NEO-USD vs. ZEC-USD
NEO-USD (NEO) and ZEC-USD (ZCash) are both cryptocurrencies. Over the past 5 years, NEO-USD returned -46.47%/yr vs 33.54%/yr for ZEC-USD. Their 0.61 correlation means they have sometimes moved together and sometimes differently.
Performance
NEO-USD vs. ZEC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, NEO-USD achieves a -48.15% return, which is significantly lower than ZEC-USD's -5.10% return.
NEO-USD
- 1D
- -0.19%
- 1M
- -9.13%
- 6M
- -42.03%
- YTD
- -48.15%
- 1Y
- -67.92%
- 3Y*
- -40.18%
- 5Y*
- -46.47%
- 10Y*
- —
- ALL TIME*
- 26.23%
ZEC-USD
- 1D
- 4.99%
- 1M
- 5.13%
- 6M
- 58.40%
- YTD
- -5.10%
- 1Y
- 1,272.96%
- 3Y*
- 153.65%
- 5Y*
- 33.54%
- 10Y*
- —
- ALL TIME*
- 27.27%
Liquidity Comparison
NEO-USD vs. ZEC-USD - Yearly Performance Comparison
Correlation
The correlation between NEO-USD and ZEC-USD is 0.40, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.40 |
Correlation (3Y) Balances recent behavior with more history. | 0.52 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.58 |
Correlation (All Time) Calculated using the full available price history since Dec 31, 2016 | 0.61 |
Over the past year, the correlation between NEO-USD and ZEC-USD has dropped to 0.40 - well below their long-term average of 0.61, suggesting their price drivers have been diverging.
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Return for Risk
NEO-USD vs. ZEC-USD — Risk / Return Rank
NEO-USD
ZEC-USD
NEO-USD vs. ZEC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NEO (NEO-USD) and ZCash (ZEC-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 | ZEC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -8.92 | ||
| Sortino ratioReturn per unit of downside risk | -6.07 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.45 | -0.61 |
| Calmar ratioReturn relative to maximum drawdown | -0.89 | 17.74 | -18.62 |
| Martin ratioReturn relative to average drawdown | -1.25 | 32.65 | -33.90 |
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Drawdowns
NEO-USD vs. ZEC-USD - Drawdown Comparison
The maximum NEO-USD drawdown since its inception was -99.04%, roughly equal to the maximum ZEC-USD drawdown of -97.92%. Use the drawdown chart below to compare losses from any high point for NEO-USD and ZEC-USD.
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Drawdown Indicators
| NEO-USD | ZEC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.04% | -97.92% | -1.12% |
Max Drawdown (1Y)Largest decline over 1 year | -76.66% | -71.77% | -4.89% |
Max Drawdown (3Y)Largest decline over 3 years | -93.02% | -71.77% | -21.25% |
Max Drawdown (5Y)Largest decline over 5 years | -97.24% | -93.77% | -3.47% |
Current DrawdownCurrent decline from peak | -99.04% | -45.00% | -54.04% |
Average DrawdownAverage peak-to-trough decline | -84.23% | -80.42% | -3.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 37.66% | 36.72% | +0.94% |
Volatility
NEO-USD vs. ZEC-USD - Volatility Comparison
The current volatility for NEO (NEO-USD) is 10.45%, while ZCash (ZEC-USD) has a volatility of 24.24%. This indicates that NEO-USD experiences smaller price fluctuations and is considered to be less risky than ZEC-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 | ZEC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.45% | 24.24% | -13.79% |
Volatility (6M)Calculated over the trailing 6-month period | 42.73% | 94.75% | -52.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 60.07% | 132.63% | -72.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 75.95% | 91.31% | -15.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 125.92% | 97.72% | +28.20% |
Frequently Asked Questions
NEO-USD and ZEC-USD have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZEC-USD has higher volatility (24.24%) compared to NEO-USD (10.45%). In terms of maximum drawdown, NEO-USD dropped -99.04% vs ZEC-USD's -97.92%.
ZEC-USD currently has the higher Sharpe Ratio (7.98 vs -0.94), 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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