Zcash vs Bitcoin (ZEC vs BTC) 2026: Crypto Returns, Risk & Volatility

Q: Which is a better investment: ZEC or BTC?

Over the past year, ZEC looks like the better investment: it had higher total return (ZEC +1989.1% vs BTC -28.1%) and a higher Sharpe ratio (ZEC 2.62 vs BTC -0.62). On risk, BTC was less volatile (BTC 43.8% vs ZEC 161.8%), BTC had a smaller max drawdown (BTC -53.0% vs ZEC -71.7%), and BTC had less severe losses on the worst 5% of days (Expected Shortfall of BTC -5.32% vs ZEC -15.10%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: ZEC or BTC?

Over the past year, ZEC outperformed BTC. ZEC returned +1989.1% compared with BTC’s -28.1%. ZEC had the better risk-adjusted return, with a Sharpe ratio of 2.62 versus BTC’s -0.62. BTC was less volatile than ZEC, and BTC had a smaller max drawdown than ZEC.

Total Return

ZEC +1989.1%

BTC -28.1%

Sharpe Ratio

ZEC 2.62

BTC -0.62

Annualized Volatility

ZEC 161.8%

BTC 43.8%

Max Drawdown

ZEC -71.7%

BTC -53.0%

Metric winners: Total Return: ZEC; Sharpe Ratio: ZEC; Annualized Volatility: BTC (less volatile); Max Drawdown: BTC (smaller drawdown).

ZEC Total Return

↑ +1989.1%

BTC Total Return

↓ -28.1%

Relative Performance of ZEC vs BTC (Normalized to 100)

ZEC BTC

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: ZEC delivered a +1989.1% total return, while BTC returned -28.1% over the same period. ZEC outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): BTC had a negative Sharpe (-0.62) while ZEC was positive (2.62), indicating ZEC had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): ZEC was more volatile, with 161.8% annualized volatility, versus 43.8% for BTC.
Maximum Drawdown: BTC's maximum drawdown was -53.0%, while ZEC experienced a deeper drawdown of -71.7%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ZEC's VaR was -9.89% and its Expected Shortfall (CVaR) was -15.10%; BTC's were -3.67% and -5.32%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ZEC 0.83 vs BTC -0.40. Excess kurtosis: ZEC 4.43 vs BTC 6.66. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ZEC 8/13, BTC 8/9. Worst day: ZEC -26.05% (2026-06-04) vs BTC -14.07% (2026-02-05). Best day: ZEC +62.14% (2025-10-01) vs BTC +11.94% (2026-02-06).
Risk ratios: Sortino - ZEC: 5.00 vs. BTC: -0.86 , Calmar - ZEC: 28.04 vs. BTC: -0.53 , Sterling - ZEC: 51.42 vs. BTC: -0.60 , Treynor - ZEC: 2.10 vs. BTC: -0.27 , Ulcer Index - ZEC: 39.37% vs. BTC: 36.55%

Investment Comparison

If you invested $10,000 in each asset on August 30, 2025:

ZEC $208,907.04 +1989.1%

BTC $7,187.11 -28.1%

Difference: $201,719.93 (ZEC ahead)

Zcash vs Bitcoin Performance Over Time

Metric	ZEC	BTC
30 Days	79%	20.8%
90 Days	47.7%	6.3%
180 Days	276.3%	13.7%
1 Year	1989.1%	-28.1%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Zcash vs Bitcoin Correlation

Average Correlation

moderately correlated

0.50

Current (30-day) 0.69

30-day rolling range +0.05 to +0.83

Zcash and Bitcoin are moderately correlated over the past year. With a correlation of 0.50, these assets show moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.69
Average (full period)	0.50
Minimum (30-day rolling)	0.05
Maximum (30-day rolling)	0.83

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

ZEC

-71.7%

BTC

-53.0%

Zcash experienced its maximum drawdown of -71.7% from 2025-11-16 to 2026-03-07. It took 167 days to recover.

Bitcoin experienced its maximum drawdown of -53% from 2025-10-06 to 2026-06-30. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Zcash vs Bitcoin Volatility (ZEC vs BTC)

ZEC Volatility

161.8%

±8.47% 1-day vol

BTC Volatility

43.8%

±2.29% 1-day vol

1-day volatility (1σ)

ZEC

±8.47%

BTC

±2.29%

Zcash's 161.8% annualized volatility translates to about ±8.47% one-standard-deviation daily volatility.

Bitcoin's 43.8% annualized volatility translates to about ±2.29% one-standard-deviation daily volatility.

ZEC had the wider volatility profile over this window. That means its day-to-day return distribution was broader; BTC was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of ZEC and BTC

Sharpe Ratio: ZEC vs. BTC

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. BTC had a negative Sharpe (-0.62) while ZEC was positive (2.62), indicating ZEC had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of ZEC and BTC

Sortino Ratio: ZEC vs. BTC

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). ZEC had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: ZEC 84.7% vs BTC 31.8%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of ZEC and BTC

Calmar Ratio: ZEC vs. BTC

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. ZEC posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of ZEC and BTC

Sterling Ratio: ZEC vs. BTC

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). ZEC posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of ZEC and BTC

Treynor Ratio: ZEC vs. BTC

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. ZEC posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of ZEC and BTC

Ulcer Index: ZEC vs. BTC

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. BTC had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Zcash vs. Bitcoin

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: ZEC vs. BTC (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	ZEC	BTC
5% VaR (daily log return)	-9.89%	-3.67%
5% Expected Shortfall (CVaR)	-15.10% (worst 19 days)	-5.32% (worst 19 days)
Skew	0.83	-0.40
Excess kurtosis	4.43	6.66
2σ tail days (down / up)	8 / 13	8 / 9
Worst day	-26.05% (2026-06-04)	-14.07% (2026-02-05)
Best day	+62.14% (2025-10-01)	+11.94% (2026-02-06)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=364). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: ZEC vs. BTC (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both ZEC and BTC crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both ZEC and BTC had a big down day (2σ)

Date (interval)	ZEC	BTC
2026-02-05	-17.87%	-14.07%

Days when ZEC had a big down day

Date (interval)	ZEC	BTC
2025-10-07	-18.61%	-2.63%
2025-11-10	-14.86%	+1.28%
2025-11-11	-14.74%	-2.68%
2025-11-21	-16.73%	-1.77%
2025-12-01	-19.55%	-4.49%
2026-02-05	-17.87%	-14.07%
2026-06-04	-26.05%	-0.37%
2026-06-05	-15.07%	-4.47%

Days when BTC had a big down day

Date (interval)	ZEC	BTC
2025-10-10	+7.31%	-7.13%
2025-11-04	+2.61%	-4.67%
2025-11-14	+17.46%	-4.73%
2025-11-20	-2.21%	-5.24%
2026-01-29	-4.65%	-5.14%
2026-01-31	-10.96%	-6.47%
2026-02-05	-17.87%	-14.07%
2026-06-02	+11.95%	-6.44%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Zcash vs. Bitcoin (1-Year)

Metric	ZEC	BTC
Total Return	+1989.1%	-28.1%
Annualized Volatility	161.8%	43.8%
Sharpe Ratio	2.62	-0.62
Sortino Ratio	5.00	-0.86
Calmar Ratio	28.04	-0.53
Sterling Ratio	51.42	-0.60
Treynor Ratio	2.10	-0.27
Ulcer Index	39.37%	36.55%
Max Drawdown	-71.7%	-53.0%
Avg Correlation to S&P 500	0.29	0.50
5% VaR (daily log return)	-9.89%	-3.67%
5% Expected Shortfall (CVaR)	-15.10%	-5.32%
Skew	0.83	-0.40
Excess kurtosis	4.43	6.66
2σ tail days (down / up)	8 / 13	8 / 9

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-08-30 → 2026-08-29 (last shared close).
Rolling correlation sample (shared closes): 335 rolling 30-day values (from 364 shared daily returns).
Annualization (days/year): ZEC: 365 days/year; BTC: 365 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

ZEC: 3.81% over 2025-08-30 → 2026-08-29.

BTC: 3.81% over 2025-08-30 → 2026-08-29.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ZEC: ≈ -130.9%/yr

BTC: ≈ -9.6%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Zcash vs Bitcoin: Frequently Asked Questions

Which has higher volatility: ZEC or BTC?

ZEC showed higher volatility at 161.8% annualized, compared to 43.8% for BTC Over the past year. Higher volatility means larger price swings in both directions.

Does ZEC provide diversification when held with BTC?

ZEC and BTC are moderately correlated over the past year, with an average correlation of 0.50. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for ZEC vs BTC?

Over the past year, ZEC's 5% VaR was -9.89% and its 5% Expected Shortfall was -15.10% (worst 19 days). BTC's were -3.67% and -5.32% (worst 19 days).

Do ZEC and BTC crash together on bad days?

On shared dates (n=364), when BTC has a 2σ down day, ZEC also does 12.5% (1/8 days). In the other direction, when ZEC has one, BTC also does 12.5% (1/8 days).

Which has better risk-adjusted returns: ZEC or BTC?

BTC had a negative Sharpe (-0.62) while ZEC was positive (2.62) Over the past year, indicating ZEC had meaningfully better risk-adjusted performance.

Can ZEC and BTC be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. ZEC's higher volatility (161.8%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: ZEC or BTC?

Share This Comparison of ZEC vs BTC

Relative Performance of ZEC vs BTC (Normalized to 100)

Trade ZEC or BTC

Key Takeaways

Investment Comparison

Zcash vs Bitcoin Performance Over Time

Zcash vs Bitcoin Correlation

Drawdown

Zcash vs Bitcoin Volatility (ZEC vs BTC)

Risk-adjusted ratios

Sharpe Ratio of ZEC and BTC

Sharpe Ratio: ZEC vs. BTC

Sortino Ratio of ZEC and BTC

Sortino Ratio: ZEC vs. BTC

Calmar Ratio of ZEC and BTC

Calmar Ratio: ZEC vs. BTC

Sterling Ratio of ZEC and BTC

Sterling Ratio: ZEC vs. BTC

Treynor Ratio of ZEC and BTC

Treynor Ratio: ZEC vs. BTC

Ulcer Index of ZEC and BTC

Ulcer Index: ZEC vs. BTC

Tail Risk & Distribution Shape (1-Year): Zcash vs. Bitcoin

Tail Risk & Distribution Shape: ZEC vs. BTC (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: ZEC vs. BTC (2σ)

Days when both ZEC and BTC had a big down day (2σ)

Days when ZEC had a big down day

Days when BTC had a big down day

Full Comparison of Zcash vs. Bitcoin (1-Year)

Inputs & conventions

Formulas

Zcash vs Bitcoin: Frequently Asked Questions

Which has higher volatility: ZEC or BTC?

Does ZEC provide diversification when held with BTC?

How bad are the worst 5% days for ZEC vs BTC?

Do ZEC and BTC crash together on bad days?

Which has better risk-adjusted returns: ZEC or BTC?

Can ZEC and BTC be combined in a portfolio?