AAVE-USD vs. ETH-USD
AAVE-USD (Aave) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, AAVE-USD returned -15.88%/yr vs -2.22%/yr for ETH-USD. A 0.74 correlation means they provide meaningful diversification when combined.
Performance
AAVE-USD vs. ETH-USD - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with AAVE-USD having a -46.01% return and ETH-USD slightly higher at -45.49%.
AAVE-USD
- 1D
- 8.76%
- 1M
- -8.84%
- YTD
- -46.01%
- 6M
- -47.06%
- 1Y
- -70.22%
- 3Y*
- 4.55%
- 5Y*
- -15.88%
- 10Y*
- —
ETH-USD
- 1D
- -2.87%
- 1M
- -23.39%
- YTD
- -45.49%
- 6M
- -45.09%
- 1Y
- -33.99%
- 3Y*
- -5.23%
- 5Y*
- -2.22%
- 10Y*
- 60.77%
AAVE-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between AAVE-USD and ETH-USD is 0.80, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.80 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Oct 2, 2020 | 0.74 |
The correlation between AAVE-USD and ETH-USD has been stable across timeframes, ranging from 0.74 to 0.80 - a consistent structural relationship.
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Return for Risk
AAVE-USD vs. ETH-USD — Risk / Return Rank
AAVE-USD
ETH-USD
AAVE-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Aave (AAVE-USD) and Ethereum (ETH-USD). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AAVE-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.98 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 0.96 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.85 | -0.50 | -0.34 |
| Martin ratioReturn relative to average drawdown | -1.31 | -0.83 | -0.47 |
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Drawdowns
AAVE-USD vs. ETH-USD - Drawdown Comparison
The maximum AAVE-USD drawdown since its inception was -92.10%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for AAVE-USD and ETH-USD.
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Drawdown Indicators
| AAVE-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -92.10% | -94.01% | +1.91% |
Max Drawdown (1Y)Largest decline over 1 year | -82.96% | -67.53% | -15.43% |
Max Drawdown (3Y)Largest decline over 3 years | -84.08% | -67.53% | -16.55% |
Max Drawdown (5Y)Largest decline over 5 years | -88.40% | -79.35% | -9.05% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -87.48% | -66.53% | -20.95% |
Average DrawdownAverage peak-to-trough decline | -68.59% | -50.93% | -17.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 48.36% | 41.32% | +7.04% |
Volatility
AAVE-USD vs. ETH-USD - Volatility Comparison
Aave (AAVE-USD) has a higher volatility of 23.93% compared to Ethereum (ETH-USD) at 18.23%. This indicates that AAVE-USD's price experiences larger fluctuations and is considered to be riskier than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AAVE-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 23.93% | 18.23% | +5.70% |
Volatility (6M)Calculated over the trailing 6-month period | 57.38% | 46.29% | +11.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 69.31% | 55.67% | +13.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 82.42% | 59.17% | +23.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3,537.55% | 77.04% | +3,460.51% |
Frequently Asked Questions
AAVE-USD and ETH-USD have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AAVE-USD has higher volatility (23.93%) compared to ETH-USD (18.23%). In terms of maximum drawdown, AAVE-USD dropped -92.10% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.51 vs -0.84), 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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