ETH-USD vs. FEZ
ETH-USD (Ethereum) is a cryptocurrency, while FEZ (SPDR EURO STOXX 50 ETF) is Europe Equities fund tracking the EURO STOXX 50 Index. Over the past 10 years, ETH-USD returned 61.34%/yr vs 10.66%/yr for FEZ. At a 0.17 correlation, their price movements are largely independent.
Performance
ETH-USD vs. FEZ - Performance Comparison
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Returns By Period
In the year-to-date period, ETH-USD achieves a -43.98% return, which is significantly lower than FEZ's 4.68% return. Over the past 10 years, ETH-USD has outperformed FEZ with an annualized return of 61.34%, while FEZ has yielded a comparatively lower 10.66% annualized return.
ETH-USD
- 1D
- -1.64%
- 1M
- -28.55%
- YTD
- -43.98%
- 6M
- -46.81%
- 1Y
- -33.81%
- 3Y*
- -3.34%
- 5Y*
- -8.64%
- 10Y*
- 61.34%
FEZ
- 1D
- 0.63%
- 1M
- 0.33%
- YTD
- 4.68%
- 6M
- 6.49%
- 1Y
- 15.20%
- 3Y*
- 17.76%
- 5Y*
- 9.78%
- 10Y*
- 10.66%
ETH-USD vs. FEZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ETH-USD Ethereum | -43.98% | -10.91% | 46.00% | 90.84% | -67.48% | 398.30% | 473.88% | -1.52% | -82.39% | 8,984.19% |
FEZ SPDR EURO STOXX 50 ETF | 4.68% | 37.81% | 3.57% | 27.16% | -14.27% | 14.84% | 4.84% | 26.04% | -15.85% | 24.80% |
Correlation
The correlation between ETH-USD and FEZ is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.31 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.20 |
Correlation (All Time) Calculated using the full available price history since Aug 8, 2015 | 0.17 |
The correlation between ETH-USD and FEZ shifts across timeframes, from 0.17 (all time) to 0.33 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ETH-USD vs. FEZ — Risk / Return Rank
ETH-USD
FEZ
ETH-USD vs. FEZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-USD) and SPDR EURO STOXX 50 ETF (FEZ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| ETH-USD | FEZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.34 | ||
| Sortino ratioReturn per unit of downside risk | -1.67 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.16 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | 1.12 | -1.62 |
| Martin ratioReturn relative to average drawdown | -0.88 | 3.81 | -4.68 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ETH-USD | FEZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.50 | 0.84 | -1.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.12 | 0.48 | -0.60 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 0.51 | +0.15 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.75 | 0.30 | +0.45 |
Drawdowns
ETH-USD vs. FEZ - Drawdown Comparison
The maximum ETH-USD drawdown since its inception was -94.01%, which is greater than FEZ's maximum drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for ETH-USD and FEZ.
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Drawdown Indicators
| ETH-USD | FEZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -94.01% | -64.21% | -29.80% |
Max Drawdown (1Y)Largest decline over 1 year | -67.53% | -13.63% | -53.90% |
Max Drawdown (3Y)Largest decline over 3 years | -67.53% | -15.85% | -51.68% |
Max Drawdown (5Y)Largest decline over 5 years | -79.35% | -35.05% | -44.30% |
Max Drawdown (10Y)Largest decline over 10 years | -94.01% | -39.69% | -54.32% |
Current DrawdownCurrent decline from peak | -65.60% | -2.79% | -62.81% |
Average DrawdownAverage peak-to-trough decline | -50.89% | -17.07% | -33.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 44.58% | 4.00% | +40.58% |
Volatility
ETH-USD vs. FEZ - Volatility Comparison
Ethereum (ETH-USD) has a higher volatility of 16.88% compared to SPDR EURO STOXX 50 ETF (FEZ) at 5.64%. This indicates that ETH-USD's price experiences larger fluctuations and is considered to be riskier than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ETH-USD | FEZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 16.88% | 5.64% | +11.24% |
Volatility (6M)Calculated over the trailing 6-month period | 46.80% | 15.06% | +31.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.55% | 18.11% | +38.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.65% | 20.64% | +39.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 78.04% | 21.12% | +56.92% |
Frequently Asked Questions
ETH-USD and FEZ have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (16.88%) compared to FEZ (5.64%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs FEZ's -64.21%.
FEZ currently has the higher Sharpe Ratio (0.84 vs -0.50), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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