HEX-USD vs. BTC-USD
HEX-USD (HEX) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 5 years, HEX-USD returned -58.74%/yr vs 11.35%/yr for BTC-USD. At a 0.33 correlation, their price movements are largely independent.
Performance
HEX-USD vs. BTC-USD - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with HEX-USD having a -31.32% return and BTC-USD slightly higher at -29.97%.
HEX-USD
- 1D
- 0.06%
- 1M
- -9.26%
- YTD
- -31.32%
- 6M
- -47.21%
- 1Y
- -70.33%
- 3Y*
- -69.73%
- 5Y*
- -58.74%
- 10Y*
- —
BTC-USD
- 1D
- -3.97%
- 1M
- -24.76%
- YTD
- -29.97%
- 6M
- -31.42%
- 1Y
- -39.67%
- 3Y*
- 31.02%
- 5Y*
- 11.35%
- 10Y*
- 59.37%
HEX-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between HEX-USD and BTC-USD is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Dec 18, 2019 | 0.33 |
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Return for Risk
HEX-USD vs. BTC-USD — Risk / Return Rank
HEX-USD
BTC-USD
HEX-USD vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for HEX (HEX-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.
| HEX-USD | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.28 | ||
| Sortino ratioReturn per unit of downside risk | +0.31 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 0.87 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.93 | -0.78 | -0.15 |
| Martin ratioReturn relative to average drawdown | -1.35 | -1.39 | +0.04 |
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
| HEX-USD | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.64 | -0.93 | +0.28 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.37 | 0.21 | -0.58 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.87 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.10 | 1.13 | -1.02 |
Drawdowns
HEX-USD vs. BTC-USD - Drawdown Comparison
The maximum HEX-USD drawdown since its inception was -99.90%, 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 HEX-USD and BTC-USD.
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Drawdown Indicators
| HEX-USD | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.90% | -85.30% | -14.60% |
Max Drawdown (1Y)Largest decline over 1 year | -83.25% | -50.87% | -32.38% |
Max Drawdown (3Y)Largest decline over 3 years | -95.60% | -50.87% | -44.73% |
Max Drawdown (5Y)Largest decline over 5 years | -99.90% | -76.67% | -23.23% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -99.89% | -50.87% | -49.02% |
Average DrawdownAverage peak-to-trough decline | -74.71% | -42.29% | -32.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 66.52% | 34.02% | +32.50% |
Volatility
HEX-USD vs. BTC-USD - Volatility Comparison
HEX (HEX-USD) has a higher volatility of 15.86% compared to Bitcoin (BTC-USD) at 10.54%. This indicates that HEX-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
| HEX-USD | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.86% | 10.54% | +5.32% |
Volatility (6M)Calculated over the trailing 6-month period | 74.37% | 34.26% | +40.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 100.25% | 35.65% | +64.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 130.53% | 44.98% | +85.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 157.86% | 56.70% | +101.16% |
Frequently Asked Questions
HEX-USD and BTC-USD have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HEX-USD has higher volatility (15.86%) compared to BTC-USD (10.54%). In terms of maximum drawdown, HEX-USD dropped -99.90% vs BTC-USD's -85.30%.
HEX-USD currently has the higher Sharpe Ratio (-0.64 vs -0.93), 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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