XEM-USD vs. BTC-USD
XEM-USD (NEM) and BTC-USD (Bitcoin) are both cryptocurrencies. Over the past 5 years, XEM-USD returned -68.11%/yr vs 14.98%/yr for BTC-USD. A 0.55 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 -60.41% return, which is significantly lower than BTC-USD's -27.00% return.
XEM-USD
- 1D
- -4.44%
- 1M
- -12.43%
- 6M
- -52.41%
- YTD
- -60.41%
- 1Y
- -80.54%
- 3Y*
- -74.72%
- 5Y*
- -68.11%
- 10Y*
- —
BTC-USD
- 1D
- 0.16%
- 1M
- -0.89%
- 6M
- -33.12%
- YTD
- -27.00%
- 1Y
- -46.45%
- 3Y*
- 28.84%
- 5Y*
- 14.98%
- 10Y*
- 57.64%
XEM-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between XEM-USD and BTC-USD is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.21 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
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 | 0.55 |
Over the past year, the correlation between XEM-USD and BTC-USD has dropped to 0.21 - well below their long-term average of 0.55, 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 | +0.51 | ||
| Sortino ratioReturn per unit of downside risk | +0.50 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 0.83 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | -0.88 | -0.04 |
| Martin ratioReturn relative to average drawdown | -1.20 | -1.41 | +0.21 |
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Drawdowns
XEM-USD vs. BTC-USD - Drawdown Comparison
The maximum XEM-USD drawdown since its inception was -99.98%, 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 | -99.98% | -85.30% | -14.68% |
Max Drawdown (1Y)Largest decline over 1 year | -88.28% | -53.08% | -35.20% |
Max Drawdown (3Y)Largest decline over 3 years | -99.34% | -53.08% | -46.26% |
Max Drawdown (5Y)Largest decline over 5 years | -99.83% | -76.67% | -23.16% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -99.97% | -48.79% | -51.18% |
Average DrawdownAverage peak-to-trough decline | -90.18% | -42.59% | -47.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 48.92% | 29.41% | +19.51% |
Volatility
XEM-USD vs. BTC-USD - Volatility Comparison
NEM (XEM-USD) has a higher volatility of 83.50% compared to Bitcoin (BTC-USD) at 9.63%. 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 | 83.50% | 9.63% | +73.87% |
Volatility (6M)Calculated over the trailing 6-month period | 94.45% | 34.90% | +59.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 116.38% | 35.73% | +80.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 95.88% | 43.96% | +51.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 107.22% | 56.33% | +50.89% |
Frequently Asked Questions
XEM-USD and BTC-USD have a correlation of 0.21, 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 (83.50%) compared to BTC-USD (9.63%). In terms of maximum drawdown, XEM-USD dropped -99.98% vs BTC-USD's -85.30%.
XEM-USD currently has the higher Sharpe Ratio (-0.58 vs -1.08), 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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