ATOM-USD vs. ETH-USD
ATOM-USD (Cosmos) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, ATOM-USD returned -30.00%/yr vs -3.10%/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 -16.25% return, which is significantly higher than ETH-USD's -47.34% return.
ATOM-USD
- 1D
- -2.18%
- 1M
- -27.24%
- YTD
- -16.25%
- 6M
- -17.58%
- 1Y
- -59.71%
- 3Y*
- -44.01%
- 5Y*
- -30.00%
- 10Y*
- —
ETH-USD
- 1D
- -3.54%
- 1M
- -24.55%
- YTD
- -47.34%
- 6M
- -46.17%
- 1Y
- -35.44%
- 3Y*
- -5.63%
- 5Y*
- -3.10%
- 10Y*
- 60.12%
ATOM-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between ATOM-USD and ETH-USD is 0.69, 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 | 0.69 |
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 14, 2019 | 0.64 |
The correlation between ATOM-USD and ETH-USD has been stable across timeframes, ranging from 0.64 to 0.69 - 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.
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.
| ATOM-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.86 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 0.95 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | -0.52 | -0.34 |
| Martin ratioReturn relative to average drawdown | -1.20 | -0.87 | -0.33 |
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Drawdowns
ATOM-USD vs. ETH-USD - Drawdown Comparison
The maximum ATOM-USD drawdown since its inception was -96.36%, 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 | -96.36% | -94.01% | -2.35% |
Max Drawdown (1Y)Largest decline over 1 year | -68.91% | -67.66% | -1.25% |
Max Drawdown (3Y)Largest decline over 3 years | -88.67% | -67.66% | -21.01% |
Max Drawdown (5Y)Largest decline over 5 years | -96.36% | -79.35% | -17.01% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -96.36% | -67.66% | -28.70% |
Average DrawdownAverage peak-to-trough decline | -65.19% | -50.93% | -14.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 36.40% | 41.50% | -5.10% |
Volatility
ATOM-USD vs. ETH-USD - Volatility Comparison
Cosmos (ATOM-USD) has a higher volatility of 22.47% compared to Ethereum (ETH-USD) at 18.39%. 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 | 22.47% | 18.39% | +4.08% |
Volatility (6M)Calculated over the trailing 6-month period | 45.04% | 46.39% | -1.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.48% | 55.72% | +1.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 77.44% | 59.09% | +18.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 90.59% | 77.04% | +13.55% |
Frequently Asked Questions
ATOM-USD and ETH-USD have a correlation of 0.69, 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 (22.47%) compared to ETH-USD (18.39%). In terms of maximum drawdown, ATOM-USD dropped -96.36% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.53 vs -0.86), 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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