COTZX vs. ^RTSI
COTZX (Columbia Thermostat Fund) is Tactical Allocation fund managed by Columbia, while ^RTSI (RTS Index) is an index. Over the past 10 years, COTZX returned 7.37%/yr vs 2.17%/yr for ^RTSI. At a 0.26 correlation, their price movements are largely independent.
Performance
COTZX vs. ^RTSI - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, COTZX achieves a 2.65% return, which is significantly higher than ^RTSI's 0.37% return. Over the past 10 years, COTZX has outperformed ^RTSI with an annualized return of 7.37%, while ^RTSI has yielded a comparatively lower 2.17% annualized return.
COTZX
- 1D
- 1.00%
- 1M
- 0.16%
- YTD
- 2.65%
- 6M
- 3.13%
- 1Y
- 10.49%
- 3Y*
- 10.37%
- 5Y*
- 4.48%
- 10Y*
- 7.37%
^RTSI
- 1D
- -1.70%
- 1M
- -3.38%
- YTD
- 0.37%
- 6M
- 3.31%
- 1Y
- 2.61%
- 3Y*
- 2.07%
- 5Y*
- -7.45%
- 10Y*
- 2.17%
COTZX vs. ^RTSI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COTZX Columbia Thermostat Fund | 2.65% | 15.02% | 7.98% | 11.66% | -12.92% | 6.44% | 29.61% | 15.15% | -1.17% | 3.33% |
^RTSI RTS Index | 0.37% | 24.73% | -17.56% | 11.63% | -39.18% | 15.01% | -10.42% | 44.93% | -7.42% | 0.18% |
Correlation
The correlation between COTZX and ^RTSI is 0.03, 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 | 0.03 |
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 26, 2002 | 0.26 |
Over the past year, the correlation between COTZX and ^RTSI has dropped to 0.03 - well below their long-term average of 0.26, suggesting their price drivers have been diverging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
COTZX vs. ^RTSI — Risk / Return Rank
COTZX
^RTSI
COTZX vs. ^RTSI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Columbia Thermostat Fund (COTZX) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| COTZX | ^RTSI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.11 | ||
| Sortino ratioReturn per unit of downside risk | +2.93 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.01 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 2.71 | -0.07 | +2.77 |
| Martin ratioReturn relative to average drawdown | 12.45 | -0.15 | +12.60 |
Loading charts...
Drawdowns
COTZX vs. ^RTSI - Drawdown Comparison
The maximum COTZX drawdown since its inception was -47.48%, smaller than the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for COTZX and ^RTSI.
Loading charts...
Drawdown Indicators
| COTZX | ^RTSI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.48% | -93.26% | +45.78% |
Max Drawdown (1Y)Largest decline over 1 year | -4.02% | -17.79% | +13.77% |
Max Drawdown (3Y)Largest decline over 3 years | -6.93% | -40.03% | +33.10% |
Max Drawdown (5Y)Largest decline over 5 years | -17.80% | -62.14% | +44.34% |
Max Drawdown (10Y)Largest decline over 10 years | -17.80% | -62.14% | +44.34% |
Current DrawdownCurrent decline from peak | -0.82% | -55.05% | +54.23% |
Average DrawdownAverage peak-to-trough decline | -3.46% | -43.30% | +39.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 8.17% | -7.30% |
Volatility
COTZX vs. ^RTSI - Volatility Comparison
The current volatility for Columbia Thermostat Fund (COTZX) is 2.19%, while RTS Index (^RTSI) has a volatility of 5.98%. This indicates that COTZX experiences smaller price fluctuations and is considered to be less risky than ^RTSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| COTZX | ^RTSI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.19% | 5.98% | -3.79% |
Volatility (6M)Calculated over the trailing 6-month period | 4.28% | 12.81% | -8.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.30% | 21.07% | -15.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.37% | 36.06% | -28.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.41% | 31.01% | -23.60% |
Frequently Asked Questions
COTZX and ^RTSI have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^RTSI has higher volatility (5.98%) compared to COTZX (2.19%). In terms of maximum drawdown, COTZX dropped -47.48% vs ^RTSI's -93.26%.
COTZX currently has the higher Sharpe Ratio (2.05 vs -0.06), 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.
Find the right allocation for COTZX and ^RTSI
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer