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Performance
^RTSI Performance Chart
RTS Index (^RTSI) is up 2.1% since the beginning of the year. ^RTSI is currently trading at $1,137 per share. Investors who bought $1,000 worth of ^RTSI shares 5 years ago would now be looking at an investment worth $695.
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Returns By Period
RTS Index (^RTSI) has returned 2.09% so far this year and 0.97% over the past 12 months. Over the last ten years, ^RTSI has returned 2.34% per year, falling short of the S&P 500 Index benchmark, which averaged 13.75% annually.
RTS Index
- 1D
- 0.53%
- 1M
- 1.60%
- YTD
- 2.09%
- 6M
- 4.86%
- 1Y
- 0.97%
- 3Y*
- 2.65%
- 5Y*
- -7.02%
- 10Y*
- 2.34%
Benchmark (S&P 500 Index)
- 1D
- 0.13%
- 1M
- 5.25%
- YTD
- 11.16%
- 6M
- 11.43%
- 1Y
- 28.20%
- 3Y*
- 21.12%
- 5Y*
- 12.66%
- 10Y*
- 13.75%
^RTSI Monthly Returns History
Based on dividend-adjusted daily data since Sep 1, 1995, ^RTSI's average daily return is +0.06%, while the average monthly return is +1.42%. At this rate, an investment would double in approximately 4.1 years.
Historically, 58% of months were positive and 42% were negative. The best month was Dec 1999 with a return of +56.0%, while the worst month was Aug 1998 at -56.2%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 8 months.
On a daily basis, ^RTSI closed higher 53% of trading days. The best single day was Feb 25, 2022 with a return of +26.1%, while the worst single day was Feb 24, 2022 at -38.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.90% | -1.42% | -5.67% | 4.00% | 1.65% | -0.05% | 2.09% | ||||||
| 2025 | 6.30% | 20.31% | -2.81% | 1.61% | 0.47% | 0.77% | -6.18% | 6.10% | -9.96% | -4.04% | 9.71% | 3.37% | 24.73% |
| 2024 | 3.89% | 0.15% | 0.85% | 3.32% | -4.17% | 2.83% | -6.91% | -15.04% | 5.48% | -13.92% | -9.32% | 18.50% | -17.56% |
| 2023 | 3.16% | -5.49% | 5.34% | 3.69% | 2.11% | -6.87% | 7.58% | 0.16% | -4.87% | 7.18% | 3.25% | -2.83% | 11.63% |
| 2022 | -10.06% | -34.72% | 9.00% | 5.90% | 11.71% | 11.33% | -16.04% | 11.44% | -16.11% | 5.30% | 1.21% | -13.74% | -39.18% |
| 2021 | -1.43% | 3.24% | 4.62% | 0.54% | 7.58% | 3.52% | -1.69% | 3.59% | 5.56% | 3.72% | -10.74% | -3.04% | 15.01% |
Benchmark Metrics
RTS Index has an annualized alpha of 8.56%, beta of 0.46, and R2 of 0.05 versus S&P 500 Index. Calculated based on daily prices since September 04, 1995.
- This index participated in 121.79% of S&P 500 Index downside but only 105.02% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.46 may look defensive, but with R2 of 0.05 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.05 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 8.56%
- Beta
- 0.46
- R²
- 0.05
- Upside Capture
- 105.02%
- Downside Capture
- 121.79%
Return for Risk
Risk / Return Rank
^RTSI ranks 12 for risk / return — in the bottom 12% of indices on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for RTS Index (^RTSI) and compare them to S&P 500 Index.
| ^RTSI | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.05 | 2.39 | -2.34 |
Sortino ratioReturn per unit of downside risk | 0.22 | 3.25 | -3.04 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.43 | -0.41 |
Calmar ratioReturn relative to maximum drawdown | 0.05 | 3.11 | -3.06 |
Martin ratioReturn relative to average drawdown | 0.12 | 14.38 | -14.26 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the RTS Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the RTS Index was 93.26%, occurring on Oct 5, 1998. Recovery took 1250 trading sessions.
The current RTS Index drawdown is 54.28%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
1998 bear market1998 | -93.26%Oct 1998 | 12mo 3d | 4y 12mo | 5y 12moOct 1997 - Oct 2003 |
Financial crisis2007–2009 | -79.98%Jan 2009 | 8mo 8d | — | 18y 18dMay 2008 - now |
1996 bear market1996 | -35.72%Jul 1996 | 19d | 5mo 19d | 6mo 8dJul 1996 - Jan 1997 |
1996 bear market1996 | -34.17%Mar 1996 | 6mo 9d | 1mo 8d | 7mo 17dSep 1995 - Apr 1996 |
2004 bear market2004 | -33.70%Jul 2004 | 3mo 16d | 1y 4d | 1y 3moApr 2004 - Aug 2005 |
Drawdown Indicators
| ^RTSI | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.26% | -56.78% | -36.48% |
Max Drawdown (1Y)Largest decline over 1 year | -17.79% | -9.10% | -8.69% |
Max Drawdown (3Y)Largest decline over 3 years | -40.03% | -18.90% | -21.13% |
Max Drawdown (5Y)Largest decline over 5 years | -62.14% | -25.43% | -36.71% |
Max Drawdown (10Y)Largest decline over 10 years | -62.14% | -33.92% | -28.22% |
Current DrawdownCurrent decline from peak | -54.28% | 0.00% | -54.28% |
Average DrawdownAverage peak-to-trough decline | -43.30% | -10.72% | -32.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.19% | 1.97% | +6.22% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^RTSI
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