XEM-USD vs. BTC-USD
XEM-USD (NEM) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 5 years, XEM-USD returned -68.89%/yr vs 11.35%/yr for BTC-USD. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
XEM-USD vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, XEM-USD achieves a -54.05% return, which is significantly lower than BTC-USD's -29.97% return.
XEM-USD
- 1D
- -5.57%
- 1M
- -19.59%
- YTD
- -54.05%
- 6M
- -60.97%
- 1Y
- -94.18%
- 3Y*
- -73.79%
- 5Y*
- -68.89%
- 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%
XEM-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between XEM-USD and BTC-USD is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Jun 1, 2017 | 0.56 |
Over the past year, the correlation between XEM-USD and BTC-USD has dropped to 0.24 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
XEM-USD vs. BTC-USD — Risk / Return Rank
XEM-USD
BTC-USD
XEM-USD vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NEM (XEM-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.
| XEM-USD | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.70 | ||
| Omega ratioGain probability vs. loss probability | 0.76 | 0.87 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | -1.01 | -0.78 | -0.23 |
| Martin ratioReturn relative to average drawdown | -1.18 | -1.39 | +0.22 |
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
| XEM-USD | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.71 | -0.93 | +0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.64 | 0.21 | -0.85 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.87 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.38 | 1.13 | -1.51 |
Drawdowns
XEM-USD vs. BTC-USD - Drawdown Comparison
The maximum XEM-USD drawdown since its inception was -99.97%, 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 XEM-USD and BTC-USD.
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Drawdown Indicators
| XEM-USD | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.97% | -85.30% | -14.67% |
Max Drawdown (1Y)Largest decline over 1 year | -93.07% | -50.87% | -42.20% |
Max Drawdown (3Y)Largest decline over 3 years | -99.14% | -50.87% | -48.27% |
Max Drawdown (5Y)Largest decline over 5 years | -99.79% | -76.67% | -23.12% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -99.97% | -50.87% | -49.10% |
Average DrawdownAverage peak-to-trough decline | -90.08% | -42.29% | -47.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 51.49% | 34.02% | +17.47% |
Volatility
XEM-USD vs. BTC-USD - Volatility Comparison
NEM (XEM-USD) has a higher volatility of 22.35% compared to Bitcoin (BTC-USD) at 10.54%. This indicates that XEM-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
| XEM-USD | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 22.35% | 10.54% | +11.81% |
Volatility (6M)Calculated over the trailing 6-month period | 56.04% | 34.26% | +21.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 112.41% | 35.65% | +76.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 88.88% | 44.98% | +43.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 103.77% | 56.70% | +47.07% |
Frequently Asked Questions
XEM-USD and BTC-USD have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XEM-USD has higher volatility (22.35%) compared to BTC-USD (10.54%). In terms of maximum drawdown, XEM-USD dropped -99.97% vs BTC-USD's -85.30%.
XEM-USD currently has the higher Sharpe Ratio (-0.71 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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