XMR-USD vs. ETH-USD
XMR-USD (Monero) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 10 years, XMR-USD returned 77.53%/yr vs 59.97%/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 -28.16% return, which is significantly higher than ETH-USD's -46.29% return. Over the past 10 years, XMR-USD has outperformed ETH-USD with an annualized return of 77.53%, while ETH-USD has yielded a comparatively lower 59.97% annualized return.
XMR-USD
- 1D
- -16.60%
- 1M
- -25.14%
- YTD
- -28.16%
- 6M
- -21.98%
- 1Y
- -1.73%
- 3Y*
- 28.39%
- 5Y*
- 2.71%
- 10Y*
- 77.53%
ETH-USD
- 1D
- -9.90%
- 1M
- -32.21%
- YTD
- -46.29%
- 6M
- -47.28%
- 1Y
- -34.03%
- 3Y*
- -5.45%
- 5Y*
- -10.08%
- 10Y*
- 59.97%
XMR-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between XMR-USD and ETH-USD is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Aug 8, 2015 | 0.54 |
The correlation between XMR-USD and ETH-USD shifts across timeframes, from 0.41 (3 years) to 0.57 (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.
| XMR-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.48 | ||
| Sortino ratioReturn per unit of downside risk | +0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.96 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | -0.51 | +0.48 |
| Martin ratioReturn relative to average drawdown | -0.06 | -0.89 | +0.84 |
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
| XMR-USD | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.02 | -0.50 | +0.48 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.04 | -0.14 | +0.18 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | 0.64 | +0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.74 | -0.27 |
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% | -67.02% | +8.05% |
Max Drawdown (3Y)Largest decline over 3 years | -58.97% | -67.02% | +8.05% |
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 | -56.25% | -67.02% | +10.77% |
Average DrawdownAverage peak-to-trough decline | -62.54% | -50.88% | -11.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 36.23% | 44.01% | -7.78% |
Volatility
XMR-USD vs. ETH-USD - Volatility Comparison
Monero (XMR-USD) has a higher volatility of 30.62% compared to Ethereum (ETH-USD) at 14.30%. This indicates that XMR-USD's price experiences larger fluctuations and is considered to be riskier than ETH-USD based on this measure. 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 | 30.62% | 14.30% | +16.32% |
Volatility (6M)Calculated over the trailing 6-month period | 67.41% | 46.06% | +21.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 67.17% | 56.49% | +10.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 62.16% | 59.61% | +2.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 87.79% | 78.01% | +9.78% |
Frequently Asked Questions
XMR-USD and ETH-USD have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XMR-USD has higher volatility (30.62%) compared to ETH-USD (14.30%). 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 -0.50), 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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