ENJ-USD vs. ETH-USD
ENJ-USD (EnjinCoin) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, ENJ-USD returned -54.15%/yr vs -10.08%/yr for ETH-USD. A 0.61 correlation means they provide meaningful diversification when combined.
Performance
ENJ-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ENJ-USD achieves a 8.70% return, which is significantly higher than ETH-USD's -46.29% return.
ENJ-USD
- 1D
- -5.81%
- 1M
- -40.58%
- YTD
- 8.70%
- 6M
- -4.07%
- 1Y
- -57.20%
- 3Y*
- -54.60%
- 5Y*
- -54.15%
- 10Y*
- —
ETH-USD
- 1D
- -9.90%
- 1M
- -32.21%
- YTD
- -46.29%
- 6M
- -47.28%
- 1Y
- -34.03%
- 3Y*
- -5.45%
- 5Y*
- -10.08%
- 10Y*
- 59.97%
ENJ-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between ENJ-USD and ETH-USD is 0.60, 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 | 0.60 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.69 |
Correlation (All Time) Calculated using the full available price history since Nov 1, 2017 | 0.61 |
The correlation between ENJ-USD and ETH-USD has been stable across timeframes, ranging from 0.60 to 0.69 - a consistent structural relationship.
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Return for Risk
ENJ-USD vs. ETH-USD — Risk / Return Rank
ENJ-USD
ETH-USD
ENJ-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for EnjinCoin (ENJ-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.
| ENJ-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.04 | ||
| Sortino ratioReturn per unit of downside risk | +0.18 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.96 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | -0.51 | -0.20 |
| Martin ratioReturn relative to average drawdown | -1.07 | -0.89 | -0.17 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ENJ-USD | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.47 | -0.50 | +0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.50 | -0.14 | -0.36 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.64 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.09 | 0.74 | -0.65 |
Drawdowns
ENJ-USD vs. ETH-USD - Drawdown Comparison
The maximum ENJ-USD drawdown since its inception was -99.61%, which is greater than ETH-USD's maximum drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for ENJ-USD and ETH-USD.
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Drawdown Indicators
| ENJ-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.61% | -94.01% | -5.60% |
Max Drawdown (1Y)Largest decline over 1 year | -80.85% | -67.02% | -13.83% |
Max Drawdown (3Y)Largest decline over 3 years | -97.45% | -67.02% | -30.43% |
Max Drawdown (5Y)Largest decline over 5 years | -99.61% | -79.35% | -20.26% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -99.33% | -67.02% | -32.31% |
Average DrawdownAverage peak-to-trough decline | -77.95% | -50.88% | -27.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 52.53% | 44.01% | +8.52% |
Volatility
ENJ-USD vs. ETH-USD - Volatility Comparison
EnjinCoin (ENJ-USD) has a higher volatility of 19.99% compared to Ethereum (ETH-USD) at 14.30%. This indicates that ENJ-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
| ENJ-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 19.99% | 14.30% | +5.69% |
Volatility (6M)Calculated over the trailing 6-month period | 91.52% | 46.06% | +45.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 101.54% | 56.49% | +45.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 89.76% | 59.61% | +30.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 123.80% | 78.01% | +45.79% |
Frequently Asked Questions
ENJ-USD and ETH-USD have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ENJ-USD has higher volatility (19.99%) compared to ETH-USD (14.30%). In terms of maximum drawdown, ENJ-USD dropped -99.61% vs ETH-USD's -94.01%.
ENJ-USD currently has the higher Sharpe Ratio (-0.47 vs -0.50), 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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