ATOM-USD vs. ETH-USD
ATOM-USD (Cosmos) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, ATOM-USD returned -35.63%/yr vs -10.08%/yr for ETH-USD. A 0.64 correlation means they provide meaningful diversification when combined.
Performance
ATOM-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ATOM-USD achieves a -13.19% return, which is significantly higher than ETH-USD's -46.29% return.
ATOM-USD
- 1D
- -7.52%
- 1M
- -12.09%
- YTD
- -13.19%
- 6M
- -23.97%
- 1Y
- -59.05%
- 3Y*
- -45.18%
- 5Y*
- -35.63%
- 10Y*
- —
ETH-USD
- 1D
- -9.90%
- 1M
- -32.21%
- YTD
- -46.29%
- 6M
- -47.28%
- 1Y
- -34.03%
- 3Y*
- -5.45%
- 5Y*
- -10.08%
- 10Y*
- 59.97%
ATOM-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between ATOM-USD and ETH-USD is 0.70, 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 | 0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.69 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Mar 15, 2019 | 0.64 |
The correlation between ATOM-USD and ETH-USD has been stable across timeframes, ranging from 0.64 to 0.70 - a consistent structural relationship.
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Return for Risk
ATOM-USD vs. ETH-USD — Risk / Return Rank
ATOM-USD
ETH-USD
ATOM-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cosmos (ATOM-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.
| ATOM-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.37 | ||
| Sortino ratioReturn per unit of downside risk | -0.91 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 0.96 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.86 | -0.51 | -0.36 |
| Martin ratioReturn relative to average drawdown | -1.24 | -0.89 | -0.35 |
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
| ATOM-USD | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.87 | -0.50 | -0.37 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.38 | -0.14 | -0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.64 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.16 | 0.74 | -0.90 |
Drawdowns
ATOM-USD vs. ETH-USD - Drawdown Comparison
The maximum ATOM-USD drawdown since its inception was -96.29%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for ATOM-USD and ETH-USD.
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Drawdown Indicators
| ATOM-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.29% | -94.01% | -2.28% |
Max Drawdown (1Y)Largest decline over 1 year | -68.29% | -67.02% | -1.27% |
Max Drawdown (3Y)Largest decline over 3 years | -88.44% | -67.02% | -21.42% |
Max Drawdown (5Y)Largest decline over 5 years | -96.29% | -79.35% | -16.94% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -96.23% | -67.02% | -29.21% |
Average DrawdownAverage peak-to-trough decline | -64.99% | -50.88% | -14.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 48.48% | 44.01% | +4.47% |
Volatility
ATOM-USD vs. ETH-USD - Volatility Comparison
Cosmos (ATOM-USD) has a higher volatility of 18.10% compared to Ethereum (ETH-USD) at 14.30%. This indicates that ATOM-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
| ATOM-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 18.10% | 14.30% | +3.80% |
Volatility (6M)Calculated over the trailing 6-month period | 42.48% | 46.06% | -3.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.43% | 56.49% | -0.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 78.12% | 59.61% | +18.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 90.73% | 78.01% | +12.72% |
Frequently Asked Questions
ATOM-USD and ETH-USD have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ATOM-USD has higher volatility (18.10%) compared to ETH-USD (14.30%). In terms of maximum drawdown, ATOM-USD dropped -96.29% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.50 vs -0.87), 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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