Author: OKX Research Institute
During the 2015-2025 period, global financial markets experienced a remarkable cycle. From the post-financial crisis era of quantitative easing to a historic zero-interest-rate environment, and further into the sharp tightening cycle triggered by high inflation, macroeconomic waves have continuously impacted various asset classes. Against this backdrop, crypto-assets represented by BTC and ETH far outpaced the gains of equities, gold, and U.S. Treasury bonds, completing a stunning transition from experimental products within tech circles to entering the balance sheets of Wall Street institutions. However, behind such exceptional returns lies extreme risk—crypto-assets once faced drawdowns exceeding 75%, with recovery periods often measured in years, whereas traditional assets demonstrated greater resilience.
In this context, the OKX Research Institute focuses on the core theme of “10-Year Performance of Five Major Asset Classes,” seeking to answer a key question: Over a decade-long time horizon, how do BTC and ETH compare with mainstream assets like gold, the S&P 500 Index, and U.S. Treasury bonds in terms of their respective risk-return profiles? Have we paid an equivalent or even excessive risk premium for the extraordinary returns of crypto-assets? To that end, we will go beyond simple return comparisons to construct a comprehensive, objective, and cycle-spanning view of asset performance. (Data as of August 31, 2025)
In the Contest of Returns, Which Asset Reigns Supreme?
Perhaps the most intuitive way to evaluate an asset is to observe its long-term value growth trajectory. We assume an investment of $10,000 across these five assets on August 1, 2015, and track their cumulative value changes through August 1, 2025. This comparison vividly reveals substantial differences in wealth creation capabilities among different asset classes.
(1) Annual Price Snapshot: A Benchmark at Key Nodes (From 2015 to 2025, each August 1st)
The table below records the closing prices of the five core assets on August 1st (or the first subsequent trading day) from 2015 to 2025.
Data Source: Based on Yahoo Finance and CoinGecko, representing the closing price of the day or the first trading day thereafter; ETF prices reflect adjusted closing values.
The price snapshot clearly illustrates that Bitcoin and Ethereum have experienced exponential growth, with their price magnitudes undergoing fundamental changes over the past decade. In contrast, the S&P 500 has demonstrated a steady upward trend in a bull market, gold has exhibited fluctuations correlated with macroeconomic cycles, and U.S. Treasury prices have distinctly reflected shifts in the interest rate environment, notably under pressure during the 2022-2023 rate hike cycle.
(II) Annual Peak Moments: Capturing the High Points of Each Cycle
Observing price snapshots on specific dates alone is far from sufficient to depict the full picture of an asset. Intra-year price volatility, particularly the occurrence of peak prices, reveals the potential explosiveness of assets as well as the “fear of missing out” (FOMO) that traders may face. The table below compiles the highest prices reached by each asset during each annual cycle (from August 1 of the current year to July 31 of the following year).
Data Source: Ethereum launched on July 30, 2015, and early data may exhibit lower liquidity and potential inaccuracies; other data is calculated based on daily historical records from Yahoo Finance.
By observing annual price peaks, we can clearly see the magnitude differences in asset growth. The price highs of Bitcoin and Ethereum during bull markets demonstrate astonishing leaps, whereas the gap between the annual peak and snapshot prices for the S&P 500 and gold is much smaller, reflecting their more mature and stable market characteristics.
(III) Wealth Growth Simulation: A Decade-Long Journey of $10,000
To better illustrate the wealth-creation capabilities of different assets, we conducted a simple experiment: On August 1, 2015, $10,000 was hypothetically invested in each of five assets and held until August 1, 2025. The chart below, plotted on a logarithmic scale, shows the cumulative value changes of this investment. This scale better handles data with significant magnitude differences, preventing overly steep curves for high-growth assets from overshadowing details of other assets.
Data Sources: Yahoo Finance, FRED, Macrotrends, etc.
The table shows that over the ten-year period from 2015 to 2025, the growth multiples of different assets are as follows: BTC increased 402.17 times with a 10-year cumulative return of approximately $4.02 million; ETH increased 1,195.55 times, yielding a 10-year cumulative return of about $11.95 million; gold grew 3.08 times, with a 10-year cumulative return of approximately $30,000; the S&P 500 increased 2.97 times, resulting in a 10-year cumulative return of approximately $29,600; and U.S. Treasury bonds grew 1.26 times, with a 10-year cumulative return of only about $12,600.
Among these, Bitcoin and Ethereum demonstrated astonishing wealth growth effects, with returns far exceeding those of traditional assets, reaching levels hundreds or even thousands of times higher. This reflects the asymmetric return potential of emerging technology assets under high risk, which is unimaginable in the traditional financial world. In contrast, the S&P 500 achieved a threefold increase through stable compound growth, gold primarily served as a store of value, and U.S. Treasury bonds, after fully experiencing both low-interest and high-interest rate cycles, showed almost no growth over the 10 years, highlighting the constraints of interest rate risks on the long-term performance of bond assets.
Maximum Drawdown: How High Are the Risks Behind the Returns?
No asset can lead indefinitely; the rate of return is merely the beginning of the story. A seasoned trader is more concerned with the quality of returns—i.e., how much risk was undertaken to achieve those returns. Therefore, understanding the risk characteristics of different assets is just as important as understanding their return potential. By examining three core metrics—volatility, maximum drawdown, and the Sharpe ratio—a more comprehensive evaluation of the true ‘cost-effectiveness’ of various assets can be conducted. Volatility is typically measured by standard deviation, reflecting the magnitude of fluctuations in asset prices. Maximum drawdown, on the other hand, measures the largest decline from a historical peak to a subsequent trough, serving as an intuitive indicator of downside risk and directly impacting the psychological endurance of traders and the survival capability of portfolios.
Data Sources: Bloomberg, S&P Global, Yahoo Finance, etc.
The volatility of crypto-assets far exceeds that of traditional assets. According to Digital One Agency data, Bitcoin’s annualized standard deviation is approximately 70%-90%, while that of the S&P 500 Index is only 15%-20%. This significant volatility has directly led to astonishing maximum drawdowns: Over the past decade, Bitcoin and Ethereum have experienced multiple deep drawdowns exceeding 70%. For instance, during the 2018 bear market, the price of BTC fell from nearly $20,000 to around $3,000, representing a drawdown of over 80%. The largest drawdown for the S&P 500 occurred at the onset of the COVID-19 pandemic in early 2020, amounting to approximately -34%. During the 2008 financial crisis, the drawdown exceeded 50%. Gold, on the other hand, performed relatively stably, with its largest drawdown over the past 15 years being approximately -29%. U.S. Treasury bonds, as a safe-haven asset, exhibited the smallest drawdown but also experienced a maximum drawdown of around -23% during the post-2020 interest rate hike cycle, shattering the myth of their being ‘risk-free.’
This data is alarming. Users of Bitcoin and Ethereum must be able to withstand asset depreciation exceeding 80% or even 90%, and may need to wait more than two to three years to break even.
In addition, to comprehensively assess risk and return, we have introduced the Sharpe ratio and the Calmar ratio. The Sharpe ratio, proposed by Nobel laureate William Sharpe, is the most classic risk-adjusted return metric internationally. It measures how much excess return over the risk-free rate an investor can achieve for each additional unit of total risk (measured as volatility). The higher the Sharpe ratio, the better the asset’s performance in terms of returns when bearing the same level of risk, indicating higher trading efficiency.
The Calmar ratio is another important risk-adjusted return metric, but it focuses more on measuring downside risk. It is calculated as the ratio of annualized returns to the historical maximum drawdown. A higher Calmar ratio indicates stronger ‘recovery ability’ or ‘cost-effectiveness’ of the asset when experiencing historically worst drawdowns. This metric is particularly favored by users who emphasize risk control.
The radar charts of Bitcoin and Ethereum are the most ‘aggressive.’ They exhibit unparalleled advantages in terms of annualized returns and the Calmar ratio, forming two outward-pointing sharp angles, which reflect their astonishing wealth growth effect and robust recovery capability after drawdowns over the past decade. However, such high returns come at a cost. In terms of maximum drawdown and annualized volatility, their scores are the lowest among all assets, meaning their shapes severely contract along these two dimensions, constituting clear ‘weaknesses.’ This clearly reveals the high-risk, high-volatility nature of crypto assets. Notably, Bitcoin outperforms Ethereum in terms of the Sharpe ratio, indicating that Bitcoin slightly surpasses Ethereum in investment efficiency after adjusting for risk.
The radar chart of U.S. stocks (S&P 500) presents a relatively balanced pentagon with considerable coverage. It shows no significant weaknesses or extreme strengths across all five dimensions. Its Sharpe ratio stands out, second only to Bitcoin, demonstrating excellent risk-adjusted returns. Meanwhile, its annualized returns are steady, and its volatility and maximum drawdown are well-controlled, far surpassing those of crypto assets. This portrays the typical image of a ‘backbone’: offering substantial long-term returns while keeping risks within relatively reasonable bounds, making it a cornerstone for constructing an asset portfolio.
The shape of gold’s radar chart leans toward the risk-control dimension. It scores highly in terms of annualized volatility and maximum drawdown, indicating relatively stable prices and strong resilience against declines. However, gold performs relatively modestly on the three return-related dimensions—annualized returns, the Sharpe ratio, and the Calmar ratio. This aligns perfectly with gold’s positioning as a traditional safe-haven asset: it is not a tool for pursuing high growth but rather serves to store value and hedge risks during market turbulence. The smaller area of its chart reflects its lower overall return efficiency.
The radar chart of U.S. Treasuries has the smallest area among all assets, with its shape tightly concentrated around the center. It scores highest on the two risk dimensions of annualized volatility and maximum drawdown, reflecting extremely strong stability. However, it ranks lowest across all return-related dimensions. This clearly indicates that, under the macroeconomic backdrop of declining interest rates over the past decade, U.S. Treasuries primarily served as tools for capital preservation and liquidity provision, acting as the ‘ballast’ in an asset portfolio rather than a source of returns. Their extremely low risk contrasts sharply with their extremely low returns.
Inter-asset correlations: How to optimize an asset portfolio?
The core of asset portfolio diversification lies in incorporating assets with low correlations. When one asset declines, another may rise or remain stable, thereby smoothing the overall volatility of the portfolio. At its inception, Bitcoin had almost no correlation with traditional financial markets and was seen as a perfect ‘diversification tool.’ However, this characteristic has changed significantly over the past decade, especially as institutional adoption accelerated.
The correlation coefficient measures the degree to which the prices of two assets move in the same direction, ranging from -1 (perfect negative correlation) to +1 (perfect positive correlation). An effective diversified asset portfolio is typically composed of assets with low or negative correlations. The table below consolidates data from multiple research institutions, illustrating the approximate correlations between various assets over the past decade.
Data Sources: Crypto Research Report, LSEG, Newhedge
Bitcoin vs. S&P 500: From Independence to Synchronization. This is one of the most significant changes over the decade. Before 2020: Cryptocurrencies generally exhibited low and unstable correlations with traditional assets, often fluctuating between positive and negative values, demonstrating strong independence. 2020-2021: During the pandemic and the period of monetary easing, as global central banks injected massive liquidity, a notable ‘rising tide lifts all boats’ effect emerged across all risk assets. During this period, the correlation between Bitcoin and the S&P 500 (especially tech stocks) surged sharply, exceeding 0.6 at one point, showing a pronounced ‘coupling’ phenomenon. This indicates that in a macro-liquidity-driven market, Bitcoin behaves more like a high-beta risk asset rather than a safe-haven tool.
2022-2023: Rate Hikes and Tightening Cycle. As the Federal Reserve initiated an aggressive rate hike cycle, risk assets came under widespread pressure. The correlation between Bitcoin and the S&P 500 remained at a relatively high level, with both experiencing declines together. However, its negative correlation with the US Dollar Index (DXY) significantly strengthened, and Bitcoin prices often faced pressure when the dollar strengthened. 2024-2025: The ETF Era. The approval of spot Bitcoin ETFs in the United States is seen as a structural turning point. On one hand, it strengthens the connection between the crypto market and the traditional financial system; on the other hand, the continuous inflow of funds brought by ETFs may become a pricing factor independent of macro sentiment, leading to another shift in correlation. Data shows that after the approval of the ETF, the correlation between Bitcoin and the S&P 500 decreased somewhat, showing signs of ‘decoupling’.
Bitcoin vs. Gold: Challenges to the ‘Digital Gold’ Narrative. Despite being hailed as ‘digital gold’ due to its fixed supply, data shows that Bitcoin’s safe-haven properties and correlation with real gold are not stable. Research from the European Securities and Markets Authority (ESMA) points out that there is no clear and stable relationship between the two. Especially during market panics, Bitcoin often falls alongside risk assets rather than providing shelter like gold.
Internal Relationships Among Traditional Assets: The classic negative or low correlations among gold, US Treasuries, and the S&P 500 remain the cornerstone of traditional asset allocation, offering important stability to portfolios.
How Did the Five Major Assets Perform Under Significant Event Shocks?
Long-term averages may mask extreme performances during critical moments. By conducting a ‘slice’ analysis of several major events, we can gain deeper insights into the true ‘stress reactions’ of various assets.
(1) March 2020: The COVID-19 Black Swan Event Triggered Indiscriminate Selling Across Global Markets.
In March 2020, the global financial markets plunged into panic due to the outbreak of the COVID-19 pandemic, an event historically referred to as “Black March.” During this extreme liquidity crisis, nearly all assets were indiscriminately sold off. The S&P 500 Index entered a bear market in just 16 trading days, setting the record for the fastest decline in history, with a maximum drawdown reaching -34%. Bitcoin was no exception, plummeting by nearly 50% in a single day on March 12, dropping from approximately $8,000 to below $4,000. Gold (GLD) also suffered, albeit temporarily, declining as investors liquidated assets to secure dollar liquidity. Only U.S. Treasuries, serving as the ultimate safe haven, maintained their price stability. This episode vividly demonstrated that during extreme “de-risking” phases, correlations tend to converge towards 1, and Bitcoin’s narrative as a “digital safe haven” crumbled in the face of liquidity shortages.
(II) May and November 2022: Native Cryptocurrency Crises – The Devastating Collapse of LUNA and FTX
The year 2022 was a “catastrophic year” for the cryptocurrency industry. In May, the collapse of the algorithmic stablecoin TerraUSD (UST) and its sister token LUNA wiped out nearly $50 billion in market capitalization within days. In November of the same year, the sudden bankruptcy of FTX, the world’s second-largest cryptocurrency exchange, further exacerbated market panic. These two incidents are emblematic “endogenous” crises within the crypto space. Studies show that following the collapse of FTX, both Bitcoin and Ethereum prices fell by over 20%, while assets closely tied to the FTX ecosystem experienced even steeper declines. However, traditional financial markets, including gold, the S&P 500, and U.S. Treasuries, were largely unaffected, clearly demonstrating the risk isolation between the cryptocurrency market and traditional finance. This indicates that cryptocurrencies not only face macroeconomic risks but also unique, potentially more devastating risks associated with internal protocols, platforms, and trust.
(III) 2020–2025: The Turning Cycle of Macroeconomic Policy – The Ebb and Flow of Liquidity
The Federal Reserve’s monetary policy acts as the “master valve” for global liquidity. Under the massive quantitative easing and zero-interest-rate policies implemented between 2020 and 2021, abundant liquidity flowed into risk assets, driving significant bull markets in both Bitcoin and the S&P 500. However, since the Fed initiated an aggressive rate-hiking cycle in March 2022 to combat inflation, global liquidity tightened, causing risk asset prices to fall accordingly. Academic research indicates that Bitcoin’s sensitivity to Fed interest rate decisions and monetary policy uncertainty (MPU) significantly increased after 2020. This further confirms that Bitcoin has become deeply integrated into the macro-financial framework, with its price fluctuations closely linked to expectations around Fed policy.
Additionally, research shows that the Bitcoin market exhibits pronounced characteristics of “expectation-driven trading.” Prior to the announcement of rate hikes, the market often preemptively priced in the expectation, putting downward pressure on Bitcoin’s price; conversely, during periods of strong expectations for rate cuts, prices tended to rise in advance. On the day of the announcement, if the outcome matched expectations, the market reaction was typically muted. The most significant volatility occurred when there was a “rate surprise”—a deviation between the FOMC decision and the expectations priced in by the market through instruments like interest rate futures.
The chart below illustrates the average cumulative abnormal returns (CAR) of Bitcoin relative to the S&P 500 during the event windows (T-5 to T+5 days) of rate hikes and cuts. It can be observed that during rate-cut cycles, Bitcoin exhibited significant positive CAR prior to the announcement, whereas during rate-hike cycles, the effect was either negligible or negative. This suggests that the market reacts more positively and preemptively to expectations of rate cuts.
(IV) January 2024: Approval of Spot Bitcoin ETFs – A Milestone Toward Mainstream Adoption
On January 10, 2024, the U.S. Securities and Exchange Commission (SEC) officially approved the listing of the first spot Bitcoin ETFs, marking a milestone event in the legitimization and mainstream adoption of cryptocurrencies. The introduction of ETFs significantly lowered the barrier for traditional investors to access Bitcoin. Data shows that following the approval, Bitcoin trading volumes surged, accompanied by robust inflows of capital. According to Chainalysis charts, daily trading volumes approached $10 billion in March after the ETF launch, with cumulative inflows far outpacing those seen during the debut of the first gold ETF in 2005. This development not only propelled Bitcoin prices to new highs but, more importantly, is structurally transforming Bitcoin’s user base and market dynamics, forging unprecedented ties with the traditional financial system.
There is no perfect asset; build a portfolio that transcends cycles.
BTC/ETH has been the undisputed ‘growth champion’ of the past decade, delivering ultra-high returns unmatched by any traditional asset. However, this return comes at the cost of extreme volatility and significant drawdowns. Its correlation with traditional markets is increasing, diminishing its value as a pure diversification tool. It is suitable for users with extremely high risk tolerance and long-term holding conviction.
The S&P 500 serves as the ‘anchor’ of a long-term portfolio. It provides excellent and sustainable compounded growth, and whether measured by the Sharpe ratio or the Calmar ratio, it demonstrates the best balance after risk adjustment. Although subject to cyclical corrections, its strong recovery capacity and support from the underlying real economy make it the absolute core of a portfolio.
Gold, as an ancient store of value, offers limited absolute returns but remains an indispensable ‘insurance policy’ during periods of macroeconomic uncertainty, geopolitical risks, and questioning of the fiat currency system. Its role in a portfolio lies not in offense but in defense.
The traditional ‘safe haven’ status of U.S. Treasuries has faced severe challenges amid an unprecedented rate-hiking cycle, reminding users that ‘risk-free’ is only a relative concept. Nevertheless, it remains one of the most liquid and highest credit-rated assets globally, providing foundational stability and liquidity in portfolios that will be difficult to replace in the short term.
Thus, the classic question also has an answer: Should one choose a dollar-cost averaging strategy or a lump-sum investment strategy?
Over the long term, for highly volatile assets (BTC/ETH), the dollar-cost averaging strategy shows significant advantages. By purchasing more shares at price lows, it effectively smooths out costs, reduces timing risk, and ultimately delivers very attractive returns with far less psychological stress than lump-sum investments.
For steadily growing assets (SPY), due to the long-term upward trend of the stock market, the lump-sum investment strategy has historically outperformed the dollar-cost averaging strategy in most time periods, allowing capital to benefit earlier and more fully from the market’s compounded growth.
For low-growth assets (GLD/IEF), the final outcomes of the two strategies differ little, with neither delivering explosive returns. The conclusion is that dollar-cost averaging is an effective strategy for managing high-volatility assets like Bitcoin, while for long-term, steadily growing equity markets, early lump-sum investment is usually the better choice. Whether you prefer basic dollar-cost averaging, intelligent arbitrage strategies, grid strategies suitable for short-term trading, or advanced signal or iceberg strategies, OKX Strategy Trading can meet all your needs in one place.
The ‘Holy Grail’ of asset allocation is not finding a single best asset but deeply understanding and skillfully combining the unique characteristics of different assets. A robust portfolio should leverage the sharpness of crypto assets to pursue excess returns, rely on the depth of equities to drive long-term growth, and allocate the stability of gold and bonds to hedge against unknown risks. A decade’s worth of data tells us that markets are always evolving, and there are no eternal winners. The true ‘King of Assets’ may not exist within any specific asset but rather within a rational trading framework capable of deeply understanding and harnessing the characteristics of different assets.
