ETH-USD vs. BTC-USD
ETH-USD (Ethereum) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 10 years, ETH-USD returned 63.13%/yr vs 58.69%/yr for BTC-USD. A 0.66 correlation means they provide meaningful diversification when combined.
Performance
ETH-USD vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ETH-USD achieves a -34.68% return, which is significantly lower than BTC-USD's -23.90% return. Over the past 10 years, ETH-USD has outperformed BTC-USD with an annualized return of 63.13%, while BTC-USD has yielded a comparatively lower 58.69% annualized return.
ETH-USD
- 1D
- 1.81%
- 1M
- 13.68%
- 6M
- -34.00%
- YTD
- -34.68%
- 1Y
- -48.51%
- 3Y*
- 1.26%
- 5Y*
- -0.87%
- 10Y*
- 63.13%
- ALL TIME*
- 80.53%
BTC-USD
- 1D
- 2.10%
- 1M
- 5.29%
- 6M
- -24.60%
- YTD
- -23.90%
- 1Y
- -43.30%
- 3Y*
- 30.74%
- 5Y*
- 15.58%
- 10Y*
- 58.69%
- ALL TIME*
- 89.03%
ETH-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between ETH-USD and BTC-USD is 0.87, 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 | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.74 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.66 |
Over the past year, ETH-USD and BTC-USD have become more correlated (0.87) than their long-term average of 0.66, meaning their price movements have been converging.
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Return for Risk
ETH-USD vs. BTC-USD — Risk / Return Rank
ETH-USD
BTC-USD
ETH-USD vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-USD) and Bitcoin (BTC-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 | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.27 | ||
| Sortino ratioReturn per unit of downside risk | +0.52 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.85 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.72 | -0.82 | +0.10 |
| Martin ratioReturn relative to average drawdown | -1.09 | -1.30 | +0.20 |
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Drawdowns
ETH-USD vs. BTC-USD - Drawdown Comparison
The maximum ETH-USD drawdown since its inception was -94.01%, which is greater than BTC-USD's maximum drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for ETH-USD and BTC-USD.
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Drawdown Indicators
| ETH-USD | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -94.01% | -85.30% | -8.71% |
Max Drawdown (1Y)Largest decline over 1 year | -67.60% | -53.08% | -14.52% |
Max Drawdown (3Y)Largest decline over 3 years | -67.60% | -53.08% | -14.52% |
Max Drawdown (5Y)Largest decline over 5 years | -79.35% | -76.67% | -2.68% |
Max Drawdown (10Y)Largest decline over 10 years | -94.01% | -83.80% | -10.21% |
Current DrawdownCurrent decline from peak | -59.89% | -46.61% | -13.28% |
Average DrawdownAverage peak-to-trough decline | -51.02% | -42.62% | -8.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.76% | 27.11% | +7.65% |
Volatility
ETH-USD vs. BTC-USD - Volatility Comparison
Ethereum (ETH-USD) has a higher volatility of 13.23% compared to Bitcoin (BTC-USD) at 9.38%. This indicates that ETH-USD's price experiences larger fluctuations and is considered to be riskier than BTC-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 | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.23% | 9.38% | +3.85% |
Volatility (6M)Calculated over the trailing 6-month period | 46.00% | 34.69% | +11.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 54.84% | 35.80% | +19.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 58.55% | 43.84% | +14.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 76.65% | 56.33% | +20.32% |
Frequently Asked Questions
ETH-USD and BTC-USD have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (13.23%) compared to BTC-USD (9.38%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs BTC-USD's -85.30%.
ETH-USD currently has the higher Sharpe Ratio (-0.73 vs -1.01), 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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