CHZ-USD vs. ETH-USD
CHZ-USD (Chiliz) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, CHZ-USD returned -41.14%/yr vs -1.22%/yr for ETH-USD. A 0.59 correlation means they provide meaningful diversification when combined.
Performance
CHZ-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, CHZ-USD achieves a -59.82% return, which is significantly lower than ETH-USD's -38.49% return.
CHZ-USD
- 1D
- -2.00%
- 1M
- -34.54%
- 6M
- -65.11%
- YTD
- -59.82%
- 1Y
- -57.40%
- 3Y*
- -41.39%
- 5Y*
- -41.14%
- 10Y*
- —
ETH-USD
- 1D
- 2.13%
- 1M
- 9.57%
- 6M
- -41.49%
- YTD
- -38.49%
- 1Y
- -38.02%
- 3Y*
- -3.10%
- 5Y*
- -1.22%
- 10Y*
- 65.81%
CHZ-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between CHZ-USD and ETH-USD is 0.57, 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 | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.64 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.66 |
Correlation (All Time) Calculated using the full available price history since Jul 1, 2019 | 0.59 |
The correlation between CHZ-USD and ETH-USD has been stable across timeframes, ranging from 0.57 to 0.66 - a consistent structural relationship.
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Return for Risk
CHZ-USD vs. ETH-USD — Risk / Return Rank
CHZ-USD
ETH-USD
CHZ-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Chiliz (CHZ-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.
| CHZ-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.11 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 0.94 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.79 | -0.56 | -0.23 |
| Martin ratioReturn relative to average drawdown | -1.68 | -0.88 | -0.80 |
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Drawdowns
CHZ-USD vs. ETH-USD - Drawdown Comparison
The maximum CHZ-USD drawdown since its inception was -97.83%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for CHZ-USD and ETH-USD.
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Drawdown Indicators
| CHZ-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.83% | -94.01% | -3.82% |
Max Drawdown (1Y)Largest decline over 1 year | -72.86% | -67.60% | -5.26% |
Max Drawdown (3Y)Largest decline over 3 years | -89.91% | -67.60% | -22.31% |
Max Drawdown (5Y)Largest decline over 5 years | -97.03% | -79.35% | -17.68% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -97.81% | -62.23% | -35.58% |
Average DrawdownAverage peak-to-trough decline | -72.71% | -50.99% | -21.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 36.84% | 36.62% | +0.22% |
Volatility
CHZ-USD vs. ETH-USD - Volatility Comparison
Chiliz (CHZ-USD) has a higher volatility of 17.91% compared to Ethereum (ETH-USD) at 12.64%. This indicates that CHZ-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
| CHZ-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.91% | 12.64% | +5.27% |
Volatility (6M)Calculated over the trailing 6-month period | 68.38% | 46.73% | +21.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 75.67% | 55.18% | +20.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 83.89% | 58.72% | +25.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 109.36% | 76.84% | +32.52% |
Frequently Asked Questions
CHZ-USD and ETH-USD have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHZ-USD has higher volatility (17.91%) compared to ETH-USD (12.64%). In terms of maximum drawdown, CHZ-USD dropped -97.83% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.57 vs -0.63), 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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