ETH-USD vs. ATOM-USD
ETH-USD (Ethereum) and ATOM-USD (Cosmos) are both cryptocurrencies. Over the past 5 years, ETH-USD returned -8.64%/yr vs -34.04%/yr for ATOM-USD. A 0.64 correlation means they provide meaningful diversification when combined.
Performance
ETH-USD vs. ATOM-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ETH-USD achieves a -43.98% return, which is significantly lower than ATOM-USD's -9.66% return.
ETH-USD
- 1D
- -1.64%
- 1M
- -28.55%
- YTD
- -43.98%
- 6M
- -46.81%
- 1Y
- -33.81%
- 3Y*
- -3.34%
- 5Y*
- -8.64%
- 10Y*
- 61.34%
ATOM-USD
- 1D
- 1.52%
- 1M
- -10.12%
- YTD
- -9.66%
- 6M
- -22.56%
- 1Y
- -59.25%
- 3Y*
- -42.54%
- 5Y*
- -34.04%
- 10Y*
- —
ETH-USD vs. ATOM-USD - Yearly Performance Comparison
Correlation
The correlation between ETH-USD and ATOM-USD is 0.70, 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 | 0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.69 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Mar 14, 2019 | 0.64 |
The correlation between ETH-USD and ATOM-USD has been stable across timeframes, ranging from 0.64 to 0.70 - a consistent structural relationship.
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Return for Risk
ETH-USD vs. ATOM-USD — Risk / Return Rank
ETH-USD
ATOM-USD
ETH-USD vs. ATOM-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-USD) and Cosmos (ATOM-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.
| ETH-USD | ATOM-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.37 | ||
| Sortino ratioReturn per unit of downside risk | +0.93 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 0.87 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | -0.86 | +0.36 |
| Martin ratioReturn relative to average drawdown | -0.88 | -1.24 | +0.36 |
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
| ETH-USD | ATOM-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.50 | -0.87 | +0.37 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.12 | -0.36 | +0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.75 | -0.15 | +0.90 |
Drawdowns
ETH-USD vs. ATOM-USD - Drawdown Comparison
The maximum ETH-USD drawdown since its inception was -94.01%, roughly equal to the maximum ATOM-USD drawdown of -96.33%. Use the drawdown chart below to compare losses from any high point for ETH-USD and ATOM-USD.
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Drawdown Indicators
| ETH-USD | ATOM-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -94.01% | -96.33% | +2.32% |
Max Drawdown (1Y)Largest decline over 1 year | -67.53% | -68.62% | +1.09% |
Max Drawdown (3Y)Largest decline over 3 years | -67.53% | -88.56% | +21.03% |
Max Drawdown (5Y)Largest decline over 5 years | -79.35% | -96.33% | +16.98% |
Max Drawdown (10Y)Largest decline over 10 years | -94.01% | — | — |
Current DrawdownCurrent decline from peak | -65.60% | -96.07% | +30.47% |
Average DrawdownAverage peak-to-trough decline | -50.89% | -65.02% | +14.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 44.58% | 48.93% | -4.35% |
Volatility
ETH-USD vs. ATOM-USD - Volatility Comparison
The current volatility for Ethereum (ETH-USD) is 16.88%, while Cosmos (ATOM-USD) has a volatility of 19.00%. This indicates that ETH-USD experiences smaller price fluctuations and is considered to be less risky than ATOM-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 | ATOM-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 16.88% | 19.00% | -2.12% |
Volatility (6M)Calculated over the trailing 6-month period | 46.80% | 42.78% | +4.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.55% | 56.49% | +0.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.65% | 78.05% | -18.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 78.04% | 90.70% | -12.66% |
Frequently Asked Questions
ETH-USD and ATOM-USD have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ATOM-USD has higher volatility (19.00%) compared to ETH-USD (16.88%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs ATOM-USD's -96.33%.
ETH-USD currently has the higher Sharpe Ratio (-0.50 vs -0.87), 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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