^RTSI vs. XRP-USD
^RTSI (RTS Index) is an index, while XRP-USD (XRP) is a cryptocurrency. Over the past 5 years, ^RTSI returned -7.45%/yr vs 4.64%/yr for XRP-USD. At a 0.07 correlation, their price movements are largely independent.
Performance
^RTSI vs. XRP-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 XRP-USD's -37.24% 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%
XRP-USD
- 1D
- -0.09%
- 1M
- -18.75%
- YTD
- -37.24%
- 6M
- -44.31%
- 1Y
- -49.12%
- 3Y*
- 28.98%
- 5Y*
- 4.64%
- 10Y*
- —
^RTSI vs. XRP-USD - Yearly Performance Comparison
Correlation
The correlation between ^RTSI and XRP-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 | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2017 | 0.07 |
The correlation between ^RTSI and XRP-USD shifts across timeframes, from -0.06 (1 year) to 0.07 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^RTSI vs. XRP-USD — Risk / Return Rank
^RTSI
XRP-USD
^RTSI vs. XRP-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for RTS Index (^RTSI) and XRP (XRP-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 | XRP-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.67 | ||
| Sortino ratioReturn per unit of downside risk | +1.03 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 0.90 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.07 | -0.71 | +0.64 |
| Martin ratioReturn relative to average drawdown | -0.15 | -1.13 | +0.99 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^RTSI | XRP-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.06 | -0.73 | +0.67 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.21 | 0.05 | -0.26 |
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 | 0.54 | -0.33 |
Drawdowns
^RTSI vs. XRP-USD - Drawdown Comparison
The maximum ^RTSI drawdown since its inception was -93.26%, roughly equal to the maximum XRP-USD drawdown of -95.87%. Use the drawdown chart below to compare losses from any high point for ^RTSI and XRP-USD.
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Drawdown Indicators
| ^RTSI | XRP-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.26% | -95.87% | +2.61% |
Max Drawdown (1Y)Largest decline over 1 year | -17.79% | -69.23% | +51.44% |
Max Drawdown (3Y)Largest decline over 3 years | -40.03% | -69.23% | +29.20% |
Max Drawdown (5Y)Largest decline over 5 years | -62.14% | -77.83% | +15.69% |
Max Drawdown (10Y)Largest decline over 10 years | -62.14% | — | — |
Current DrawdownCurrent decline from peak | -55.05% | -67.51% | +12.46% |
Average DrawdownAverage peak-to-trough decline | -43.30% | -71.01% | +27.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.17% | 43.98% | -35.81% |
Volatility
^RTSI vs. XRP-USD - Volatility Comparison
The current volatility for RTS Index (^RTSI) is 5.98%, while XRP (XRP-USD) has a volatility of 14.20%. This indicates that ^RTSI experiences smaller price fluctuations and is considered to be less risky than XRP-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 | XRP-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.98% | 14.20% | -8.22% |
Volatility (6M)Calculated over the trailing 6-month period | 12.81% | 46.00% | -33.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.07% | 56.17% | -35.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.06% | 72.40% | -36.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.01% | 111.80% | -80.79% |
Frequently Asked Questions
^RTSI and XRP-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.
XRP-USD has higher volatility (14.20%) compared to ^RTSI (5.98%). In terms of maximum drawdown, ^RTSI dropped -93.26% vs XRP-USD's -95.87%.
^RTSI currently has the higher Sharpe Ratio (-0.06 vs -0.73), 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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