PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BCH-USD vs. ETH-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BCH-USD and ETH-USD is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

BCH-USD vs. ETH-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bitcoin Cash (BCH-USD) and Ethereum (ETH-USD). The values are adjusted to include any dividend payments, if applicable.

-40.00%-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
17.22%
-1.24%
BCH-USD
ETH-USD

Key characteristics

Sharpe Ratio

BCH-USD:

-0.29

ETH-USD:

0.16

Sortino Ratio

BCH-USD:

0.09

ETH-USD:

0.74

Omega Ratio

BCH-USD:

1.01

ETH-USD:

1.07

Calmar Ratio

BCH-USD:

0.00

ETH-USD:

0.04

Martin Ratio

BCH-USD:

-0.83

ETH-USD:

0.44

Ulcer Index

BCH-USD:

26.85%

ETH-USD:

23.56%

Daily Std Dev

BCH-USD:

84.63%

ETH-USD:

54.10%

Max Drawdown

BCH-USD:

-98.03%

ETH-USD:

-93.96%

Current Drawdown

BCH-USD:

-88.56%

ETH-USD:

-27.84%

Returns By Period

In the year-to-date period, BCH-USD achieves a 73.14% return, which is significantly higher than ETH-USD's 52.21% return.


BCH-USD

YTD

73.14%

1M

1.94%

6M

17.24%

1Y

92.50%

5Y*

17.95%

10Y*

N/A

ETH-USD

YTD

52.21%

1M

13.03%

6M

-1.24%

1Y

55.06%

5Y*

92.21%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

BCH-USD vs. ETH-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bitcoin Cash (BCH-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.


Sharpe ratio
The chart of Sharpe ratio for BCH-USD, currently valued at -0.29, compared to the broader market0.001.002.003.004.005.00-0.290.16
The chart of Sortino ratio for BCH-USD, currently valued at 0.09, compared to the broader market-1.000.001.002.003.004.000.090.74
The chart of Omega ratio for BCH-USD, currently valued at 1.01, compared to the broader market0.901.001.101.201.301.401.501.011.07
The chart of Calmar ratio for BCH-USD, currently valued at 0.00, compared to the broader market1.002.003.004.000.000.04
The chart of Martin ratio for BCH-USD, currently valued at -0.83, compared to the broader market0.0010.0020.0030.0040.00-0.830.44
BCH-USD
ETH-USD

The current BCH-USD Sharpe Ratio is -0.29, which is lower than the ETH-USD Sharpe Ratio of 0.16. The chart below compares the historical Sharpe Ratios of BCH-USD and ETH-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.29
0.16
BCH-USD
ETH-USD

Drawdowns

BCH-USD vs. ETH-USD - Drawdown Comparison

The maximum BCH-USD drawdown since its inception was -98.03%, roughly equal to the maximum ETH-USD drawdown of -93.96%. Use the drawdown chart below to compare losses from any high point for BCH-USD and ETH-USD. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-88.56%
-27.84%
BCH-USD
ETH-USD

Volatility

BCH-USD vs. ETH-USD - Volatility Comparison

Bitcoin Cash (BCH-USD) has a higher volatility of 26.64% compared to Ethereum (ETH-USD) at 21.57%. This indicates that BCH-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.


10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
26.64%
21.57%
BCH-USD
ETH-USD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab