MIOTA-USD vs. XEM-USD
MIOTA-USD (IOTA) and XEM-USD (NEM) are both cryptocurrencies. Over the past 5 years, MIOTA-USD returned -42.33%/yr vs -68.89%/yr for XEM-USD. A 0.57 correlation means they provide meaningful diversification when combined.
Performance
MIOTA-USD vs. XEM-USD - Performance Comparison
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Returns By Period
In the year-to-date period, MIOTA-USD achieves a -26.81% return, which is significantly higher than XEM-USD's -54.05% return.
MIOTA-USD
- 1D
- 1.60%
- 1M
- 0.03%
- YTD
- -26.81%
- 6M
- -41.79%
- 1Y
- -66.35%
- 3Y*
- -32.77%
- 5Y*
- -42.33%
- 10Y*
- —
XEM-USD
- 1D
- -5.57%
- 1M
- -19.59%
- YTD
- -54.05%
- 6M
- -60.97%
- 1Y
- -94.18%
- 3Y*
- -73.79%
- 5Y*
- -68.89%
- 10Y*
- —
MIOTA-USD vs. XEM-USD - Yearly Performance Comparison
Correlation
The correlation between MIOTA-USD and XEM-USD is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.35 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017 | 0.57 |
Over the past year, the correlation between MIOTA-USD and XEM-USD has dropped to 0.22 - well below their long-term average of 0.57, suggesting their price drivers have been diverging.
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Return for Risk
MIOTA-USD vs. XEM-USD — Risk / Return Rank
MIOTA-USD
XEM-USD
MIOTA-USD vs. XEM-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for IOTA (MIOTA-USD) and NEM (XEM-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.
| MIOTA-USD | XEM-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.24 | ||
| Sortino ratioReturn per unit of downside risk | +0.11 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 0.76 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | -0.96 | -1.01 | +0.05 |
| Martin ratioReturn relative to average drawdown | -1.41 | -1.18 | -0.23 |
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
| MIOTA-USD | XEM-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.95 | -0.71 | -0.24 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.45 | -0.64 | +0.19 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.21 | -0.38 | +0.17 |
Drawdowns
MIOTA-USD vs. XEM-USD - Drawdown Comparison
The maximum MIOTA-USD drawdown since its inception was -98.99%, roughly equal to the maximum XEM-USD drawdown of -99.97%. Use the drawdown chart below to compare losses from any high point for MIOTA-USD and XEM-USD.
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Drawdown Indicators
| MIOTA-USD | XEM-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -98.99% | -99.97% | +0.98% |
Max Drawdown (1Y)Largest decline over 1 year | -78.31% | -93.07% | +14.76% |
Max Drawdown (3Y)Largest decline over 3 years | -86.57% | -99.14% | +12.57% |
Max Drawdown (5Y)Largest decline over 5 years | -97.29% | -99.79% | +2.50% |
Current DrawdownCurrent decline from peak | -98.92% | -99.97% | +1.05% |
Average DrawdownAverage peak-to-trough decline | -89.52% | -90.08% | +0.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 55.10% | 51.49% | +3.61% |
Volatility
MIOTA-USD vs. XEM-USD - Volatility Comparison
The current volatility for IOTA (MIOTA-USD) is 19.19%, while NEM (XEM-USD) has a volatility of 22.35%. This indicates that MIOTA-USD experiences smaller price fluctuations and is considered to be less risky than XEM-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MIOTA-USD | XEM-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 19.19% | 22.35% | -3.16% |
Volatility (6M)Calculated over the trailing 6-month period | 49.49% | 56.04% | -6.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 66.10% | 112.41% | -46.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 80.43% | 88.88% | -8.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 93.80% | 103.77% | -9.97% |
Frequently Asked Questions
MIOTA-USD and XEM-USD have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XEM-USD has higher volatility (22.35%) compared to MIOTA-USD (19.19%). In terms of maximum drawdown, MIOTA-USD dropped -98.99% vs XEM-USD's -99.97%.
XEM-USD currently has the higher Sharpe Ratio (-0.71 vs -0.95), 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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