BTC-USD vs. ETH-USD
BTC-USD (Bitcoin) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 10 years, BTC-USD returned 58.73%/yr vs 65.93%/yr for ETH-USD. Their 0.66 correlation means they have sometimes moved together and sometimes differently.
Performance
BTC-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, BTC-USD achieves a -27.27% return, which is significantly higher than ETH-USD's -36.08% return. Over the past 10 years, BTC-USD has underperformed ETH-USD with an annualized return of 58.73%, while ETH-USD has yielded a comparatively higher 65.93% annualized return.
BTC-USD
- 1D
- -0.33%
- 1M
- 5.78%
- 6M
- -28.63%
- YTD
- -27.27%
- 1Y
- -46.04%
- 3Y*
- 29.53%
- 5Y*
- 8.54%
- 10Y*
- 58.73%
- ALL TIME*
- 88.14%
ETH-USD
- 1D
- -1.22%
- 1M
- 17.75%
- 6M
- -36.91%
- YTD
- -36.08%
- 1Y
- -50.00%
- 3Y*
- 0.62%
- 5Y*
- -5.10%
- 10Y*
- 65.93%
- ALL TIME*
- 79.96%
Liquidity Comparison
BTC-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between BTC-USD and ETH-USD is 0.88, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.88 |
Correlation (3Y) Balances recent behavior with more history. | 0.80 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.83 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.74 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.66 |
Over the past year, BTC-USD and ETH-USD have become more correlated (0.88) than their long-term average of 0.66, meaning their price movements have been converging.
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Return for Risk
BTC-USD vs. ETH-USD — Risk / Return Rank
BTC-USD
ETH-USD
BTC-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-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.
| BTC-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.31 | ||
| Sortino ratioReturn per unit of downside risk | -0.60 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 0.90 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | -0.74 | -0.13 |
| Martin ratioReturn relative to average drawdown | -1.35 | -1.11 | -0.24 |
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Drawdowns
BTC-USD vs. ETH-USD - Drawdown Comparison
The maximum BTC-USD drawdown since its inception was -85.30%, smaller than the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for BTC-USD and ETH-USD.
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Drawdown Indicators
| BTC-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.30% | -94.01% | +8.71% |
Max Drawdown (1Y)Largest decline over 1 year | -53.08% | -67.60% | +14.52% |
Max Drawdown (3Y)Largest decline over 3 years | -53.08% | -67.60% | +14.52% |
Max Drawdown (5Y)Largest decline over 5 years | -76.67% | -79.35% | +2.68% |
Max Drawdown (10Y)Largest decline over 10 years | -83.80% | -94.01% | +10.21% |
Current DrawdownCurrent decline from peak | -48.98% | -60.74% | +11.76% |
Average DrawdownAverage peak-to-trough decline | -42.69% | -51.04% | +8.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 24.55% | 34.47% | -9.92% |
Volatility
BTC-USD vs. ETH-USD - Volatility Comparison
The current volatility for Bitcoin (BTC-USD) is 9.08%, while Ethereum (ETH-USD) has a volatility of 13.07%. This indicates that BTC-USD experiences smaller price fluctuations and is considered to be less risky 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
| BTC-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.08% | 13.07% | -3.99% |
Volatility (6M)Calculated over the trailing 6-month period | 34.66% | 45.87% | -11.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 35.83% | 54.89% | -19.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 43.71% | 58.53% | -14.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.34% | 76.44% | -20.10% |
Frequently Asked Questions
BTC-USD and ETH-USD have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (13.07%) compared to BTC-USD (9.08%). In terms of maximum drawdown, BTC-USD dropped -85.30% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.76 vs -1.07), 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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