XEM-USD vs. BTC-USD
XEM-USD (NEM) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 5 years, XEM-USD returned -65.66%/yr vs 13.04%/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 -56.79% return, which is significantly lower than BTC-USD's -31.91% return.
XEM-USD
- 1D
- -0.53%
- 1M
- -6.67%
- YTD
- -56.79%
- 6M
- -59.44%
- 1Y
- -89.72%
- 3Y*
- -73.91%
- 5Y*
- -65.66%
- 10Y*
- —
BTC-USD
- 1D
- -2.31%
- 1M
- -21.43%
- YTD
- -31.91%
- 6M
- -31.66%
- 1Y
- -44.53%
- 3Y*
- 25.32%
- 5Y*
- 13.04%
- 10Y*
- 56.92%
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 | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since May 31, 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.
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.
| XEM-USD | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.25 | ||
| Sortino ratioReturn per unit of downside risk | -0.32 | ||
| Omega ratioGain probability vs. loss probability | 0.78 | 0.84 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.99 | -0.85 | -0.14 |
| Martin ratioReturn relative to average drawdown | -1.19 | -1.45 | +0.26 |
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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 | -90.19% | -52.23% | -37.96% |
Max Drawdown (3Y)Largest decline over 3 years | -99.15% | -52.23% | -46.92% |
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% | -52.23% | -47.74% |
Average DrawdownAverage peak-to-trough decline | -90.12% | -42.42% | -47.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 44.95% | 31.57% | +13.38% |
Volatility
XEM-USD vs. BTC-USD - Volatility Comparison
NEM (XEM-USD) has a higher volatility of 17.71% compared to Bitcoin (BTC-USD) at 12.44%. 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 | 17.71% | 12.44% | +5.27% |
Volatility (6M)Calculated over the trailing 6-month period | 51.92% | 34.75% | +17.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 95.02% | 35.63% | +59.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 87.96% | 44.15% | +43.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 103.52% | 56.40% | +47.12% |
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 (17.71%) compared to BTC-USD (12.44%). In terms of maximum drawdown, XEM-USD dropped -99.97% vs BTC-USD's -85.30%.
XEM-USD currently has the higher Sharpe Ratio (-0.79 vs -1.04), 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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