LINK-USD vs. ETH-USD
LINK-USD (ChainLink) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, LINK-USD returned -23.04%/yr vs -10.08%/yr for ETH-USD. A 0.68 correlation means they provide meaningful diversification when combined.
Performance
LINK-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, LINK-USD achieves a -39.00% return, which is significantly higher than ETH-USD's -46.29% return.
LINK-USD
- 1D
- -7.19%
- 1M
- -25.67%
- YTD
- -39.00%
- 6M
- -45.32%
- 1Y
- -42.35%
- 3Y*
- 5.89%
- 5Y*
- -23.04%
- 10Y*
- —
ETH-USD
- 1D
- -9.90%
- 1M
- -32.21%
- YTD
- -46.29%
- 6M
- -47.28%
- 1Y
- -34.03%
- 3Y*
- -5.45%
- 5Y*
- -10.08%
- 10Y*
- 59.97%
LINK-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between LINK-USD and ETH-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 20, 2017 | 0.68 |
Over the past year, LINK-USD and ETH-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
LINK-USD vs. ETH-USD — Risk / Return Rank
LINK-USD
ETH-USD
LINK-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ChainLink (LINK-USD) and Ethereum (ETH-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.
| LINK-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.04 | ||
| Sortino ratioReturn per unit of downside risk | -0.04 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 0.96 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.59 | -0.51 | -0.08 |
| Martin ratioReturn relative to average drawdown | -0.89 | -0.89 | 0.00 |
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
| LINK-USD | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.54 | -0.50 | -0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.25 | -0.14 | -0.11 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.64 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.43 | 0.74 | -0.31 |
Drawdowns
LINK-USD vs. ETH-USD - Drawdown Comparison
The maximum LINK-USD drawdown since its inception was -90.19%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for LINK-USD and ETH-USD.
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Drawdown Indicators
| LINK-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.19% | -94.01% | +3.82% |
Max Drawdown (1Y)Largest decline over 1 year | -72.24% | -67.02% | -5.22% |
Max Drawdown (3Y)Largest decline over 3 years | -74.59% | -67.02% | -7.57% |
Max Drawdown (5Y)Largest decline over 5 years | -85.26% | -79.35% | -5.91% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -85.80% | -67.02% | -18.78% |
Average DrawdownAverage peak-to-trough decline | -60.38% | -50.88% | -9.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 50.80% | 44.01% | +6.79% |
Volatility
LINK-USD vs. ETH-USD - Volatility Comparison
ChainLink (LINK-USD) has a higher volatility of 15.45% compared to Ethereum (ETH-USD) at 14.30%. This indicates that LINK-USD's price experiences larger fluctuations and is considered to be riskier than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LINK-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.45% | 14.30% | +1.15% |
Volatility (6M)Calculated over the trailing 6-month period | 44.81% | 46.06% | -1.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 65.50% | 56.49% | +9.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 75.62% | 59.61% | +16.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 100.88% | 78.01% | +22.87% |
Frequently Asked Questions
LINK-USD and ETH-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.
LINK-USD has higher volatility (15.45%) compared to ETH-USD (14.30%). In terms of maximum drawdown, LINK-USD dropped -90.19% vs ETH-USD's -94.01%.
ETH-USD currently has the higher Sharpe Ratio (-0.50 vs -0.54), 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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