ZEC-USD vs. BTC-USD
ZEC-USD (ZCash) is a cryptocurrency, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 5 years, ZEC-USD returned 12.38%/yr vs 3.78%/yr for BTC-USD. A 0.59 correlation means they provide meaningful diversification when combined.
Performance
ZEC-USD vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ZEC-USD achieves a -27.62% return, which is significantly lower than BTC-USD's -17.74% return.
ZEC-USD
- 1D
- 14.24%
- 1M
- 65.97%
- YTD
- -27.62%
- 6M
- 73.12%
- 1Y
- 865.60%
- 3Y*
- 110.27%
- 5Y*
- 12.38%
- 10Y*
- —
BTC-USD
- 1D
- 1.25%
- 1M
- 2.88%
- YTD
- -17.74%
- 6M
- -40.87%
- 1Y
- -12.86%
- 3Y*
- 34.38%
- 5Y*
- 3.78%
- 10Y*
- 67.10%
ZEC-USD vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between ZEC-USD and BTC-USD is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.50 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jan 1, 2017 | 0.59 |
The correlation between ZEC-USD and BTC-USD shifts across timeframes, from 0.48 (1 year) to 0.59 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ZEC-USD vs. BTC-USD — Risk / Return Rank
ZEC-USD
BTC-USD
ZEC-USD vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ZCash (ZEC-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.
| ZEC-USD | BTC-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 5.77 | -0.30 | +6.07 |
Sortino ratioReturn per unit of downside risk | 4.27 | -0.15 | +4.41 |
Omega ratioGain probability vs. loss probability | 1.42 | 0.98 | +0.44 |
Calmar ratioReturn relative to maximum drawdown | 37.63 | -1.00 | +38.63 |
Martin ratioReturn relative to average drawdown | 66.69 | -1.73 | +68.42 |
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
| ZEC-USD | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.77 | -0.30 | +6.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.11 | 0.07 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.98 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 1.20 | -0.99 |
Drawdowns
ZEC-USD vs. BTC-USD - Drawdown Comparison
The maximum ZEC-USD drawdown since its inception was -97.92%, 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 ZEC-USD and BTC-USD.
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Drawdown Indicators
| ZEC-USD | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.92% | -85.30% | -12.62% |
Max Drawdown (1Y)Largest decline over 1 year | -71.77% | -49.65% | -22.12% |
Max Drawdown (5Y)Largest decline over 5 years | -94.28% | -76.67% | -17.61% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -58.05% | -42.29% | -15.76% |
Average DrawdownAverage peak-to-trough decline | -81.60% | -42.05% | -39.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 40.50% | 28.70% | +11.80% |
Volatility
ZEC-USD vs. BTC-USD - Volatility Comparison
ZCash (ZEC-USD) has a higher volatility of 40.40% compared to Bitcoin (BTC-USD) at 11.37%. This indicates that ZEC-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
| ZEC-USD | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 40.40% | 11.37% | +29.03% |
Volatility (6M)Calculated over the trailing 6-month period | 107.40% | 36.19% | +71.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.73% | 36.37% | +88.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 93.77% | 46.88% | +46.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 97.45% | 56.72% | +40.73% |