ZEC-USD vs. XMR-USD
ZEC-USD (ZCash) and XMR-USD (Monero) are both cryptocurrencies. Over the past 5 years, ZEC-USD returned 31.85%/yr vs 8.83%/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 -19.03% return, which is significantly higher than XMR-USD's -28.67% return.
ZEC-USD
- 1D
- -0.78%
- 1M
- -27.26%
- YTD
- -19.03%
- 6M
- -5.61%
- 1Y
- 898.24%
- 3Y*
- 138.85%
- 5Y*
- 31.85%
- 10Y*
- —
XMR-USD
- 1D
- -1.92%
- 1M
- -18.61%
- YTD
- -28.67%
- 6M
- -30.48%
- 1Y
- -0.91%
- 3Y*
- 23.63%
- 5Y*
- 8.83%
- 10Y*
- 70.77%
ZEC-USD vs. XMR-USD - Yearly Performance Comparison
Correlation
The correlation between ZEC-USD and XMR-USD is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.34 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.36 |
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 0.34 - 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 | +5.67 | ||
| Sortino ratioReturn per unit of downside risk | +3.51 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.07 | +0.34 |
| Calmar ratioReturn relative to maximum drawdown | 12.51 | -0.02 | +12.53 |
| Martin ratioReturn relative to average drawdown | 23.69 | -0.03 | +23.72 |
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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 | -53.08% | -56.56% | +3.48% |
Average DrawdownAverage peak-to-trough decline | -80.81% | -62.50% | -18.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 44.98% | 39.22% | +5.76% |
Volatility
ZEC-USD vs. XMR-USD - Volatility Comparison
ZCash (ZEC-USD) has a higher volatility of 50.53% compared to Monero (XMR-USD) at 36.47%. 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 | 50.53% | 36.47% | +14.06% |
Volatility (6M)Calculated over the trailing 6-month period | 98.06% | 68.86% | +29.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 132.05% | 69.27% | +62.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 91.26% | 61.38% | +29.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 97.96% | 87.57% | +10.39% |
Frequently Asked Questions
ZEC-USD and XMR-USD have a correlation of 0.34, 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 (50.53%) compared to XMR-USD (36.47%). In terms of maximum drawdown, ZEC-USD dropped -97.92% vs XMR-USD's -95.68%.
ZEC-USD currently has the higher Sharpe Ratio (5.65 vs -0.01), 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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