SUI vs ETH: Crypto Returns, Risk & Volatility (2026)

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

Over the past year, ETH looks like the better investment: it had higher total return (ETH -22.4% vs SUI -69.8%) and a higher Sharpe ratio (ETH 0.00 vs SUI -0.68). On risk, ETH was less volatile (ETH 77.3% vs SUI 103.7%), ETH had a smaller max drawdown (ETH -61.2% vs SUI -79.3%), and ETH had less severe losses on the worst 5% of days (Expected Shortfall of ETH -9.38% vs SUI -12.36%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: SUI or ETH?

Over the past year, ETH outperformed (-69.8% vs -22.4%) with a Sharpe ratio of 0.00.

Total Return

SUI -69.8%

ETH WIN -22.4%

Sharpe Ratio

SUI -0.68

ETH WIN 0.00

Annualized Volatility

SUI 103.7%

ETH WIN 77.3%

Max Drawdown

SUI -79.3%

ETH WIN -61.2%

Analysis period: 2025-02-15 to 2026-02-14

SUI Total Return

↓ -69.8%

ETH Total Return

↓ -22.4%

Relative Performance of SUI vs ETH (Normalized to 100)

SUI ETH

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: SUI delivered a -69.8% total return, while ETH returned -22.4% over the same period. ETH outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SUI had a negative Sharpe (-0.68) while ETH was positive (0.00), indicating ETH had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): SUI was more volatile, with 103.7% annualized volatility, versus 77.3% for ETH.
Maximum Drawdown: ETH's maximum drawdown was -61.2%, while SUI experienced a deeper drawdown of -79.3%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SUI's VaR was -7.56% and its Expected Shortfall (CVaR) was -12.36%; ETH's were -6.35% and -9.38%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: SUI -0.03 vs ETH 0.13. Excess kurtosis: SUI 2.83 vs ETH 3.10. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): SUI 8/11, ETH 12/10. Worst day: SUI -22.79% (2025-10-10) vs ETH -14.66% (2025-03-03). Best day: SUI +22.16% (2025-04-22) vs ETH +21.39% (2025-05-08).
Risk ratios: Sortino - SUI: -0.98 vs. ETH: 0.00 , Calmar - SUI: -0.88 vs. ETH: -0.37 , Sterling - SUI: -1.70 vs. ETH: -0.78 , Treynor - SUI: -0.27 vs. ETH: -0.19 , Ulcer Index - SUI: 40.62% vs. ETH: 27.44%

Sui vs Ethereum Correlation

0.81 Average Correlation

Sui and Ethereum are strongly correlated over the past year. With a correlation of 0.81, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both SUI and ETH provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.88
Average (full period)	0.81
Minimum	0.51
Maximum	0.93

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 15, 2025:

SUI $3,021.55 -69.8%

ETH $7,764.85 -22.4%

Difference: $4,743.3 (ETH ahead)

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Sui and Ethereum: Risk Analysis

Sui experienced its maximum drawdown of -79.3% from 2025-07-27 to 2026-02-10. It has not yet recovered to its previous peak.

Ethereum experienced its maximum drawdown of -61.2% from 2025-08-22 to 2026-02-04. 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 SUI and ETH

SUI Sharpe Ratio

↓ -0.68

ETH Sharpe Ratio

↑ 0.00

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SUI had a negative Sharpe (-0.68) while ETH was positive (0.00), 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 SUI and ETH

SUI Sortino Ratio

↓ -0.98

ETH Sortino Ratio

↑ 0.00

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: SUI 71.8% vs ETH 52.5%. 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 SUI and ETH

SUI Calmar Ratio

↓ -0.88

ETH Calmar Ratio

↓ -0.37

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 SUI and ETH

SUI Sterling Ratio

↓ -1.70

ETH Sterling Ratio

↓ -0.78

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

SUI Treynor Ratio

↓ -0.27

ETH Treynor Ratio

↓ -0.19

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 SUI and ETH

SUI Ulcer Index

40.62%

ETH Ulcer Index

27.44%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. ETH 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): Sui vs. Ethereum

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)	SUI	ETH
5% VaR (daily log return)	-7.56%	-6.35%
5% Expected Shortfall (CVaR)	-12.36% (worst 19 days)	-9.38% (worst 19 days)
Skew	-0.03	0.13
Excess kurtosis	2.83	3.10
2σ tail days (down / up)	8 / 11	12 / 10
Worst day	-22.79% (2025-10-10)	-14.66% (2025-03-03)
Best day	+22.16% (2025-04-22)	+21.39% (2025-05-08)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=364). 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 ETH has a big down day, SUI also does

58.3%

7 / 12 days

When SUI has a big down day, ETH also does

87.5%

7 / 8 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 SUI and ETH had a big down day (2σ)

Date (interval)	SUI	ETH
2025-02-24	-16.13%	-11.46%
2025-03-03	-18.16%	-14.66%
2025-04-06	-13.48%	-13.00%
2025-10-10	-22.79%	-12.20%
2025-11-03	-12.19%	-7.91%
2026-01-30	-11.86%	-10.58%
2026-02-04	-16.35%	-11.38%

Days when SUI had a big down day

Date (interval)	SUI	ETH
2025-02-24	-16.13%	-11.46%
2025-03-03	-18.16%	-14.66%
2025-04-06	-13.48%	-13.00%
2025-10-10	-22.79%	-12.20%
2025-11-03	-12.19%	-7.91%
2026-01-18	-12.24%	-3.30%
2026-01-30	-11.86%	-10.58%
2026-02-04	-16.35%	-11.38%

Days when ETH had a big down day

Date (interval)	SUI	ETH
2025-02-24	-16.13%	-11.46%
2025-03-03	-18.16%	-14.66%
2025-03-09	-7.54%	-8.31%
2025-04-06	-13.48%	-13.00%
2025-04-10	-4.95%	-8.34%
2025-08-25	-9.17%	-8.30%
2025-10-10	-22.79%	-12.20%
2025-11-03	-12.19%	-7.91%
2025-11-04	-4.21%	-8.44%
2026-01-19	-5.62%	-7.95%
2026-01-30	-11.86%	-10.58%
2026-02-04	-16.35%	-11.38%

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.

Sui vs Ethereum Volatility (SUI vs ETH)

SUI Volatility

103.7%

±5.43% daily

ETH Volatility

77.3%

±4.04% daily

Typical daily swing

SUI

±5.43%

ETH

±4.04%

Sui's annualized volatility of 103.7% means it typically moves ±5.43% on any given day.

Ethereum's annualized volatility of 77.3% means it typically moves ±4.04% on any given day.

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

Sui vs Ethereum Performance Over Time

Metric	SUI	ETH
30 Days	-42.1%	-37%
90 Days	-38.7%	-32.6%
180 Days	-71.3%	-51.6%
1 Year	-69.8%	-22.4%

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

Full Comparison of Sui vs. Ethereum (1-Year)

Metric	SUI	ETH
Total Return	-69.8%	-22.4%
Annualized Volatility	103.7%	77.3%
Sharpe Ratio	-0.68	0.00
Sortino Ratio	-0.98	0.00
Calmar Ratio	-0.88	-0.37
Sterling Ratio	-1.70	-0.78
Treynor Ratio	-0.27	-0.19
Ulcer Index	40.62%	27.44%
Max Drawdown	-79.3%	-61.2%
Avg Correlation to S&P 500	0.48	0.53
5% VaR (daily log return)	-7.56%	-6.35%
5% Expected Shortfall (CVaR)	-12.36%	-9.38%
Skew	-0.03	0.13
Excess kurtosis	2.83	3.10
2σ tail days (down / up)	8 / 11	12 / 10

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-15 → 2026-02-14 (last shared close).
Rolling correlation sample (shared closes): 335 rolling 30-day values (from 364 shared daily returns).
Annualization (days/year): SUI: 365 days/year; ETH: 365 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

SUI: 4.20% over 2025-02-15 → 2026-02-14.

ETH: 4.20% over 2025-02-15 → 2026-02-14.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

SUI: ≈ -53.8%/yr

ETH: ≈ -29.9%/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.

Sui vs Ethereum: Frequently Asked Questions

Which has higher volatility: SUI or ETH?

SUI showed higher volatility at 103.7% annualized, compared to 77.3% for ETH Over the past year. Higher volatility means larger price swings in both directions.

Does SUI provide diversification when held with ETH?

SUI and ETH are strongly correlated over the past year, with an average correlation of 0.81. This strong correlation limits diversification benefits.

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

Over the past year, SUI's 5% VaR was -7.56% and its 5% Expected Shortfall was -12.36% (worst 19 days). ETH's were -6.35% and -9.38% (worst 19 days).

Do SUI and ETH crash together on bad days?

On shared dates (n=364), when ETH has a 2σ down day, SUI also does 58.3% (7/12 days). In the other direction, when SUI has one, ETH also does 87.5% (7/8 days).

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

SUI had a negative Sharpe (-0.68) while ETH was positive (0.00) Over the past year, indicating ETH had meaningfully better risk-adjusted performance.

Can SUI and ETH be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. SUI's higher volatility (103.7%) means even small allocations can materially impact overall portfolio risk.