was -7.68%; TLT's were -1.02% and -1.28%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETH 0.44 vs TLT 0.07. Excess kurtosis: ETH 2.81 vs TLT 0.01. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETH 8/9, TLT 6/9. Worst day: ETH -12.20% (2025-10-10) vs TLT -1.90% (2026-03-20). Best day: ETH +21.39% (2025-05-08) vs TLT +1.69% (2025-07-29).
Risk ratios: Sortino - ETH: 1.04 vs. TLT: -0.42 , Calmar - ETH: 0.50 vs. TLT: 0.10 , Sterling - ETH: 0.98 vs. TLT: No 10% drawdown , Treynor - ETH: 0.22 vs. TLT: -0.41 , Ulcer Index - ETH: 33.13% vs. TLT: 3.26%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

ETH $12,913.16 +29.1%

TLT $10,066.75 +0.7%

Difference: $2,846.41 (ETH ahead)

Ethereum vs Treasury Bonds Performance Over Time

Metric	ETH	TLT
30 Days	6.3%	1%
90 Days	-21.9%	-1.6%
180 Days	-41.6%	-4.3%
1 Year	30.5%	0.7%

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

Ethereum vs Treasury Bonds Correlation

Average Correlation

weakly correlated

0.10

Current (30-day) 0.07

30-day rolling range -0.44 to +0.54

Ethereum and Treasury Bonds are weakly correlated over the past year. With a correlation of 0.10, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining ETH and TLT could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.07
Average (full period)	0.10
Minimum (30-day rolling)	-0.44
Maximum (30-day rolling)	0.54

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. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

ETH

-61.5%

TLT

-6.6%

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.

Treasury Bonds experienced its maximum drawdown of -6.6% from 2025-04-29 to 2025-05-21. It took 107 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Ethereum vs Treasury Bonds Volatility (ETH vs TLT)

ETH Volatility

71.8%

±3.76% 1-day vol

TLT Volatility

10.2%

±0.64% 1-day vol

1-day volatility (1σ)

ETH

±3.76%

TLT

±0.64%

Ethereum's 71.8% annualized volatility translates to about ±3.76% one-standard-deviation daily volatility.

Treasury Bonds's 10.2% annualized volatility translates to about ±0.64% one-standard-deviation daily volatility.

ETH had the wider volatility profile over this window. That means its day-to-day return distribution was broader; TLT was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of ETH and TLT

Sharpe Ratio: ETH vs. TLT

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. TLT had a negative Sharpe (-0.29) while ETH was positive (0.67), indicating ETH 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 ETH and TLT

Sortino Ratio: ETH vs. TLT

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). ETH 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 45.9% vs TLT 7.2%. 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 TLT

Calmar Ratio: ETH vs. TLT

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. ETH 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 TLT

Sterling Ratio: ETH vs. TLT

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). TLT had no 10% drawdown in this lookback, so Sterling is not calculated.

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

Treynor Ratio of ETH and TLT

Treynor Ratio: ETH vs. TLT

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. ETH 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 TLT

Ulcer Index: ETH vs. TLT

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. TLT 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. Treasury Bonds

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.

Tail Risk & Distribution Shape: ETH vs. TLT (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	ETH	TLT
5% VaR (daily log return)	-5.69%	-1.02%
5% Expected Shortfall (CVaR)	-7.68% (worst 19 days)	-1.28% (worst 13 days)
Skew	0.44	0.07
Excess kurtosis	2.81	0.01
2σ tail days (down / up)	8 / 9	6 / 9
Worst day	-12.20% (2025-10-10)	-1.90% (2026-03-20)
Best day	+21.39% (2025-05-08)	+1.69% (2025-07-29)

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.

Downside co-move map: ETH vs. TLT (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both ETH and TLT crossed their own 2σ downside threshold.

2σ

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 TLT had a big down day (2σ)

Date (interval)	ETH	TLT
2026-01-16 → 2026-01-20	-8.72%	-1.31%

Days when ETH had a big down day

Date (interval)	ETH	TLT
2025-08-22 → 2025-08-25	-9.27%	-0.29%
2025-10-10	-12.20%	+1.61%
2025-11-04	-8.44%	+0.22%
2026-01-16 → 2026-01-20	-8.72%	-1.31%
2026-01-30	-10.58%	-0.56%
2026-02-04	-11.38%	-0.25%

Days when TLT had a big down day

Date (interval)	ETH	TLT
2025-05-21	+1.37%	-1.71%
2025-06-06	+2.47%	-1.27%
2025-07-11	+0.35%	-1.38%
2026-01-16 → 2026-01-20	-8.72%	-1.31%
2026-03-11	+0.07%	-1.29%
2026-03-20	-0.28%	-1.90%

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. Treasury Bonds (1-Year)

Metric	ETH	TLT
Total Return	+29.1%	+0.7%
Annualized Volatility	71.8%	10.2%
Sharpe Ratio	0.67	-0.29
Sortino Ratio	1.04	-0.42
Calmar Ratio	0.50	0.10
Sterling Ratio	0.98	No 10% drawdown
Treynor Ratio	0.22	-0.41
Ulcer Index	33.13%	3.26%
Max Drawdown	-61.5%	-6.6%
Avg Correlation to S&P 500	0.47	0.04
5% VaR (daily log return)	-5.69%	-1.02%
5% Expected Shortfall (CVaR)	-7.68%	-1.28%
Skew	0.44	0.07
Excess kurtosis	2.81	0.01
2σ tail days (down / up)	8 / 9	6 / 9

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (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; TLT: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

ETH: 4.17% over 2025-04-24 → 2026-04-23.

TLT: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETH: ≈ -25.8%/yr

TLT: ≈ -0.5%/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 Treasury Bonds: Frequently Asked Questions

Which has higher volatility: ETH or TLT?

ETH showed higher volatility at 71.8% annualized, compared to 10.2% for TLT Over the past year. Higher volatility means larger price swings in both directions.

Does ETH provide diversification when held with TLT?

ETH and TLT are weakly correlated over the past year, with an average correlation of 0.10. This weak correlation suggests meaningful diversification benefits when held together.

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

Over the past year, ETH's 5% VaR was -5.69% and its 5% Expected Shortfall was -7.68% (worst 19 days). TLT's were -1.02% and -1.28% (worst 13 days).

Do ETH and TLT crash together on bad days?

On shared dates (n=249), when TLT has a 2σ down day, ETH also does 16.7% (1/6 days). In the other direction, when ETH has one, TLT also does 16.7% (1/6 days).

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

TLT had a negative Sharpe (-0.29) while ETH was positive (0.67) Over the past year, indicating ETH had meaningfully better risk-adjusted performance.

Can ETH and TLT be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. ETH's higher volatility (71.8%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: ETH or TLT?

Share This Comparison of ETH vs TLT

Relative Performance of ETH vs TLT (Normalized to 100)

Trade ETH or TLT

Key Takeaways

Investment Comparison

Ethereum vs Treasury Bonds Performance Over Time

Ethereum vs Treasury Bonds Correlation

Drawdown

Ethereum vs Treasury Bonds Volatility (ETH vs TLT)

Risk-adjusted ratios

Sharpe Ratio of ETH and TLT

Sharpe Ratio: ETH vs. TLT

Sortino Ratio of ETH and TLT

Sortino Ratio: ETH vs. TLT

Calmar Ratio of ETH and TLT

Calmar Ratio: ETH vs. TLT

Sterling Ratio of ETH and TLT

Sterling Ratio: ETH vs. TLT

Treynor Ratio of ETH and TLT

Treynor Ratio: ETH vs. TLT

Ulcer Index of ETH and TLT

Ulcer Index: ETH vs. TLT

Tail Risk & Distribution Shape (1-Year): Ethereum vs. Treasury Bonds

Tail Risk & Distribution Shape: ETH vs. TLT (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: ETH vs. TLT (2σ)

Days when both ETH and TLT had a big down day (2σ)

Days when ETH had a big down day

Days when TLT had a big down day

Full Comparison of Ethereum vs. Treasury Bonds (1-Year)

Inputs & conventions

Formulas

Ethereum vs Treasury Bonds: Frequently Asked Questions

Which has higher volatility: ETH or TLT?

Does ETH provide diversification when held with TLT?

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

Do ETH and TLT crash together on bad days?

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

Can ETH and TLT be combined in a portfolio?