XMR-USD vs. ETH-USD
XMR-USD (Monero) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 10 years, XMR-USD returned 66.63%/yr vs 67.03%/yr for ETH-USD. A 0.54 correlation means they provide meaningful diversification when combined.
Performance
XMR-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, XMR-USD achieves a -24.01% return, which is significantly higher than ETH-USD's -35.46% return. Both investments have delivered pretty close results over the past 10 years, with XMR-USD having a 66.63% annualized return and ETH-USD not far ahead at 67.03%.
XMR-USD
- 1D
- -0.39%
- 1M
- -5.33%
- 6M
- -53.72%
- YTD
- -24.01%
- 1Y
- -1.35%
- 3Y*
- 25.80%
- 5Y*
- 11.25%
- 10Y*
- 66.63%
ETH-USD
- 1D
- 1.27%
- 1M
- 6.67%
- 6M
- -42.93%
- YTD
- -35.46%
- 1Y
- -38.98%
- 3Y*
- -0.15%
- 5Y*
- 0.40%
- 10Y*
- 67.03%
XMR-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between XMR-USD and ETH-USD is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.42 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.50 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.54 |
The correlation between XMR-USD and ETH-USD shifts across timeframes, from 0.41 (3 years) to 0.58 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
XMR-USD vs. ETH-USD — Risk / Return Rank
XMR-USD
ETH-USD
XMR-USD vs. ETH-USD - Risk-Adjusted Trends 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.
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.
| XMR-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.57 | ||
| Sortino ratioReturn per unit of downside risk | +1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.94 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | -0.02 | -0.58 | +0.55 |
| Martin ratioReturn relative to average drawdown | -0.04 | -0.89 | +0.86 |
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Drawdowns
XMR-USD vs. ETH-USD - Drawdown Comparison
The maximum XMR-USD drawdown since its inception was -95.68%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for XMR-USD and ETH-USD.
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Drawdown Indicators
| XMR-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -95.68% | -94.01% | -1.67% |
Max Drawdown (1Y)Largest decline over 1 year | -58.97% | -67.60% | +8.63% |
Max Drawdown (3Y)Largest decline over 3 years | -58.97% | -67.60% | +8.63% |
Max Drawdown (5Y)Largest decline over 5 years | -67.28% | -79.35% | +12.07% |
Max Drawdown (10Y)Largest decline over 10 years | -93.09% | -94.01% | +0.92% |
Current DrawdownCurrent decline from peak | -53.72% | -60.37% | +6.65% |
Average DrawdownAverage peak-to-trough decline | -62.47% | -51.00% | -11.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 42.16% | 36.69% | +5.47% |
Volatility
XMR-USD vs. ETH-USD - Volatility Comparison
Monero (XMR-USD) and Ethereum (ETH-USD) have volatilities of 13.11% and 13.40%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XMR-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.11% | 13.40% | -0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 64.91% | 46.58% | +18.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 69.49% | 55.44% | +14.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 61.29% | 58.72% | +2.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 87.50% | 76.81% | +10.69% |
Frequently Asked Questions
XMR-USD and ETH-USD have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (13.40%) compared to XMR-USD (13.11%). In terms of maximum drawdown, XMR-USD dropped -95.68% vs ETH-USD's -94.01%.
XMR-USD currently has the higher Sharpe Ratio (-0.02 vs -0.59), 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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