ZEC-USD vs. XMR-USD
ZEC-USD (ZCash) and XMR-USD (Monero) are both cryptocurrencies. Over the past 5 years, ZEC-USD returned 43.54%/yr vs 11.25%/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 11.07% return, which is significantly higher than XMR-USD's -24.01% return.
ZEC-USD
- 1D
- 0.51%
- 1M
- 9.40%
- 6M
- 26.79%
- YTD
- 11.07%
- 1Y
- 1,193.50%
- 3Y*
- 163.86%
- 5Y*
- 43.54%
- 10Y*
- —
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%
ZEC-USD vs. XMR-USD - Yearly Performance Comparison
Correlation
The correlation between ZEC-USD and XMR-USD is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.37 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.46 |
Correlation (All Time) Calculated using the full available price history since Dec 31, 2016 | 0.57 |
Over the past year, the correlation between ZEC-USD and XMR-USD has dropped to 0.36 - 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.
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.
| ZEC-USD | XMR-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +7.51 | ||
| Sortino ratioReturn per unit of downside risk | +3.83 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.06 | +0.37 |
| Calmar ratioReturn relative to maximum drawdown | 16.63 | -0.02 | +16.65 |
| Martin ratioReturn relative to average drawdown | 30.80 | -0.04 | +30.84 |
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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 | -35.63% | -53.72% | +18.09% |
Average DrawdownAverage peak-to-trough decline | -80.62% | -62.47% | -18.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 46.00% | 42.16% | +3.84% |
Volatility
ZEC-USD vs. XMR-USD - Volatility Comparison
ZCash (ZEC-USD) has a higher volatility of 27.31% compared to Monero (XMR-USD) at 13.11%. 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 | 27.31% | 13.11% | +14.20% |
Volatility (6M)Calculated over the trailing 6-month period | 96.98% | 64.91% | +32.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 132.42% | 69.49% | +62.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 91.33% | 61.29% | +30.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 97.88% | 87.50% | +10.38% |
Frequently Asked Questions
ZEC-USD and XMR-USD have a correlation of 0.36, 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 (27.31%) compared to XMR-USD (13.11%). In terms of maximum drawdown, ZEC-USD dropped -97.92% vs XMR-USD's -95.68%.
ZEC-USD currently has the higher Sharpe Ratio (7.49 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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