BTC-USD vs. ^RTSI
BTC-USD (Bitcoin) is a cryptocurrency, while ^RTSI (RTS Index) is an index. Over the past 10 years, BTC-USD returned 59.68%/yr vs 2.17%/yr for ^RTSI. At a 0.04 correlation, their price movements are largely independent.
Performance
BTC-USD vs. ^RTSI - Performance Comparison
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Returns By Period
In the year-to-date period, BTC-USD achieves a -28.54% return, which is significantly lower than ^RTSI's 0.37% return. Over the past 10 years, BTC-USD has outperformed ^RTSI with an annualized return of 59.68%, while ^RTSI has yielded a comparatively lower 2.17% annualized return.
BTC-USD
- 1D
- -1.22%
- 1M
- -22.47%
- YTD
- -28.54%
- 6M
- -31.02%
- 1Y
- -40.89%
- 3Y*
- 33.16%
- 5Y*
- 10.82%
- 10Y*
- 59.68%
^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%
BTC-USD vs. ^RTSI - Yearly Performance Comparison
Correlation
The correlation between BTC-USD and ^RTSI is -0.05, 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 | -0.05 |
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 23, 2012 | 0.04 |
The correlation between BTC-USD and ^RTSI shifts across timeframes, from -0.05 (1 year) to 0.06 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
BTC-USD vs. ^RTSI — Risk / Return Rank
BTC-USD
^RTSI
BTC-USD vs. ^RTSI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-USD) and RTS Index (^RTSI). 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.
| BTC-USD | ^RTSI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.89 | ||
| Sortino ratioReturn per unit of downside risk | -1.42 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.01 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | -0.07 | -0.73 |
| Martin ratioReturn relative to average drawdown | -1.42 | -0.15 | -1.27 |
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
| BTC-USD | ^RTSI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.95 | -0.06 | -0.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.20 | -0.21 | +0.41 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.87 | 0.07 | +0.80 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.13 | 0.21 | +0.92 |
Drawdowns
BTC-USD vs. ^RTSI - Drawdown Comparison
The maximum BTC-USD drawdown since its inception was -85.30%, smaller than the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for BTC-USD and ^RTSI.
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Drawdown Indicators
| BTC-USD | ^RTSI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.30% | -93.26% | +7.96% |
Max Drawdown (1Y)Largest decline over 1 year | -51.21% | -17.79% | -33.42% |
Max Drawdown (3Y)Largest decline over 3 years | -51.21% | -40.03% | -11.18% |
Max Drawdown (5Y)Largest decline over 5 years | -76.67% | -62.14% | -14.53% |
Max Drawdown (10Y)Largest decline over 10 years | -83.80% | -62.14% | -21.66% |
Current DrawdownCurrent decline from peak | -49.86% | -55.05% | +5.19% |
Average DrawdownAverage peak-to-trough decline | -42.32% | -43.30% | +0.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.46% | 8.17% | +26.29% |
Volatility
BTC-USD vs. ^RTSI - Volatility Comparison
Bitcoin (BTC-USD) has a higher volatility of 11.59% compared to RTS Index (^RTSI) at 5.98%. This indicates that BTC-USD's price experiences larger fluctuations and is considered to be riskier than ^RTSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BTC-USD | ^RTSI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.59% | 5.98% | +5.61% |
Volatility (6M)Calculated over the trailing 6-month period | 34.53% | 12.81% | +21.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 35.67% | 21.07% | +14.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 44.95% | 36.06% | +8.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.71% | 31.01% | +25.70% |
Frequently Asked Questions
BTC-USD and ^RTSI have a correlation of -0.05, 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 (11.59%) compared to ^RTSI (5.98%). In terms of maximum drawdown, BTC-USD dropped -85.30% vs ^RTSI's -93.26%.
^RTSI currently has the higher Sharpe Ratio (-0.06 vs -0.95), 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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