^RTSI vs. BTC-USD
^RTSI (RTS Index) is an index, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, ^RTSI returned 2.34%/yr vs 60.98%/yr for BTC-USD. At a 0.04 correlation, their price movements are largely independent.
Performance
^RTSI vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ^RTSI achieves a 2.09% return, which is significantly higher than BTC-USD's -23.17% return. Over the past 10 years, ^RTSI has underperformed BTC-USD with an annualized return of 2.34%, while BTC-USD has yielded a comparatively higher 60.98% annualized return.
^RTSI
- 1D
- 0.53%
- 1M
- 1.60%
- YTD
- 2.09%
- 6M
- 4.86%
- 1Y
- 0.97%
- 3Y*
- 2.65%
- 5Y*
- -7.02%
- 10Y*
- 2.34%
BTC-USD
- 1D
- 0.85%
- 1M
- -14.42%
- YTD
- -23.17%
- 6M
- -26.37%
- 1Y
- -36.52%
- 3Y*
- 35.33%
- 5Y*
- 12.77%
- 10Y*
- 60.98%
^RTSI vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between ^RTSI and BTC-USD is -0.06, 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 | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.06 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2012 | 0.04 |
The correlation between ^RTSI and BTC-USD shifts across timeframes, from -0.06 (1 year) to 0.06 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
^RTSI vs. BTC-USD — Risk / Return Rank
^RTSI
BTC-USD
^RTSI vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for RTS Index (^RTSI) and Bitcoin (BTC-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.
| ^RTSI | BTC-USD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.05 | -0.85 | +0.90 |
Sortino ratioReturn per unit of downside risk | 0.22 | -1.14 | +1.35 |
Omega ratioGain probability vs. loss probability | 1.03 | 0.88 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | -0.00 | -1.07 | +1.06 |
Martin ratioReturn relative to average drawdown | -0.01 | -1.57 | +1.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^RTSI | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.05 | -0.85 | +0.90 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.20 | 0.24 | -0.43 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.08 | 0.89 | -0.82 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 1.14 | -0.93 |
Drawdowns
^RTSI vs. BTC-USD - Drawdown Comparison
The maximum ^RTSI drawdown since its inception was -93.26%, which is greater than BTC-USD's maximum drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for ^RTSI and BTC-USD.
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Drawdown Indicators
| ^RTSI | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.26% | -85.30% | -7.96% |
Max Drawdown (1Y)Largest decline over 1 year | -17.79% | -49.65% | +31.86% |
Max Drawdown (3Y)Largest decline over 3 years | -40.03% | -49.65% | +9.62% |
Max Drawdown (5Y)Largest decline over 5 years | -62.14% | -76.67% | +14.53% |
Max Drawdown (10Y)Largest decline over 10 years | -62.14% | -83.80% | +21.66% |
Current DrawdownCurrent decline from peak | -54.28% | -46.10% | -8.18% |
Average DrawdownAverage peak-to-trough decline | -43.30% | -42.27% | -1.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.19% | 33.71% | -25.52% |
Volatility
^RTSI vs. BTC-USD - Volatility Comparison
The current volatility for RTS Index (^RTSI) is 5.75%, while Bitcoin (BTC-USD) has a volatility of 9.90%. This indicates that ^RTSI experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^RTSI | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.75% | 9.90% | -4.15% |
Volatility (6M)Calculated over the trailing 6-month period | 12.73% | 33.98% | -21.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.01% | 35.37% | -14.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.05% | 45.01% | -8.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.01% | 56.68% | -25.67% |
Frequently Asked Questions
^RTSI and BTC-USD have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (9.90%) compared to ^RTSI (5.75%). In terms of maximum drawdown, ^RTSI dropped -93.26% vs BTC-USD's -85.30%.
^RTSI currently has the higher Sharpe Ratio (0.05 vs -0.85), 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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