NEO-USD vs. XMR-USD
NEO-USD (NEO) and XMR-USD (Monero) are both cryptocurrencies. Over the past 5 years, NEO-USD returned -43.24%/yr vs 7.04%/yr for XMR-USD. A 0.51 correlation means they provide meaningful diversification when combined.
Performance
NEO-USD vs. XMR-USD - Performance Comparison
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Returns By Period
In the year-to-date period, NEO-USD achieves a -41.31% return, which is significantly lower than XMR-USD's -26.92% return.
NEO-USD
- 1D
- -2.79%
- 1M
- -26.93%
- YTD
- -41.31%
- 6M
- -42.54%
- 1Y
- -63.13%
- 3Y*
- -39.13%
- 5Y*
- -43.24%
- 10Y*
- —
XMR-USD
- 1D
- -0.16%
- 1M
- -19.36%
- YTD
- -26.92%
- 6M
- -29.29%
- 1Y
- 1.44%
- 3Y*
- 26.46%
- 5Y*
- 7.04%
- 10Y*
- 70.22%
NEO-USD vs. XMR-USD - Yearly Performance Comparison
Correlation
The correlation between NEO-USD and XMR-USD is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.34 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.46 |
Correlation (All Time) Calculated using the full available price history since Sep 8, 2016 | 0.51 |
Over the past year, the correlation between NEO-USD and XMR-USD has dropped to 0.28 - well below their long-term average of 0.51, suggesting their price drivers have been diverging.
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Return for Risk
NEO-USD vs. XMR-USD — Risk / Return Rank
NEO-USD
XMR-USD
NEO-USD vs. XMR-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NEO (NEO-USD) and Monero (XMR-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.
| NEO-USD | XMR-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.86 | ||
| Sortino ratioReturn per unit of downside risk | -1.90 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 1.07 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | -0.86 | 0.02 | -0.88 |
| Martin ratioReturn relative to average drawdown | -1.30 | 0.04 | -1.34 |
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Drawdowns
NEO-USD vs. XMR-USD - Drawdown Comparison
The maximum NEO-USD drawdown since its inception was -98.91%, roughly equal to the maximum XMR-USD drawdown of -95.68%. Use the drawdown chart below to compare losses from any high point for NEO-USD and XMR-USD.
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Drawdown Indicators
| NEO-USD | XMR-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -98.91% | -95.68% | -3.23% |
Max Drawdown (1Y)Largest decline over 1 year | -73.50% | -58.97% | -14.53% |
Max Drawdown (3Y)Largest decline over 3 years | -92.08% | -58.97% | -33.11% |
Max Drawdown (5Y)Largest decline over 5 years | -96.87% | -67.28% | -29.59% |
Max Drawdown (10Y)Largest decline over 10 years | — | -93.09% | — |
Current DrawdownCurrent decline from peak | -98.91% | -55.50% | -43.41% |
Average DrawdownAverage peak-to-trough decline | -84.06% | -62.51% | -21.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 43.93% | 38.91% | +5.02% |
Volatility
NEO-USD vs. XMR-USD - Volatility Comparison
The current volatility for NEO (NEO-USD) is 14.30%, while Monero (XMR-USD) has a volatility of 36.45%. This indicates that NEO-USD experiences smaller price fluctuations and is considered to be less risky than XMR-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NEO-USD | XMR-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.30% | 36.45% | -22.15% |
Volatility (6M)Calculated over the trailing 6-month period | 46.28% | 68.94% | -22.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 62.91% | 69.35% | -6.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 76.89% | 61.59% | +15.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 126.58% | 87.57% | +39.01% |
Frequently Asked Questions
NEO-USD and XMR-USD have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XMR-USD has higher volatility (36.45%) compared to NEO-USD (14.30%). In terms of maximum drawdown, NEO-USD dropped -98.91% vs XMR-USD's -95.68%.
XMR-USD currently has the higher Sharpe Ratio (0.02 vs -0.84), 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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