Grayscale Ethereum Trust (ETH)

10-Year Study

ETHE.US · · US · ETF

Executive Summary: Grayscale Ethereum Trust (ETH) has compounded at 5.5% annually over the last 10 years, with a maximum drawdown of 89.6% and an annualized volatility of 120.4%.

1Y CAGR
-10.7%
3Y CAGR
+32.9%
5Y CAGR
-5.3%
10Y CAGR
+5.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
89.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.72
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.61
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
114.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +441.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -85.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
57%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-10.1-28.18.812.3————————-21.0%
2025-1.0-33.2-17.8-2.443.8-2.347.916.0-4.3-6.9-21.9-2.3-13.0%
2024-0.949.9-9.5-21.170.8-10.9-11.9-23.43.3-3.642.8-7.144.1%
202354.60.316.16.3-7.818.37.83.10.025.318.318.5308.4%
2022-34.48.617.0-24.6-38.0-43.978.0-7.0-22.016.2-34.3-31.6-85.3%
2021-3.71.118.654.9-9.0-11.30.246.7-13.649.87.6-29.3108.8%
202066.2119.4-18.729.823.2-20.54.1-44.8-31.346.284.035.4441.8%
2019——————-63.8-15.4-40.956.6-0.3-24.0-78.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 120.4%. The dominant macroeconomic risk driver is SHV.US, accounting for 50.6% of variance. Idiosyncratic stock-specific factors contribute 10.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-06-0110000
2019-07-013621.7120382160806
2019-08-013062.4854014873526
2019-09-011809.1607079619346
2019-10-012833.3546816959138
2019-11-012825.0664938705086
2019-12-012145.8118279974988
2020-01-013566.7086099202074
2020-02-017824.2000015069425
2020-03-016358.396311002946
2020-04-018250.06216140869
2020-05-0110166.743269614748
2020-06-018083.394238955989
2020-07-018416.654736699344
2020-08-014645.830664788011
2020-09-013191.70578440163
2020-10-014665.044191110542
2020-11-018583.322659152043
2020-12-0111625.087591075882
2021-01-0111190.03307740414
2021-02-0111317.520475591287
2021-03-0113417.596576224958
2021-04-0120778.863614101978
2021-05-0118907.616844611548
2021-06-0116777.55257348232
2021-07-0116815.07546018279
2021-08-0124667.60599462021
2021-09-0121307.574650200797
2021-10-0131912.68770861745
2021-11-0134342.63368470226
2021-12-0124270.149714810992
2022-01-0115915.053609505796
2022-02-0117280.118144350094
2022-03-0120212.629691302678
2022-04-0115232.559015664676
2022-05-019442.581695160452
2022-06-015295.021813003414
2022-07-019427.512262750624
2022-08-018767.546470362195
2022-09-016840.015370821057
2022-10-017950.029762129008
2022-11-015220.051386764517
2022-12-013570.0238850503697
2023-01-015520.008438882149
2023-02-015535.002524129928
2023-03-016427.565005764058
2023-04-016832.556001778193
2023-05-016300.002260414861
2023-06-017454.998907466149
2023-07-018040.069620777734
2023-08-018291.27705904957
2023-09-018295.044417152028
2023-10-0110395.045170623649
2023-11-0112300.04746871209
2023-12-0114580.05259231911
2024-01-0114452.565194131963
2024-02-0121660.12402142873
2024-03-0119612.564892743314
2024-04-0115472.53972679119
2024-05-0126430.12680927373
2024-06-0123550.132234269397
2024-07-0120737.573369299043
2024-08-0115892.600155215154
2024-09-0116417.543833211523
2024-10-0115832.548467061986
2024-11-0122612.587496891927
2024-12-0121015.07696712603
2025-01-0120797.62505745221
2025-02-0113882.563913230208
2025-03-0111415.019703282876
2025-04-0111137.516105455887
2025-05-0116020.087553402302
2025-06-0115645.084727883723
2025-07-0123145.141238255263
2025-08-0126850.11189053564
2025-09-0125702.649959689268
2025-10-0123940.12914503575
2025-11-0118705.083673023455
2025-12-0118277.563875556625
2026-01-0116433.51743156594
2026-02-0111821.96972551029
2026-03-0112861.76056178844
2026-04-0114444.050964820412
Annual Return Matrix
YearAnnual Return
20204.417570841672811
20211.0877390836557845
2022-0.852904744016814
20233.084021021084401
20240.4413581044417456
2025-0.13026424294575312
2026-0.20973872321480092
Total Factor Risk
1.203782431023084
VTI.US Exposure
0.17201111130962657
VEA.US Exposure
0.018354538561951173
VWO.US Exposure
0.014405551194272476
QQQ.US Exposure
-0.07762265805416642
VTV.US Exposure
-0.03221498947614166
IJR.US Exposure
-0.006070639321581391
QUAL.US Exposure
0.058658542511315394
SHV.US Exposure
0.5061832499795667
TLT.US Exposure
-0.007277327015142506
LQD.US Exposure
-0.009517764327337978
HYG.US Exposure
0.01861832381009205
GLD.US Exposure
0.006468205590765204
USO.US Exposure
0.0009023011879176187
VNQ.US Exposure
-0.0037723513057563406
BTC-USD.CC Exposure
0.18138370880051888
CPER.US Exposure
-0.006908457058159629
VIX.INDX Exposure
0.00860074268185606
UUP.US Exposure
0.00003263713053991227
TIP.US Exposure
0.053252459697541554
Idiosyncratic Exposure
0.10451281410232229
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
120.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$33
Avg Yield on Cost
0.33%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$330.33%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+12.7%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-27.1%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
51.8% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Grayscale Ethereum Trust (ETH) a high-risk investment?

Grayscale Ethereum Trust (ETH) (ETHE.US) has an annualized volatility of 120.4% and experienced a maximum drawdown of 89.6% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of ETHE.US?

Over the past 10 years, ETHE.US has generated a Compound Annual Growth Rate (CAGR) of 5.5%. It has had a positive return in 57% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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