ENJ-USD vs. XLM-USD
ENJ-USD (EnjinCoin) and XLM-USD (Stellar) are both cryptocurrencies. Over the past 5 years, ENJ-USD returned -54.15%/yr vs -11.72%/yr for XLM-USD. A 0.58 correlation means they provide meaningful diversification when combined.
Performance
ENJ-USD vs. XLM-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 XLM-USD's 1.58% 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*
- —
XLM-USD
- 1D
- 1.22%
- 1M
- 26.16%
- YTD
- 1.58%
- 6M
- -14.97%
- 1Y
- -20.73%
- 3Y*
- 31.50%
- 5Y*
- -11.72%
- 10Y*
- 63.56%
ENJ-USD vs. XLM-USD - Yearly Performance Comparison
Correlation
The correlation between ENJ-USD and XLM-USD is 0.59, 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 | 0.59 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.60 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.64 |
Correlation (All Time) Calculated using the full available price history since Nov 1, 2017 | 0.58 |
The correlation between ENJ-USD and XLM-USD has been stable across timeframes, ranging from 0.58 to 0.64 - a consistent structural relationship.
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Return for Risk
ENJ-USD vs. XLM-USD — Risk / Return Rank
ENJ-USD
XLM-USD
ENJ-USD vs. XLM-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for EnjinCoin (ENJ-USD) and Stellar (XLM-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 | XLM-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.44 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.02 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | -0.29 | -0.42 |
| Martin ratioReturn relative to average drawdown | -1.07 | -0.42 | -0.64 |
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 | XLM-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.47 | -0.25 | -0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.50 | -0.13 | -0.37 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.47 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.09 | 0.34 | -0.24 |
Drawdowns
ENJ-USD vs. XLM-USD - Drawdown Comparison
The maximum ENJ-USD drawdown since its inception was -99.61%, roughly equal to the maximum XLM-USD drawdown of -96.21%. Use the drawdown chart below to compare losses from any high point for ENJ-USD and XLM-USD.
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Drawdown Indicators
| ENJ-USD | XLM-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.61% | -96.21% | -3.40% |
Max Drawdown (1Y)Largest decline over 1 year | -80.85% | -71.19% | -9.66% |
Max Drawdown (3Y)Largest decline over 3 years | -97.45% | -74.37% | -23.08% |
Max Drawdown (5Y)Largest decline over 5 years | -99.61% | -83.25% | -16.36% |
Max Drawdown (10Y)Largest decline over 10 years | — | -96.21% | — |
Current DrawdownCurrent decline from peak | -99.33% | -76.88% | -22.45% |
Average DrawdownAverage peak-to-trough decline | -77.95% | -72.13% | -5.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 52.53% | 49.64% | +2.89% |
Volatility
ENJ-USD vs. XLM-USD - Volatility Comparison
The current volatility for EnjinCoin (ENJ-USD) is 19.99%, while Stellar (XLM-USD) has a volatility of 42.72%. This indicates that ENJ-USD experiences smaller price fluctuations and is considered to be less risky than XLM-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 | XLM-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 19.99% | 42.72% | -22.73% |
Volatility (6M)Calculated over the trailing 6-month period | 91.52% | 58.72% | +32.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 101.54% | 70.28% | +31.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 89.76% | 74.83% | +14.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 123.80% | 112.81% | +10.99% |
Frequently Asked Questions
ENJ-USD and XLM-USD have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XLM-USD has higher volatility (42.72%) compared to ENJ-USD (19.99%). In terms of maximum drawdown, ENJ-USD dropped -99.61% vs XLM-USD's -96.21%.
XLM-USD currently has the higher Sharpe Ratio (-0.25 vs -0.47), 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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