ETH-USD vs. AAVE-USD
ETH-USD (Ethereum) and AAVE-USD (Aave) are both cryptocurrencies. Over the past 5 years, ETH-USD returned -7.86%/yr vs -27.28%/yr for AAVE-USD. A 0.74 correlation means they provide meaningful diversification when combined.
Performance
ETH-USD vs. AAVE-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ETH-USD achieves a -43.80% return, which is significantly higher than AAVE-USD's -55.84% return.
ETH-USD
- 1D
- -0.28%
- 1M
- -26.16%
- YTD
- -43.80%
- 6M
- -45.95%
- 1Y
- -36.94%
- 3Y*
- -1.40%
- 5Y*
- -7.86%
- 10Y*
- 56.61%
AAVE-USD
- 1D
- 0.14%
- 1M
- -33.18%
- YTD
- -55.84%
- 6M
- -66.36%
- 1Y
- -78.11%
- 3Y*
- 5.36%
- 5Y*
- -27.28%
- 10Y*
- —
ETH-USD vs. AAVE-USD - Yearly Performance Comparison
Correlation
The correlation between ETH-USD and AAVE-USD is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Oct 2, 2020 | 0.74 |
The correlation between ETH-USD and AAVE-USD has been stable across timeframes, ranging from 0.74 to 0.81 - a consistent structural relationship.
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Return for Risk
ETH-USD vs. AAVE-USD — Risk / Return Rank
ETH-USD
AAVE-USD
ETH-USD vs. AAVE-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-USD) and Aave (AAVE-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.
| ETH-USD | AAVE-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.39 | ||
| Sortino ratioReturn per unit of downside risk | +1.37 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 0.82 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | -0.55 | -0.94 | +0.39 |
| Martin ratioReturn relative to average drawdown | -0.94 | -1.51 | +0.56 |
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Drawdowns
ETH-USD vs. AAVE-USD - Drawdown Comparison
The maximum ETH-USD drawdown since its inception was -94.01%, roughly equal to the maximum AAVE-USD drawdown of -92.10%. Use the drawdown chart below to compare losses from any high point for ETH-USD and AAVE-USD.
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Drawdown Indicators
| ETH-USD | AAVE-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -94.01% | -92.10% | -1.91% |
Max Drawdown (1Y)Largest decline over 1 year | -67.53% | -82.96% | +15.43% |
Max Drawdown (3Y)Largest decline over 3 years | -67.53% | -84.08% | +16.55% |
Max Drawdown (5Y)Largest decline over 5 years | -79.35% | -88.40% | +9.05% |
Max Drawdown (10Y)Largest decline over 10 years | -94.01% | — | — |
Current DrawdownCurrent decline from peak | -65.49% | -89.76% | +24.27% |
Average DrawdownAverage peak-to-trough decline | -50.89% | -68.48% | +17.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 45.31% | 54.76% | -9.45% |
Volatility
ETH-USD vs. AAVE-USD - Volatility Comparison
The current volatility for Ethereum (ETH-USD) is 17.22%, while Aave (AAVE-USD) has a volatility of 19.32%. This indicates that ETH-USD experiences smaller price fluctuations and is considered to be less risky than AAVE-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ETH-USD | AAVE-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.22% | 19.32% | -2.10% |
Volatility (6M)Calculated over the trailing 6-month period | 46.29% | 57.47% | -11.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.20% | 69.50% | -13.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.59% | 82.99% | -23.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 77.89% | 3,547.74% | -3,469.85% |
Frequently Asked Questions
ETH-USD and AAVE-USD have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AAVE-USD has higher volatility (19.32%) compared to ETH-USD (17.22%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs AAVE-USD's -92.10%.
ETH-USD currently has the higher Sharpe Ratio (-0.55 vs -0.93), 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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