HEX-USD vs. BTC-USD
HEX-USD (HEX) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 5 years, HEX-USD returned -68.14%/yr vs 13.75%/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
In the year-to-date period, HEX-USD achieves a -49.43% return, which is significantly lower than BTC-USD's -28.58% return.
HEX-USD
- 1D
- -3.49%
- 1M
- -10.98%
- 6M
- -59.81%
- YTD
- -49.43%
- 1Y
- -76.40%
- 3Y*
- -66.52%
- 5Y*
- -68.14%
- 10Y*
- —
BTC-USD
- 1D
- -1.96%
- 1M
- -3.01%
- 6M
- -31.47%
- YTD
- -28.58%
- 1Y
- -47.54%
- 3Y*
- 27.25%
- 5Y*
- 13.75%
- 10Y*
- 57.45%
HEX-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between HEX-USD and BTC-USD is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
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 17, 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.
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.
| HEX-USD | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.47 | ||
| Sortino ratioReturn per unit of downside risk | +0.74 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 0.83 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.90 | -0.90 | 0.00 |
| Martin ratioReturn relative to average drawdown | -1.23 | -1.46 | +0.23 |
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Drawdowns
HEX-USD vs. BTC-USD - Drawdown Comparison
The maximum HEX-USD drawdown since its inception was -99.92%, 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 | -99.92% | -85.30% | -14.62% |
Max Drawdown (1Y)Largest decline over 1 year | -86.84% | -53.08% | -33.76% |
Max Drawdown (3Y)Largest decline over 3 years | -96.37% | -53.08% | -43.29% |
Max Drawdown (5Y)Largest decline over 5 years | -99.92% | -76.67% | -23.25% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -99.92% | -49.89% | -50.03% |
Average DrawdownAverage peak-to-trough decline | -75.07% | -42.55% | -32.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 66.10% | 28.99% | +37.11% |
Volatility
HEX-USD vs. BTC-USD - Volatility Comparison
HEX (HEX-USD) has a higher volatility of 19.86% compared to Bitcoin (BTC-USD) at 8.86%. 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 | 19.86% | 8.86% | +11.00% |
Volatility (6M)Calculated over the trailing 6-month period | 71.69% | 34.96% | +36.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 101.42% | 35.56% | +65.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 129.74% | 43.94% | +85.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 157.07% | 56.32% | +100.75% |
Frequently Asked Questions
HEX-USD and BTC-USD have a correlation of 0.40, 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 (19.86%) compared to BTC-USD (8.86%). In terms of maximum drawdown, HEX-USD dropped -99.92% vs BTC-USD's -85.30%.
HEX-USD currently has the higher Sharpe Ratio (-0.64 vs -1.11), 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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