SOL vs COIN: Returns, Risk & Volatility (2026)

Q: Which is a better investment: SOL or COIN?

Over the past year, COIN looks like the better investment: it had higher total return (COIN -11.7% vs SOL -36.3%) and a higher Sharpe ratio (COIN 0.15 vs SOL -0.14). On risk, COIN was less volatile (COIN 76.4% vs SOL 84.7%), COIN had a smaller max drawdown (COIN -66.4% vs SOL -68.6%), and COIN had less severe losses on the worst 5% of days (Expected Shortfall of COIN -9.90% vs SOL -9.91%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: SOL or COIN?

Over the past year, COIN outperformed (-36.3% vs -11.7%) with a Sharpe ratio of 0.15.

Total Return

SOL -36.3%

COIN WIN -11.7%

Sharpe Ratio

SOL -0.14

COIN WIN 0.15

Annualized Volatility

SOL 84.7%

COIN WIN 76.4%

Max Drawdown

SOL -68.6%

COIN WIN -66.4%

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

SOL Total Return

↓ -36.3%

COIN Total Return

↓ -11.7%

Relative Performance of SOL vs COIN (Normalized to 100)

SOL COIN

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: SOL delivered a -36.3% total return, while COIN returned -11.7% over the same period. COIN outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SOL had a negative Sharpe (-0.14) while COIN was positive (0.15), indicating COIN had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): SOL was more volatile, with 84.7% annualized volatility, versus 76.4% for COIN.
Maximum Drawdown: COIN's maximum drawdown was -66.4%, while SOL experienced a deeper drawdown of -68.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SOL's VaR was -6.57% and its Expected Shortfall (CVaR) was -9.91%; COIN's were -7.11% and -9.90%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: SOL -0.05 vs COIN 0.31. Excess kurtosis: SOL 3.37 vs COIN 3.72. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): SOL 8/11, COIN 3/7. Worst day: SOL -20.01% (2025-03-03) vs COIN -17.58% (2025-03-10). Best day: SOL +24.25% (2025-03-02) vs COIN +23.97% (2025-05-13).
Risk ratios: Sortino - SOL: -0.20 vs. COIN: 0.24 , Calmar - SOL: -0.51 vs. COIN: -0.18 , Sterling - SOL: -0.98 vs. COIN: -0.53 , Treynor - SOL: -0.09 vs. COIN: 0.05 , Ulcer Index - SOL: 32.19% vs. COIN: 28.74%

Solana vs Coinbase Correlation

0.51 Average Correlation

Solana and Coinbase are moderately correlated over the past year. With a correlation of 0.51, 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	Value
Current (30-day)	0.11
Average (full period)	0.51
Minimum	-0.02
Maximum	0.81

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:

SOL $6,369.26 -36.3%

COIN $8,827.57 -11.7%

Difference: $2,458.31 (COIN ahead)

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Solana and Coinbase: Risk Analysis

Solana experienced its maximum drawdown of -68.6% from 2025-09-18 to 2026-02-11. It has not yet recovered to its previous peak.

Coinbase experienced its maximum drawdown of -66.4% from 2025-07-18 to 2026-02-12. 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 SOL and COIN

SOL Sharpe Ratio

↓ -0.14

COIN Sharpe Ratio

↑ 0.15

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SOL had a negative Sharpe (-0.14) while COIN was positive (0.15), indicating COIN 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 SOL and COIN

SOL Sortino Ratio

↓ -0.20

COIN Sortino Ratio

↑ 0.24

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). COIN 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: SOL 58.2% vs COIN 49.4%. 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 SOL and COIN

SOL Calmar Ratio

↓ -0.51

COIN Calmar Ratio

↓ -0.18

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. COIN 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 SOL and COIN

SOL Sterling Ratio

↓ -0.98

COIN Sterling Ratio

↓ -0.53

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). COIN 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 SOL and COIN

SOL Treynor Ratio

↓ -0.09

COIN Treynor Ratio

↑ 0.05

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. COIN 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 SOL and COIN

SOL Ulcer Index

32.19%

COIN Ulcer Index

28.74%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. COIN 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): Solana vs. Coinbase

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)	SOL	COIN
5% VaR (daily log return)	-6.57%	-7.11%
5% Expected Shortfall (CVaR)	-9.91% (worst 19 days)	-9.90% (worst 13 days)
Skew	-0.05	0.31
Excess kurtosis	3.37	3.72
2σ tail days (down / up)	8 / 11	3 / 7
Worst day	-20.01% (2025-03-03)	-17.58% (2025-03-10)
Best day	+24.25% (2025-03-02)	+23.97% (2025-05-13)

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 COIN has a big down day, SOL also does

33.3%

1 / 3 days

When SOL has a big down day, COIN also does

14.3%

1 / 7 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 SOL and COIN had a big down day (2σ)

Date (interval)	SOL	COIN
2025-03-07 → 2025-03-10	-14.65%	-17.58%

Days when SOL had a big down day

Date (interval)	SOL	COIN
2025-03-07 → 2025-03-10	-14.65%	-17.58%
2025-04-04 → 2025-04-07	-12.97%	-2.04%
2025-10-10	-14.00%	-7.75%
2025-10-31 → 2025-11-03	-11.39%	-3.89%
2026-01-16 → 2026-01-20	-9.82%	-5.57%
2026-01-30	-11.27%	-2.23%
2026-02-04	-12.17%	-6.14%

Days when COIN had a big down day

Date (interval)	SOL	COIN
2025-03-07 → 2025-03-10	-14.65%	-17.58%
2025-08-01	-5.44%	-16.70%
2026-02-05	+11.81%	-13.34%

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.

Solana vs Coinbase Volatility (SOL vs COIN)

SOL Volatility

84.7%

±4.43% daily

COIN Volatility

76.4%

±4.81% daily

Typical daily swing

SOL

±4.43%

COIN

±4.81%

Solana's annualized volatility of 84.7% means it typically moves ±4.43% on any given day.

Coinbase's annualized volatility of 76.4% means it typically moves ±4.81% on any given day.

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

Solana vs Coinbase Performance Over Time

Metric	SOL	COIN
30 Days	-31.2%	-13.8%
90 Days	-37.8%	-30.6%
180 Days	-57.3%	-39.6%
1 Year	-34.9%	-11.7%

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

Full Comparison of Solana vs. Coinbase (1-Year)

Metric	SOL	COIN
Total Return	-36.3%	-11.7%
Annualized Volatility	84.7%	76.4%
Sharpe Ratio	-0.14	0.15
Sortino Ratio	-0.20	0.24
Calmar Ratio	-0.51	-0.18
Sterling Ratio	-0.98	-0.53
Treynor Ratio	-0.09	0.05
Ulcer Index	32.19%	28.74%
Max Drawdown	-68.6%	-66.4%
Avg Correlation to S&P 500	0.45	0.57
5% VaR (daily log return)	-6.57%	-7.11%
5% Expected Shortfall (CVaR)	-9.91%	-9.90%
Skew	-0.05	0.31
Excess kurtosis	3.37	3.72
2σ tail days (down / up)	8 / 11	3 / 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): SOL: 365 days/year; COIN: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

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

COIN: 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.

SOL: ≈ -35.9%/yr

COIN: ≈ -29.2%/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.

Solana vs Coinbase: Frequently Asked Questions

Which has higher volatility: SOL or COIN?

SOL showed higher volatility at 84.7% annualized, compared to 76.4% for COIN Over the past year. Higher volatility means larger price swings in both directions.

Does SOL provide diversification when held with COIN?

SOL and COIN are moderately correlated over the past year, with an average correlation of 0.51. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for SOL vs COIN?

Over the past year, SOL's 5% VaR was -6.57% and its 5% Expected Shortfall was -9.91% (worst 19 days). COIN's were -7.11% and -9.90% (worst 13 days).

Do SOL and COIN crash together on bad days?

On shared dates (n=249), when COIN has a 2σ down day, SOL also does 33.3% (1/3 days). In the other direction, when SOL has one, COIN also does 14.3% (1/7 days).

Which has better risk-adjusted returns: SOL or COIN?

SOL had a negative Sharpe (-0.14) while COIN was positive (0.15) Over the past year, indicating COIN had meaningfully better risk-adjusted performance.

Can SOL and COIN be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. SOL's higher volatility (84.7%) means even small allocations can materially impact overall portfolio risk.