^RTSI vs. HG=F
^RTSI (RTS Index) is an index, while HG=F (Copper) is an asset. At a 0.01 correlation, their price movements are largely independent.
Performance
^RTSI vs. HG=F - Performance Comparison
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Returns By Period
^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%
HG=F
- 1D
- —
- 1M
- —
- YTD
- —
- 6M
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
^RTSI vs. HG=F - Yearly Performance Comparison
Correlation
The correlation between ^RTSI and HG=F 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 (All Time) Calculated using the full available price history since Jan 31, 2022 | 0.01 |
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Return for Risk
^RTSI vs. HG=F — Risk / Return Rank
^RTSI
HG=F
^RTSI vs. HG=F - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for RTS Index (^RTSI) and Copper (HG=F). 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 | HG=F | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | 1.01 | — | — |
| Calmar ratioReturn relative to maximum drawdown | -0.07 | — | — |
| Martin ratioReturn relative to average drawdown | -0.15 | — | — |
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 | HG=F | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.06 | — | — |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.21 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.07 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | — | — |
Drawdowns
^RTSI vs. HG=F - Drawdown Comparison
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Drawdown Indicators
| ^RTSI | HG=F | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.26% | — | — |
Max Drawdown (1Y)Largest decline over 1 year | -17.79% | — | — |
Max Drawdown (3Y)Largest decline over 3 years | -40.03% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -62.14% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -62.14% | — | — |
Current DrawdownCurrent decline from peak | -55.05% | — | — |
Average DrawdownAverage peak-to-trough decline | -43.30% | — | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.17% | — | — |
Volatility
^RTSI vs. HG=F - Volatility Comparison
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Volatility by Period
| ^RTSI | HG=F | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.98% | — | — |
Volatility (6M)Calculated over the trailing 6-month period | 12.81% | — | — |
Volatility (1Y)Calculated over the trailing 1-year period | 21.07% | — | — |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.06% | — | — |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.01% | — | — |
Frequently Asked Questions
^RTSI and HG=F 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.
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