NEO-USD vs. XMR-USD
NEO-USD (NEO) and XMR-USD (Monero) are both cryptocurrencies. Over the past 5 years, NEO-USD returned -47.18%/yr vs 1.55%/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 -28.21% return, which is significantly lower than XMR-USD's -23.06% return.
NEO-USD
- 1D
- -6.41%
- 1M
- -8.55%
- YTD
- -28.21%
- 6M
- -42.02%
- 1Y
- -59.03%
- 3Y*
- -37.91%
- 5Y*
- -47.18%
- 10Y*
- —
XMR-USD
- 1D
- -3.36%
- 1M
- -14.88%
- YTD
- -23.06%
- 6M
- -16.12%
- 1Y
- -7.04%
- 3Y*
- 30.95%
- 5Y*
- 1.55%
- 10Y*
- 79.10%
NEO-USD vs. XMR-USD - Yearly Performance Comparison
Correlation
The correlation between NEO-USD and XMR-USD is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.35 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2016 | 0.51 |
Over the past year, the correlation between NEO-USD and XMR-USD has dropped to 0.30 - 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.
| NEO-USD | XMR-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.77 | -0.09 | -0.69 |
Sortino ratioReturn per unit of downside risk | -1.06 | 0.43 | -1.49 |
Omega ratioGain probability vs. loss probability | 0.89 | 1.05 | -0.16 |
Calmar ratioReturn relative to maximum drawdown | -1.16 | 0.37 | -1.52 |
Martin ratioReturn relative to average drawdown | -1.57 | 0.60 | -2.17 |
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
| NEO-USD | XMR-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.77 | -0.09 | -0.69 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.50 | 0.02 | -0.52 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.75 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.12 | 0.48 | -0.36 |
Drawdowns
NEO-USD vs. XMR-USD - Drawdown Comparison
The maximum NEO-USD drawdown since its inception was -98.70%, 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 | -98.70% | -95.68% | -3.02% |
Max Drawdown (1Y)Largest decline over 1 year | -68.29% | -58.97% | -9.32% |
Max Drawdown (3Y)Largest decline over 3 years | -90.52% | -58.97% | -31.55% |
Max Drawdown (5Y)Largest decline over 5 years | -96.25% | -67.28% | -28.97% |
Max Drawdown (10Y)Largest decline over 10 years | — | -93.09% | — |
Current DrawdownCurrent decline from peak | -98.67% | -53.15% | -45.52% |
Average DrawdownAverage peak-to-trough decline | -84.00% | -62.55% | -21.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 45.23% | 35.79% | +9.44% |
Volatility
NEO-USD vs. XMR-USD - Volatility Comparison
The current volatility for NEO (NEO-USD) is 15.49%, while Monero (XMR-USD) has a volatility of 21.92%. 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 | 15.49% | 21.92% | -6.43% |
Volatility (6M)Calculated over the trailing 6-month period | 46.05% | 63.84% | -17.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 63.34% | 65.47% | -2.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 77.96% | 61.82% | +16.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 114.27% | 87.63% | +26.64% |
Frequently Asked Questions
NEO-USD and XMR-USD have a correlation of 0.30, 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 (21.92%) compared to NEO-USD (15.49%). In terms of maximum drawdown, NEO-USD dropped -98.70% vs XMR-USD's -95.68%.
XMR-USD currently has the higher Sharpe Ratio (-0.09 vs -0.77), 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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