CHZ-USD vs. ETH-USD
CHZ-USD (Chiliz) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, CHZ-USD returned -39.22%/yr vs -2.56%/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 -52.84% return, which is significantly lower than ETH-USD's -41.71% return.
CHZ-USD
- 1D
- -3.40%
- 1M
- -47.21%
- YTD
- -52.84%
- 6M
- -44.41%
- 1Y
- -38.39%
- 3Y*
- -36.39%
- 5Y*
- -39.22%
- 10Y*
- —
ETH-USD
- 1D
- 1.44%
- 1M
- -18.24%
- YTD
- -41.71%
- 6M
- -42.50%
- 1Y
- -22.40%
- 3Y*
- -2.98%
- 5Y*
- -2.56%
- 10Y*
- 61.25%
CHZ-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between CHZ-USD and ETH-USD is 0.58, 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 | 0.58 |
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 0.58 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 | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.04 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 0.99 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.57 | -0.33 | -0.23 |
| Martin ratioReturn relative to average drawdown | -1.28 | -0.55 | -0.73 |
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Drawdowns
CHZ-USD vs. ETH-USD - Drawdown Comparison
The maximum CHZ-USD drawdown since its inception was -97.43%, 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 | -97.43% | -94.01% | -3.42% |
Max Drawdown (1Y)Largest decline over 1 year | -67.85% | -67.53% | -0.32% |
Max Drawdown (3Y)Largest decline over 3 years | -88.05% | -67.53% | -20.52% |
Max Drawdown (5Y)Largest decline over 5 years | -96.48% | -79.35% | -17.13% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -97.43% | -64.21% | -33.22% |
Average DrawdownAverage peak-to-trough decline | -72.51% | -50.92% | -21.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 31.32% | 40.98% | -9.66% |
Volatility
CHZ-USD vs. ETH-USD - Volatility Comparison
Chiliz (CHZ-USD) has a higher volatility of 32.75% compared to Ethereum (ETH-USD) at 17.95%. 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 | 32.75% | 17.95% | +14.80% |
Volatility (6M)Calculated over the trailing 6-month period | 70.13% | 46.13% | +24.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 76.02% | 56.02% | +20.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 84.01% | 59.17% | +24.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 109.68% | 77.04% | +32.64% |
Frequently Asked Questions
CHZ-USD and ETH-USD have a correlation of 0.58, 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 (32.75%) compared to ETH-USD (17.95%). In terms of maximum drawdown, CHZ-USD dropped -97.43% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.33 vs -0.42), 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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