ETH-USD vs. BTC-USD
ETH-USD (Ethereum) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 10 years, ETH-USD returned 59.18%/yr vs 57.02%/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 -45.16% return, which is significantly lower than BTC-USD's -29.41% return. Both investments have delivered pretty close results over the past 10 years, with ETH-USD having a 59.18% annualized return and BTC-USD not far behind at 57.02%.
ETH-USD
- 1D
- -0.69%
- 1M
- -30.45%
- YTD
- -45.16%
- 6M
- -51.06%
- 1Y
- -42.23%
- 3Y*
- -2.45%
- 5Y*
- -7.13%
- 10Y*
- 59.18%
BTC-USD
- 1D
- 0.13%
- 1M
- -24.42%
- YTD
- -29.41%
- 6M
- -32.89%
- 1Y
- -44.00%
- 3Y*
- 33.54%
- 5Y*
- 10.59%
- 10Y*
- 57.02%
ETH-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between ETH-USD and BTC-USD is 0.85, 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 | 0.85 |
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 | 0.73 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.66 |
The correlation between ETH-USD and BTC-USD shifts across timeframes, from 0.66 (all time) to 0.85 (1 year), reflecting how their relationship changes across market environments.
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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 | +0.40 | ||
| Sortino ratioReturn per unit of downside risk | +0.85 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 0.84 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.63 | -0.86 | +0.23 |
| Martin ratioReturn relative to average drawdown | -1.09 | -1.51 | +0.43 |
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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 | -67.53% | -51.21% | -16.32% |
Max Drawdown (3Y)Largest decline over 3 years | -67.53% | -51.21% | -16.32% |
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 | -66.32% | -50.48% | -15.84% |
Average DrawdownAverage peak-to-trough decline | -50.88% | -42.33% | -8.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 44.95% | 34.75% | +10.20% |
Volatility
ETH-USD vs. BTC-USD - Volatility Comparison
Ethereum (ETH-USD) has a higher volatility of 16.75% compared to Bitcoin (BTC-USD) at 11.36%. 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 | 16.75% | 11.36% | +5.39% |
Volatility (6M)Calculated over the trailing 6-month period | 46.43% | 34.49% | +11.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.31% | 35.52% | +20.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.61% | 44.73% | +14.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 78.03% | 56.69% | +21.34% |
Frequently Asked Questions
ETH-USD and BTC-USD have a correlation of 0.85, 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 (16.75%) compared to BTC-USD (11.36%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs BTC-USD's -85.30%.
ETH-USD currently has the higher Sharpe Ratio (-0.62 vs -1.03), 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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