AAVE-USD vs. ETH-USD
AAVE-USD (Aave) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, AAVE-USD returned -18.43%/yr vs -0.38%/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 -37.29% return and ETH-USD slightly higher at -37.17%.
AAVE-USD
- 1D
- -4.48%
- 1M
- 20.55%
- 6M
- -46.78%
- YTD
- -37.29%
- 1Y
- -71.74%
- 3Y*
- 6.72%
- 5Y*
- -18.43%
- 10Y*
- —
ETH-USD
- 1D
- -2.76%
- 1M
- 4.06%
- 6M
- -43.82%
- YTD
- -37.17%
- 1Y
- -44.74%
- 3Y*
- -0.83%
- 5Y*
- -0.38%
- 10Y*
- 67.00%
AAVE-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between AAVE-USD and ETH-USD is 0.78, 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 | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.76 |
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 0.73 to 0.78 - 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 | -0.17 | ||
| Sortino ratioReturn per unit of downside risk | -0.65 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 0.92 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | -0.86 | -0.66 | -0.20 |
| Martin ratioReturn relative to average drawdown | -1.26 | -1.02 | -0.24 |
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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% | -67.60% | -15.36% |
Max Drawdown (3Y)Largest decline over 3 years | -84.08% | -67.60% | -16.48% |
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 | -85.46% | -61.42% | -24.04% |
Average DrawdownAverage peak-to-trough decline | -68.77% | -51.00% | -17.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 49.32% | 36.81% | +12.51% |
Volatility
AAVE-USD vs. ETH-USD - Volatility Comparison
Aave (AAVE-USD) has a higher volatility of 24.74% compared to Ethereum (ETH-USD) at 13.74%. 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 | 24.74% | 13.74% | +11.00% |
Volatility (6M)Calculated over the trailing 6-month period | 59.16% | 46.65% | +12.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 70.49% | 55.38% | +15.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 82.02% | 58.72% | +23.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3,519.10% | 76.80% | +3,442.30% |
Frequently Asked Questions
AAVE-USD and ETH-USD have a correlation of 0.78, 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 (24.74%) compared to ETH-USD (13.74%). In terms of maximum drawdown, AAVE-USD dropped -92.10% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.68 vs -0.85), 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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