PortfoliosLab logo
ETH-USD vs. USDT-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ETH-USD and USDT-USD is 0.06, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

ETH-USD vs. USDT-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ethereum (ETH-USD) and Tether (USDT-USD). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

ETH-USD:

-0.43

USDT-USD:

0.15

Sortino Ratio

ETH-USD:

0.53

USDT-USD:

0.13

Omega Ratio

ETH-USD:

1.05

USDT-USD:

1.01

Calmar Ratio

ETH-USD:

0.03

USDT-USD:

0.00

Martin Ratio

ETH-USD:

-0.07

USDT-USD:

0.33

Ulcer Index

ETH-USD:

33.39%

USDT-USD:

0.21%

Daily Std Dev

ETH-USD:

60.56%

USDT-USD:

0.61%

Max Drawdown

ETH-USD:

-93.96%

USDT-USD:

-49.72%

Current Drawdown

ETH-USD:

-45.82%

USDT-USD:

-17.02%

Returns By Period

In the year-to-date period, ETH-USD achieves a -21.77% return, which is significantly lower than USDT-USD's 0.24% return.


ETH-USD

YTD

-21.77%

1M

42.17%

6M

-28.46%

1Y

-31.05%

3Y*

13.67%

5Y*

60.58%

10Y*

N/A

USDT-USD

YTD

0.24%

1M

0.02%

6M

0.01%

1Y

0.11%

3Y*

0.04%

5Y*

0.01%

10Y*

0.00%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Ethereum

Tether

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

ETH-USD vs. USDT-USD — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ETH-USD
The Risk-Adjusted Performance Rank of ETH-USD is 5252
Overall Rank
The Sharpe Ratio Rank of ETH-USD is 4444
Sharpe Ratio Rank
The Sortino Ratio Rank of ETH-USD is 5050
Sortino Ratio Rank
The Omega Ratio Rank of ETH-USD is 5050
Omega Ratio Rank
The Calmar Ratio Rank of ETH-USD is 6060
Calmar Ratio Rank
The Martin Ratio Rank of ETH-USD is 5555
Martin Ratio Rank

USDT-USD
The Risk-Adjusted Performance Rank of USDT-USD is 4444
Overall Rank
The Sharpe Ratio Rank of USDT-USD is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of USDT-USD is 3535
Sortino Ratio Rank
The Omega Ratio Rank of USDT-USD is 3535
Omega Ratio Rank
The Calmar Ratio Rank of USDT-USD is 88
Calmar Ratio Rank
The Martin Ratio Rank of USDT-USD is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ETH-USD vs. USDT-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-USD) and Tether (USDT-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.


The current ETH-USD Sharpe Ratio is -0.43, which is lower than the USDT-USD Sharpe Ratio of 0.15. The chart below compares the historical Sharpe Ratios of ETH-USD and USDT-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

ETH-USD vs. USDT-USD - Drawdown Comparison

The maximum ETH-USD drawdown since its inception was -93.96%, which is greater than USDT-USD's maximum drawdown of -49.72%. Use the drawdown chart below to compare losses from any high point for ETH-USD and USDT-USD.


Loading data...

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

ETH-USD vs. USDT-USD - Volatility Comparison

Ethereum (ETH-USD) has a higher volatility of 25.94% compared to Tether (USDT-USD) at 0.13%. This indicates that ETH-USD's price experiences larger fluctuations and is considered to be riskier than USDT-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading data...