MKR-USD vs. BTC-USD
MKR-USD (Maker) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 5 years, MKR-USD returned -16.63%/yr vs 11.35%/yr for BTC-USD. A 0.57 correlation means they provide meaningful diversification when combined.
Performance
MKR-USD vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, MKR-USD achieves a 25.60% return, which is significantly higher than BTC-USD's -29.97% return.
MKR-USD
- 1D
- 0.05%
- 1M
- -4.88%
- YTD
- 25.60%
- 6M
- 35.09%
- 1Y
- -2.50%
- 3Y*
- 39.84%
- 5Y*
- -16.63%
- 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%
MKR-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between MKR-USD and BTC-USD is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.51 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Aug 27, 2017 | 0.57 |
The correlation between MKR-USD and BTC-USD has been stable across timeframes, ranging from 0.47 to 0.57 - a consistent structural relationship.
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Return for Risk
MKR-USD vs. BTC-USD — Risk / Return Rank
MKR-USD
BTC-USD
MKR-USD vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Maker (MKR-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.
| MKR-USD | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.97 | ||
| Sortino ratioReturn per unit of downside risk | +1.93 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.87 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.06 | -0.78 | +0.84 |
| Martin ratioReturn relative to average drawdown | 0.12 | -1.39 | +1.51 |
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
| MKR-USD | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.05 | -0.93 | +0.97 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.19 | 0.21 | -0.40 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.87 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 1.13 | -0.92 |
Drawdowns
MKR-USD vs. BTC-USD - Drawdown Comparison
The maximum MKR-USD drawdown since its inception was -91.59%, 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 MKR-USD and BTC-USD.
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Drawdown Indicators
| MKR-USD | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -91.59% | -85.30% | -6.29% |
Max Drawdown (1Y)Largest decline over 1 year | -57.25% | -50.87% | -6.38% |
Max Drawdown (3Y)Largest decline over 3 years | -77.22% | -50.87% | -26.35% |
Max Drawdown (5Y)Largest decline over 5 years | -87.00% | -76.67% | -10.33% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -71.81% | -50.87% | -20.94% |
Average DrawdownAverage peak-to-trough decline | -66.20% | -42.29% | -23.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.21% | 34.02% | -13.81% |
Volatility
MKR-USD vs. BTC-USD - Volatility Comparison
Maker (MKR-USD) has a higher volatility of 17.38% compared to Bitcoin (BTC-USD) at 10.54%. This indicates that MKR-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
| MKR-USD | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.38% | 10.54% | +6.84% |
Volatility (6M)Calculated over the trailing 6-month period | 46.16% | 34.26% | +11.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 62.51% | 35.65% | +26.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 76.29% | 44.98% | +31.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 90.49% | 56.70% | +33.79% |
Frequently Asked Questions
MKR-USD and BTC-USD have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MKR-USD has higher volatility (17.38%) compared to BTC-USD (10.54%). In terms of maximum drawdown, MKR-USD dropped -91.59% vs BTC-USD's -85.30%.
MKR-USD currently has the higher Sharpe Ratio (0.05 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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