ZEC-USD vs. XMR-USD
ZEC-USD (ZCash) and XMR-USD (Monero) are both cryptocurrencies. Over the past 5 years, ZEC-USD returned 20.83%/yr vs 2.71%/yr for XMR-USD. A 0.57 correlation means they provide meaningful diversification when combined.
Performance
ZEC-USD vs. XMR-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 XMR-USD's -28.16% 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*
- —
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%
ZEC-USD vs. XMR-USD - Yearly Performance Comparison
Correlation
The correlation between ZEC-USD and XMR-USD is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.36 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (All Time) Calculated using the full available price history since Jan 1, 2017 | 0.57 |
Over the past year, the correlation between ZEC-USD and XMR-USD has dropped to 0.35 - well below their long-term average of 0.57, suggesting their price drivers have been diverging.
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Return for Risk
ZEC-USD vs. XMR-USD — Risk / Return Rank
ZEC-USD
XMR-USD
ZEC-USD vs. XMR-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ZCash (ZEC-USD) and Monero (XMR-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 | XMR-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +4.54 | ||
| Sortino ratioReturn per unit of downside risk | +3.29 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.06 | +0.32 |
| Calmar ratioReturn relative to maximum drawdown | 9.86 | -0.03 | +9.89 |
| Martin ratioReturn relative to average drawdown | 18.56 | -0.06 | +18.61 |
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 | XMR-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.52 | -0.02 | +4.54 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.19 | 0.04 | +0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.73 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 0.47 | -0.26 |
Drawdowns
ZEC-USD vs. XMR-USD - Drawdown Comparison
The maximum ZEC-USD drawdown since its inception was -97.92%, roughly equal to the maximum XMR-USD drawdown of -95.68%. Use the drawdown chart below to compare losses from any high point for ZEC-USD and XMR-USD.
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Drawdown Indicators
| ZEC-USD | XMR-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.92% | -95.68% | -2.24% |
Max Drawdown (1Y)Largest decline over 1 year | -71.77% | -58.97% | -12.80% |
Max Drawdown (3Y)Largest decline over 3 years | -71.77% | -58.97% | -12.80% |
Max Drawdown (5Y)Largest decline over 5 years | -93.77% | -67.28% | -26.49% |
Max Drawdown (10Y)Largest decline over 10 years | — | -93.09% | — |
Current DrawdownCurrent decline from peak | -56.25% | -56.25% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -81.01% | -62.54% | -18.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 43.97% | 36.23% | +7.74% |
Volatility
ZEC-USD vs. XMR-USD - Volatility Comparison
ZCash (ZEC-USD) has a higher volatility of 51.60% compared to Monero (XMR-USD) at 30.62%. This indicates that ZEC-USD's price experiences larger fluctuations and is considered to be riskier than XMR-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 | XMR-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 51.60% | 30.62% | +20.98% |
Volatility (6M)Calculated over the trailing 6-month period | 97.97% | 67.41% | +30.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 130.21% | 67.17% | +63.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 91.37% | 62.16% | +29.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 97.87% | 87.79% | +10.08% |
Frequently Asked Questions
ZEC-USD and XMR-USD have a correlation of 0.35, 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 XMR-USD (30.62%). In terms of maximum drawdown, ZEC-USD dropped -97.92% vs XMR-USD's -95.68%.
ZEC-USD currently has the higher Sharpe Ratio (4.52 vs -0.02), 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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