^RTSI vs. COTZX

Last updated Jun 3, 2026

^RTSI (RTS Index) is an index, while COTZX (Columbia Thermostat Fund) is Tactical Allocation fund managed by Columbia. Over the past 10 years, ^RTSI returned 2.34%/yr vs 7.44%/yr for COTZX. At a 0.26 correlation, their price movements are largely independent.

Performance

^RTSI vs. COTZX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in RTS Index (^RTSI) and Columbia Thermostat Fund (COTZX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^RTSI achieves a 2.09% return, which is significantly lower than COTZX's 3.49% return. Over the past 10 years, ^RTSI has underperformed COTZX with an annualized return of 2.34%, while COTZX has yielded a comparatively higher 7.44% 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%

COTZX

• 1D: 0.05%
• 1M: 1.66%
• YTD: 3.49%
• 6M: 3.53%
• 1Y: 12.68%
• 3Y*: 10.87%
• 5Y*: 4.79%
• 10Y*: 7.44%

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

^RTSI vs. COTZX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^RTSI RTS Index	2.09%	24.73%	-17.56%	11.63%	-39.18%	15.01%	-10.42%	44.93%	-7.42%	0.18%
COTZX Columbia Thermostat Fund	3.49%	15.02%	7.98%	11.66%	-12.92%	6.44%	29.61%	15.15%	-1.17%	3.33%

Correlation

The correlation between ^RTSI and COTZX is 0.02, 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	0.02
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	0.08
Correlation (10Y) Calculated over the trailing 10-year period	0.17
Correlation (All Time) Calculated using the full available price history since Sep 27, 2002	0.26

Over the past year, the correlation between ^RTSI and COTZX has dropped to 0.02 - well below their long-term average of 0.26, suggesting their price drivers have been diverging.

Return for Risk

^RTSI vs. COTZX — Risk / Return Rank

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

^RTSI

^RTSI Risk / Return Rank: 12
^RTSI Sharpe Ratio Rank: 12
^RTSI Sortino Ratio Rank: 13
^RTSI Omega Ratio Rank: 13
^RTSI Calmar Ratio Rank: 10
^RTSI Martin Ratio Rank: 11

COTZX

COTZX Risk / Return Rank: 78
COTZX Sharpe Ratio Rank: 79
COTZX Sortino Ratio Rank: 81
COTZX Omega Ratio Rank: 77
COTZX Calmar Ratio Rank: 70
COTZX Martin Ratio Rank: 81

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.

^RTSI vs. COTZX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for RTS Index (^RTSI) and Columbia Thermostat Fund (COTZX). 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	COTZX	Difference
Sharpe ratio Return per unit of total volatility	0.05	2.57	-2.53
Sortino ratio Return per unit of downside risk	0.22	3.82	-3.61
Omega ratio Gain probability vs. loss probability	1.03	1.50	-0.48
Calmar ratio Return relative to maximum drawdown	-0.00	3.24	-3.24
Martin ratio Return relative to average drawdown	-0.01	15.24	-15.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^RTSI vs. COTZX - Sharpe Ratio Comparison

The current ^RTSI Sharpe Ratio is 0.05, which is lower than the COTZX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of ^RTSI and COTZX, 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

	^RTSI	COTZX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.05	2.57	-2.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.20	0.66	-0.85
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.08	1.01	-0.93
Sharpe Ratio (All Time) Calculated using the full available price history	0.22	0.64	-0.43

Drawdowns

^RTSI vs. COTZX - Drawdown Comparison

The maximum ^RTSI drawdown since its inception was -93.26%, which is greater than COTZX's maximum drawdown of -47.48%. Use the drawdown chart below to compare losses from any high point for ^RTSI and COTZX.

Drawdown Indicators

	^RTSI	COTZX	Difference
Max Drawdown Largest peak-to-trough decline	-93.26%	-47.48%	-45.78%
Max Drawdown (1Y) Largest decline over 1 year	-17.79%	-4.02%	-13.77%
Max Drawdown (3Y) Largest decline over 3 years	-40.03%	-6.93%	-33.10%
Max Drawdown (5Y) Largest decline over 5 years	-62.14%	-17.80%	-44.34%
Max Drawdown (10Y) Largest decline over 10 years	-62.14%	-17.80%	-44.34%
Current Drawdown Current decline from peak	-54.28%	0.00%	-54.28%
Average Drawdown Average peak-to-trough decline	-43.30%	-3.47%	-39.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.19%	0.85%	+7.34%

Volatility

^RTSI vs. COTZX - Volatility Comparison

RTS Index (^RTSI) has a higher volatility of 5.75% compared to Columbia Thermostat Fund (COTZX) at 1.60%. This indicates that ^RTSI's price experiences larger fluctuations and is considered to be riskier than COTZX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^RTSI	COTZX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.75%	1.60%	+4.15%
Volatility (6M) Calculated over the trailing 6-month period	12.73%	3.96%	+8.77%
Volatility (1Y) Calculated over the trailing 1-year period	21.01%	5.06%	+15.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	36.05%	7.33%	+28.72%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	31.01%	7.39%	+23.62%

Frequently Asked Questions

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

^RTSI and COTZX have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^RTSI or COTZX?

^RTSI has higher volatility (5.75%) compared to COTZX (1.60%). In terms of maximum drawdown, ^RTSI dropped -93.26% vs COTZX's -47.48%.

Which has better risk-adjusted returns?

COTZX currently has the higher Sharpe Ratio (2.57 vs 0.05), 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.