Cite This Comparison
"MicroStrategy vs S&P 500 (MSTR vs SPY): Returns, Risk & Volatility (2026)." Gale Finance, January 9, 2026. https://www.gale.finance/compare/mstr-vs-spy Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2025-01-13 to 2026-01-09
Relative Performance of MSTR vs SPY (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: MSTR delivered a -52.1% total return, while SPY returned +20.8% over the same period. SPY outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): MSTR had a negative Sharpe (-0.72) while SPY was positive (0.86), indicating SPY had meaningfully better risk-adjusted performance in this period.
- Volatility (Annualized): MSTR was more volatile, with 72.9% annualized volatility, versus 19.4% for SPY.
- Maximum Drawdown: SPY's maximum drawdown was -18.8%, while MSTR experienced a deeper drawdown of -66.7%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), MSTR's VaR was -7.96% and its Expected Shortfall (CVaR) was -10.46%; 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: MSTR 0.12 vs SPY 1.10. Excess kurtosis: MSTR 2.74 vs SPY 20.93. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): MSTR 6/6, SPY 6/3. Worst day: MSTR -18.25% (2025-03-10) vs SPY -6.03% (2025-04-04). Best day: MSTR +22.12% (2025-04-09) vs SPY +9.99% (2025-04-09).
MicroStrategy vs S&P 500 Correlation
MicroStrategy and S&P 500 are moderately correlated over the past year. With a correlation of 0.47, 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) | 0.23 | |
| Average (full period) | 0.47 | |
| Minimum | 0.18 | |
| Maximum | 0.82 |
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: $7,287.09 (SPY ahead)
MicroStrategy and S&P 500: Risk Analysis
MicroStrategy experienced its maximum drawdown of -66.7% from 2025-07-16 to 2025-12-31. 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 MSTR and SPY
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. MSTR had a negative Sharpe (-0.72) 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 MSTR 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: MSTR 46.8% 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: MicroStrategy 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) | MSTR | SPY |
|---|---|---|
| 5% VaR (daily log return) | -7.96% | -1.67% |
| 5% Expected Shortfall (CVaR) | -10.46% (worst 13 days) | -2.80% (worst 13 days) |
| Skew | 0.12 | 1.10 |
| Excess kurtosis | 2.74 | 20.93 |
| 2σ tail days (down / up) | 6 / 6 | 6 / 3 |
| Worst day | -18.25% (2025-03-10) | -6.03% (2025-04-04) |
| Best day | +22.12% (2025-04-09) | +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 MSTR and SPY had a big down day (2σ)
| Date (interval) | MSTR | SPY |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -16.68% | -2.66% |
| 2025-04-03 | -9.68% | -4.93% |
Days when MSTR had a big down day
| Date (interval) | MSTR | SPY |
|---|---|---|
| 2025-02-25 | -11.41% | -0.50% |
| 2025-03-07 → 2025-03-10 | -16.68% | -2.66% |
| 2025-03-28 | -10.84% | -2.01% |
| 2025-04-03 | -9.68% | -4.93% |
| 2025-04-08 | -11.26% | -1.57% |
| 2025-11-19 | -9.82% | +0.39% |
Days when SPY had a big down day
| Date (interval) | MSTR | SPY |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -16.68% | -2.66% |
| 2025-04-03 | -9.68% | -4.93% |
| 2025-04-04 | +4.01% | -5.85% |
| 2025-04-10 | -8.26% | -4.38% |
| 2025-04-17 → 2025-04-21 | +0.18% | -2.38% |
| 2025-10-10 | -4.84% | -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.
MicroStrategy vs S&P 500 Volatility (MSTR vs SPY)
MicroStrategy's annualized volatility of 72.9% means it typically moves ±4.59% on any given day.
S&P 500's annualized volatility of 19.4% means it typically moves ±1.22% on any given day.
MSTR'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.
MicroStrategy vs S&P 500 Performance Over Time
| Metric | MSTR | SPY |
|---|---|---|
| 30 Days | -14.8% | 1.2% |
| 90 Days | -48.4% | 6.6% |
| 180 Days | -63.8% | 11.9% |
| 1 Year | -52.1% | 20.8% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of MicroStrategy vs. S&P 500 (1-Year)
| Metric | MSTR | SPY |
|---|---|---|
| Total Return | -52.1% | +20.8% |
| Annualized Volatility | 72.9% | 19.4% |
| Sharpe Ratio | -0.72 | 0.86 |
| Sortino Ratio | -1.12 | 1.10 |
| Max Drawdown | -66.7% | -18.8% |
| Avg Correlation to S&P 500 | 0.51 | 1.00 |
| 5% VaR (daily log return) | -7.96% | -1.67% |
| 5% Expected Shortfall (CVaR) | -10.46% | -2.80% |
| Skew | 0.12 | 1.10 |
| Excess kurtosis | 2.74 | 20.93 |
| 2σ tail days (down / up) | 6 / 6 | 6 / 3 |
MicroStrategy vs S&P 500: Frequently Asked Questions
Which has higher volatility: MSTR or SPY?
MSTR showed higher volatility at 72.9% annualized, compared to 19.4% for SPY Over the past year. Higher volatility means larger price swings in both directions.
Does MSTR provide diversification when held with SPY?
MSTR and SPY are moderately correlated over the past year, with an average correlation of 0.47. This offers some diversification benefit, though they still tend to move together during major market moves.
How bad are the worst 5% days for MSTR vs SPY?
Over the past year, MSTR's 5% VaR was -7.96% and its 5% Expected Shortfall was -10.46% (worst 13 days). SPY's were -1.67% and -2.80% (worst 13 days).
Do MSTR and SPY crash together on bad days?
On shared dates (n=249), when SPY has a 2σ down day, MSTR also does 33.3% (2/6 days). In the other direction, when MSTR has one, SPY also does 33.3% (2/6 days).
Which has better risk-adjusted returns: MSTR or SPY?
MSTR had a negative Sharpe (-0.72) while SPY was positive (0.86) Over the past year, indicating SPY had meaningfully better risk-adjusted performance.
Can MSTR and SPY be combined in a portfolio?
Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. MSTR's higher volatility (72.9%) means even small allocations can materially impact overall portfolio risk.