^RTSI vs. ETH-USD
^RTSI (RTS Index) is an index, while ETH-USD (Ethereum) is a cryptocurrency. Over the past 10 years, ^RTSI returned 2.17%/yr vs 61.34%/yr for ETH-USD. At a 0.06 correlation, their price movements are largely independent.
Performance
^RTSI vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ^RTSI achieves a 0.37% return, which is significantly higher than ETH-USD's -43.98% return. Over the past 10 years, ^RTSI has underperformed ETH-USD with an annualized return of 2.17%, while ETH-USD has yielded a comparatively higher 61.34% annualized return.
^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%
ETH-USD
- 1D
- -1.64%
- 1M
- -28.55%
- YTD
- -43.98%
- 6M
- -46.81%
- 1Y
- -33.81%
- 3Y*
- -3.34%
- 5Y*
- -8.64%
- 10Y*
- 61.34%
^RTSI vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between ^RTSI and ETH-USD is -0.01, 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 | -0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.09 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.06 |
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Return for Risk
^RTSI vs. ETH-USD — Risk / Return Rank
^RTSI
ETH-USD
^RTSI vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for RTS Index (^RTSI) and Ethereum (ETH-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 | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.44 | ||
| Sortino ratioReturn per unit of downside risk | +0.45 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 0.96 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.07 | -0.50 | +0.43 |
| Martin ratioReturn relative to average drawdown | -0.15 | -0.88 | +0.73 |
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 | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.06 | -0.50 | +0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.21 | -0.12 | -0.09 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.07 | 0.65 | -0.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 0.75 | -0.53 |
Drawdowns
^RTSI vs. ETH-USD - Drawdown Comparison
The maximum ^RTSI drawdown since its inception was -93.26%, roughly equal to the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for ^RTSI and ETH-USD.
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Drawdown Indicators
| ^RTSI | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.26% | -94.01% | +0.75% |
Max Drawdown (1Y)Largest decline over 1 year | -17.79% | -67.53% | +49.74% |
Max Drawdown (3Y)Largest decline over 3 years | -40.03% | -67.53% | +27.50% |
Max Drawdown (5Y)Largest decline over 5 years | -62.14% | -79.35% | +17.21% |
Max Drawdown (10Y)Largest decline over 10 years | -62.14% | -94.01% | +31.87% |
Current DrawdownCurrent decline from peak | -55.05% | -65.60% | +10.55% |
Average DrawdownAverage peak-to-trough decline | -43.30% | -50.89% | +7.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.17% | 44.58% | -36.41% |
Volatility
^RTSI vs. ETH-USD - Volatility Comparison
The current volatility for RTS Index (^RTSI) is 5.98%, while Ethereum (ETH-USD) has a volatility of 16.88%. This indicates that ^RTSI experiences smaller price fluctuations and is considered to be less risky than ETH-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 | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.98% | 16.88% | -10.90% |
Volatility (6M)Calculated over the trailing 6-month period | 12.81% | 46.80% | -33.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.07% | 56.55% | -35.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.06% | 59.65% | -23.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.01% | 78.04% | -47.03% |
Frequently Asked Questions
^RTSI and ETH-USD have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (16.88%) compared to ^RTSI (5.98%). In terms of maximum drawdown, ^RTSI dropped -93.26% vs ETH-USD's -94.01%.
^RTSI currently has the higher Sharpe Ratio (-0.06 vs -0.50), 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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