ZEC-USD vs. ETH-USD
ZEC-USD (ZCash) and ETH-USD (Ethereum) are both cryptocurrencies. Over the past 5 years, ZEC-USD returned 20.83%/yr vs -10.08%/yr for ETH-USD. A 0.64 correlation means they provide meaningful diversification when combined.
Performance
ZEC-USD vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ZEC-USD achieves a -24.50% return, which is significantly higher than ETH-USD's -46.29% return.
ZEC-USD
- 1D
- -16.05%
- 1M
- -30.42%
- YTD
- -24.50%
- 6M
- 6.99%
- 1Y
- 707.71%
- 3Y*
- 134.07%
- 5Y*
- 20.83%
- 10Y*
- —
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%
ZEC-USD vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between ZEC-USD and ETH-USD is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.49 |
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 | 0.64 |
Over the past year, the correlation between ZEC-USD and ETH-USD has dropped to 0.44 - well below their long-term average of 0.64, suggesting their price drivers have been diverging.
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Return for Risk
ZEC-USD vs. ETH-USD — Risk / Return Rank
ZEC-USD
ETH-USD
ZEC-USD vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ZCash (ZEC-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.
| ZEC-USD | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +5.02 | ||
| Sortino ratioReturn per unit of downside risk | +4.24 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 0.96 | +0.42 |
| Calmar ratioReturn relative to maximum drawdown | 9.86 | -0.51 | +10.37 |
| Martin ratioReturn relative to average drawdown | 18.56 | -0.89 | +19.45 |
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 | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.52 | -0.50 | +5.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.19 | -0.14 | +0.33 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.64 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 0.74 | -0.53 |
Drawdowns
ZEC-USD vs. ETH-USD - Drawdown Comparison
The maximum ZEC-USD drawdown since its inception was -97.92%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for ZEC-USD and ETH-USD.
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Drawdown Indicators
| ZEC-USD | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.92% | -94.01% | -3.91% |
Max Drawdown (1Y)Largest decline over 1 year | -71.77% | -67.02% | -4.75% |
Max Drawdown (3Y)Largest decline over 3 years | -71.77% | -67.02% | -4.75% |
Max Drawdown (5Y)Largest decline over 5 years | -93.77% | -79.35% | -14.42% |
Max Drawdown (10Y)Largest decline over 10 years | — | -94.01% | — |
Current DrawdownCurrent decline from peak | -56.25% | -67.02% | +10.77% |
Average DrawdownAverage peak-to-trough decline | -81.01% | -50.88% | -30.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 43.97% | 44.01% | -0.04% |
Volatility
ZEC-USD vs. ETH-USD - Volatility Comparison
ZCash (ZEC-USD) has a higher volatility of 51.60% compared to Ethereum (ETH-USD) at 14.30%. This indicates that ZEC-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
| ZEC-USD | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 51.60% | 14.30% | +37.30% |
Volatility (6M)Calculated over the trailing 6-month period | 97.97% | 46.06% | +51.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 130.21% | 56.49% | +73.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 91.37% | 59.61% | +31.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 97.87% | 78.01% | +19.86% |
Frequently Asked Questions
ZEC-USD and ETH-USD have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZEC-USD has higher volatility (51.60%) compared to ETH-USD (14.30%). In terms of maximum drawdown, ZEC-USD dropped -97.92% vs ETH-USD's -94.01%.
ZEC-USD currently has the higher Sharpe Ratio (4.52 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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