^GSPC vs. ^RTSI

Last updated Jun 9, 2026

^GSPC (S&P 500 Index) and ^RTSI (RTS Index) are both indexes. Over the past 10 years, ^GSPC returned 13.45%/yr vs 2.17%/yr for ^RTSI. At a 0.22 correlation, their price movements are largely independent.

Performance

^GSPC vs. ^RTSI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Index (^GSPC) and RTS Index (^RTSI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^GSPC achieves a 8.18% return, which is significantly higher than ^RTSI's 0.37% return. Over the past 10 years, ^GSPC has outperformed ^RTSI with an annualized return of 13.45%, while ^RTSI has yielded a comparatively lower 2.17% annualized return.

^GSPC

• 1D: 0.30%
• 1M: 0.09%
• YTD: 8.18%
• 6M: 8.17%
• 1Y: 23.42%
• 3Y*: 19.88%
• 5Y*: 11.91%
• 10Y*: 13.45%

^RTSI

• 1D: -1.70%
• 1M: 1.53%
• YTD: 0.37%
• 6M: -0.37%
• 1Y: 0.87%
• 3Y*: 2.07%
• 5Y*: -7.45%
• 10Y*: 2.17%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPC vs. ^RTSI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GSPC S&P 500 Index	8.18%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%
^RTSI RTS Index	0.37%	24.73%	-17.56%	11.63%	-39.18%	15.01%	-10.42%	44.93%	-7.42%	0.18%

Correlation

The correlation between ^GSPC and ^RTSI is 0.00, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.00
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (10Y) Calculated over the trailing 10-year period	0.22
Correlation (All Time) Calculated using the full available price history since Sep 1, 1995	0.22

Over the past year, the correlation between ^GSPC and ^RTSI has dropped to 0.00 - well below their long-term average of 0.22, suggesting their price drivers have been diverging.

Return for Risk

^GSPC vs. ^RTSI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^GSPC

^GSPC Risk / Return Rank: 68
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 65
^GSPC Omega Ratio Rank: 71
^GSPC Calmar Ratio Rank: 65
^GSPC Martin Ratio Rank: 79

^RTSI

^RTSI Risk / Return Rank: 11
^RTSI Sharpe Ratio Rank: 11
^RTSI Sortino Ratio Rank: 11
^RTSI Omega Ratio Rank: 11
^RTSI Calmar Ratio Rank: 11
^RTSI Martin Ratio Rank: 11

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GSPC vs. ^RTSI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and RTS Index (^RTSI). 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.

	^GSPC	^RTSI	Difference
Sharpe ratio: Return per unit of total volatility	1.94	-0.06	+1.99
Sortino ratio: Return per unit of downside risk	2.63	0.07	+2.56
Omega ratio: Gain probability vs. loss probability	1.35	1.01	+0.34
Calmar ratio: Return relative to maximum drawdown	2.59	-0.07	+2.65
Martin ratio: Return relative to average drawdown	11.84	-0.15	+11.99
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GSPC vs. ^RTSI - Sharpe Ratio Comparison

The current ^GSPC Sharpe Ratio is 1.94, which is higher than the ^RTSI Sharpe Ratio of -0.06. The chart below compares the historical Sharpe Ratios of ^GSPC and ^RTSI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^GSPC	^RTSI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.94	-0.06	+1.99
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	-0.21	+0.92
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.75	0.07	+0.68
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.21	+0.26

Drawdowns

^GSPC vs. ^RTSI - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for ^GSPC and ^RTSI.

Drawdown Indicators

	^GSPC	^RTSI	Difference
Max Drawdown Largest peak-to-trough decline	-56.78%	-93.26%	+36.48%
Max Drawdown (1Y) Largest decline over 1 year	-9.10%	-17.79%	+8.69%
Max Drawdown (3Y) Largest decline over 3 years	-18.90%	-40.03%	+21.13%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-62.14%	+36.71%
Max Drawdown (10Y) Largest decline over 10 years	-33.92%	-62.14%	+28.22%
Current Drawdown Current decline from peak	-2.68%	-55.05%	+52.37%
Average Drawdown Average peak-to-trough decline	-10.72%	-43.30%	+32.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	8.17%	-6.19%

Volatility

^GSPC vs. ^RTSI - Volatility Comparison

The current volatility for S&P 500 Index (^GSPC) is 3.80%, while RTS Index (^RTSI) has a volatility of 5.98%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than ^RTSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GSPC	^RTSI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.80%	5.98%	-2.18%
Volatility (6M) Calculated over the trailing 6-month period	9.41%	12.81%	-3.40%
Volatility (1Y) Calculated over the trailing 1-year period	12.17%	21.07%	-8.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.94%	36.06%	-19.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.09%	31.01%	-12.92%

Frequently Asked Questions

Can I hold both ^GSPC and ^RTSI in my portfolio?

^GSPC and ^RTSI have a correlation of 0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^GSPC or ^RTSI?

^RTSI has higher volatility (5.98%) compared to ^GSPC (3.80%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs ^RTSI's -93.26%.

Which has better risk-adjusted returns?

^GSPC currently has the higher Sharpe Ratio (1.94 vs -0.06), 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.