ETH-USD vs. LINK-USD
ETH-USD (Ethereum) and LINK-USD (Chainlink) are both cryptocurrencies. Over the past 5 years, ETH-USD returned -4.58%/yr vs -16.95%/yr for LINK-USD. A 0.68 correlation means they provide meaningful diversification when combined.
Performance
ETH-USD vs. LINK-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ETH-USD achieves a -42.29% return, which is significantly lower than LINK-USD's -34.28% return.
ETH-USD
- 1D
- -2.11%
- 1M
- -18.86%
- YTD
- -42.29%
- 6M
- -39.43%
- 1Y
- -32.21%
- 3Y*
- -0.47%
- 5Y*
- -4.58%
- 10Y*
- 64.49%
LINK-USD
- 1D
- -0.94%
- 1M
- -15.17%
- YTD
- -34.28%
- 6M
- -32.87%
- 1Y
- -38.98%
- 3Y*
- 15.98%
- 5Y*
- -16.95%
- 10Y*
- —
ETH-USD vs. LINK-USD - Yearly Performance Comparison
Correlation
The correlation between ETH-USD and LINK-USD is 0.90, 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 | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2017 | 0.68 |
Over the past year, ETH-USD and LINK-USD have become more correlated (0.90) than their long-term average of 0.68, meaning their price movements have been converging.
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Return for Risk
ETH-USD vs. LINK-USD — Risk / Return Rank
ETH-USD
LINK-USD
ETH-USD vs. LINK-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-USD) and Chainlink (LINK-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 | LINK-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.97 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.48 | -0.54 | +0.06 |
| Martin ratioReturn relative to average drawdown | -0.81 | -0.79 | -0.01 |
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Drawdowns
ETH-USD vs. LINK-USD - Drawdown Comparison
The maximum ETH-USD drawdown since its inception was -94.01%, roughly equal to the maximum LINK-USD drawdown of -90.19%. Use the drawdown chart below to compare losses from any high point for ETH-USD and LINK-USD.
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Drawdown Indicators
| ETH-USD | LINK-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -94.01% | -90.19% | -3.82% |
Max Drawdown (1Y)Largest decline over 1 year | -67.53% | -72.50% | +4.97% |
Max Drawdown (3Y)Largest decline over 3 years | -67.53% | -74.83% | +7.30% |
Max Drawdown (5Y)Largest decline over 5 years | -79.35% | -85.26% | +5.91% |
Max Drawdown (10Y)Largest decline over 10 years | -94.01% | — | — |
Current DrawdownCurrent decline from peak | -64.56% | -84.70% | +20.14% |
Average DrawdownAverage peak-to-trough decline | -50.91% | -60.46% | +9.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 41.36% | 45.37% | -4.01% |
Volatility
ETH-USD vs. LINK-USD - Volatility Comparison
Ethereum (ETH-USD) has a higher volatility of 18.15% compared to Chainlink (LINK-USD) at 16.90%. This indicates that ETH-USD's price experiences larger fluctuations and is considered to be riskier than LINK-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 | LINK-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 18.15% | 16.90% | +1.25% |
Volatility (6M)Calculated over the trailing 6-month period | 46.36% | 45.05% | +1.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.22% | 64.80% | -8.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.48% | 75.23% | -15.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 77.21% | 100.84% | -23.63% |
Frequently Asked Questions
ETH-USD and LINK-USD have a correlation of 0.90, 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 (18.15%) compared to LINK-USD (16.90%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs LINK-USD's -90.19%.
ETH-USD currently has the higher Sharpe Ratio (-0.48 vs -0.50), 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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