NEO-USD vs. ZEC-USD
NEO-USD (NEO) and ZEC-USD (ZCash) are both cryptocurrencies. Over the past 5 years, NEO-USD returned -47.18%/yr vs 29.44%/yr for ZEC-USD. A 0.61 correlation means they provide meaningful diversification when combined.
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 -28.21% return, which is significantly lower than ZEC-USD's 23.16% 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*
- —
ZEC-USD
- 1D
- 15.56%
- 1M
- 52.16%
- YTD
- 23.16%
- 6M
- 100.35%
- 1Y
- 1,065.21%
- 3Y*
- 169.01%
- 5Y*
- 29.44%
- 10Y*
- —
NEO-USD vs. ZEC-USD - Yearly Performance Comparison
Correlation
The correlation between NEO-USD and ZEC-USD is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jan 1, 2017 | 0.61 |
The correlation between NEO-USD and ZEC-USD shifts across timeframes, from 0.43 (1 year) to 0.61 (all time), reflecting how their relationship changes across market environments.
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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.
| NEO-USD | ZEC-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.77 | 6.93 | -7.70 |
Sortino ratioReturn per unit of downside risk | -1.06 | 4.51 | -5.57 |
Omega ratioGain probability vs. loss probability | 0.89 | 1.44 | -0.54 |
Calmar ratioReturn relative to maximum drawdown | -1.16 | 46.09 | -47.24 |
Martin ratioReturn relative to average drawdown | -1.57 | 75.49 | -77.06 |
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 | ZEC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.77 | 6.93 | -7.70 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.50 | 0.27 | -0.77 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.12 | 0.27 | -0.15 |
Drawdowns
NEO-USD vs. ZEC-USD - Drawdown Comparison
The maximum NEO-USD drawdown since its inception was -98.70%, 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 | -98.70% | -97.92% | -0.78% |
Max Drawdown (1Y)Largest decline over 1 year | -68.29% | -71.77% | +3.48% |
Max Drawdown (3Y)Largest decline over 3 years | -90.52% | -71.77% | -18.75% |
Max Drawdown (5Y)Largest decline over 5 years | -96.25% | -93.77% | -2.48% |
Current DrawdownCurrent decline from peak | -98.67% | -28.63% | -70.04% |
Average DrawdownAverage peak-to-trough decline | -84.00% | -81.04% | -2.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 45.23% | 43.82% | +1.41% |
Volatility
NEO-USD vs. ZEC-USD - Volatility Comparison
The current volatility for NEO (NEO-USD) is 15.49%, while ZCash (ZEC-USD) has a volatility of 42.97%. 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 | 15.49% | 42.97% | -27.48% |
Volatility (6M)Calculated over the trailing 6-month period | 46.05% | 92.00% | -45.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 63.34% | 127.75% | -64.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 77.96% | 90.77% | -12.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 114.27% | 97.57% | +16.70% |
Frequently Asked Questions
NEO-USD and ZEC-USD have a correlation of 0.43, 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 (42.97%) compared to NEO-USD (15.49%). In terms of maximum drawdown, NEO-USD dropped -98.70% vs ZEC-USD's -97.92%.
ZEC-USD currently has the higher Sharpe Ratio (6.93 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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