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XMR-USD vs. ETH-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XMR-USD and ETH-USD is 0.17, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

XMR-USD vs. ETH-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Monero (XMR-USD) and Ethereum (ETH-USD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

XMR-USD:

2.51

ETH-USD:

-0.20

Sortino Ratio

XMR-USD:

2.69

ETH-USD:

0.53

Omega Ratio

XMR-USD:

1.32

ETH-USD:

1.05

Calmar Ratio

XMR-USD:

1.35

ETH-USD:

0.01

Martin Ratio

XMR-USD:

17.22

ETH-USD:

-0.07

Ulcer Index

XMR-USD:

9.76%

ETH-USD:

31.77%

Daily Std Dev

XMR-USD:

50.58%

ETH-USD:

62.32%

Max Drawdown

XMR-USD:

-95.54%

ETH-USD:

-93.96%

Current Drawdown

XMR-USD:

-30.30%

ETH-USD:

-48.12%

Returns By Period

In the year-to-date period, XMR-USD achieves a 74.29% return, which is significantly higher than ETH-USD's -25.09% return.


XMR-USD

YTD

74.29%

1M

65.88%

6M

123.27%

1Y

148.61%

5Y*

38.83%

10Y*

88.52%

ETH-USD

YTD

-25.09%

1M

56.35%

6M

-23.10%

1Y

-15.36%

5Y*

65.24%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

XMR-USD vs. ETH-USD — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

XMR-USD
The Risk-Adjusted Performance Rank of XMR-USD is 9090
Overall Rank
The Sharpe Ratio Rank of XMR-USD is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of XMR-USD is 8484
Sortino Ratio Rank
The Omega Ratio Rank of XMR-USD is 8888
Omega Ratio Rank
The Calmar Ratio Rank of XMR-USD is 8686
Calmar Ratio Rank
The Martin Ratio Rank of XMR-USD is 9595
Martin Ratio Rank

ETH-USD
The Risk-Adjusted Performance Rank of ETH-USD is 3232
Overall Rank
The Sharpe Ratio Rank of ETH-USD is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of ETH-USD is 2525
Sortino Ratio Rank
The Omega Ratio Rank of ETH-USD is 2626
Omega Ratio Rank
The Calmar Ratio Rank of ETH-USD is 3333
Calmar Ratio Rank
The Martin Ratio Rank of ETH-USD is 2525
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

XMR-USD vs. ETH-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Monero (XMR-USD) and Ethereum (ETH-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.


The current XMR-USD Sharpe Ratio is 2.51, which is higher than the ETH-USD Sharpe Ratio of -0.20. The chart below compares the historical Sharpe Ratios of XMR-USD and ETH-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

XMR-USD vs. ETH-USD - Drawdown Comparison

The maximum XMR-USD drawdown since its inception was -95.54%, roughly equal to the maximum ETH-USD drawdown of -93.96%. Use the drawdown chart below to compare losses from any high point for XMR-USD and ETH-USD. For additional features, visit the drawdowns tool.


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Volatility

XMR-USD vs. ETH-USD - Volatility Comparison

The current volatility for Monero (XMR-USD) is 15.82%, while Ethereum (ETH-USD) has a volatility of 25.47%. This indicates that XMR-USD experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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