DAX vs. ^RTSI
DAX (Global X DAX Germany ETF) is Europe Equities fund tracking the DAX Index, while ^RTSI (RTS Index) is an index. Over the past 10 years, DAX returned 9.21%/yr vs 2.17%/yr for ^RTSI. At a 0.26 correlation, their price movements are largely independent.
Performance
DAX vs. ^RTSI - Performance Comparison
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Returns By Period
In the year-to-date period, DAX achieves a -2.02% return, which is significantly lower than ^RTSI's 0.37% return. Over the past 10 years, DAX has outperformed ^RTSI with an annualized return of 9.21%, while ^RTSI has yielded a comparatively lower 2.17% annualized return.
DAX
- 1D
- -0.07%
- 1M
- -1.60%
- YTD
- -2.02%
- 6M
- 0.86%
- 1Y
- 1.43%
- 3Y*
- 17.37%
- 5Y*
- 7.56%
- 10Y*
- 9.21%
^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%
DAX vs. ^RTSI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DAX Global X DAX Germany ETF | -2.02% | 39.00% | 10.55% | 23.62% | -18.47% | 7.73% | 12.27% | 22.11% | -22.92% | 28.23% |
^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 DAX and ^RTSI is 0.02, 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 | 0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.24 |
Correlation (All Time) Calculated using the full available price history since Oct 23, 2014 | 0.26 |
Over the past year, the correlation between DAX and ^RTSI has dropped to 0.02 - well below their long-term average of 0.26, suggesting their price drivers have been diverging.
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Return for Risk
DAX vs. ^RTSI — Risk / Return Rank
DAX
^RTSI
DAX vs. ^RTSI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X DAX Germany ETF (DAX) 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.
| DAX | ^RTSI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.01 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 0.10 | -0.07 | +0.17 |
| Martin ratioReturn relative to average drawdown | 0.30 | -0.15 | +0.45 |
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
| DAX | ^RTSI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.08 | -0.06 | +0.14 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.37 | -0.21 | +0.58 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.44 | 0.07 | +0.36 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 0.21 | +0.13 |
Drawdowns
DAX vs. ^RTSI - Drawdown Comparison
The maximum DAX drawdown since its inception was -45.58%, smaller than the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for DAX and ^RTSI.
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Drawdown Indicators
| DAX | ^RTSI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.58% | -93.26% | +47.68% |
Max Drawdown (1Y)Largest decline over 1 year | -14.82% | -17.79% | +2.97% |
Max Drawdown (3Y)Largest decline over 3 years | -16.03% | -40.03% | +24.00% |
Max Drawdown (5Y)Largest decline over 5 years | -39.72% | -62.14% | +22.42% |
Max Drawdown (10Y)Largest decline over 10 years | -45.58% | -62.14% | +16.56% |
Current DrawdownCurrent decline from peak | -5.93% | -55.05% | +49.12% |
Average DrawdownAverage peak-to-trough decline | -10.50% | -43.30% | +32.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.71% | 8.17% | -3.46% |
Volatility
DAX vs. ^RTSI - Volatility Comparison
The current volatility for Global X DAX Germany ETF (DAX) is 5.30%, while RTS Index (^RTSI) has a volatility of 5.98%. This indicates that DAX 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.
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Volatility by Period
| DAX | ^RTSI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.30% | 5.98% | -0.68% |
Volatility (6M)Calculated over the trailing 6-month period | 14.59% | 12.81% | +1.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.86% | 21.07% | -3.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.41% | 36.06% | -15.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.28% | 31.01% | -9.73% |
Frequently Asked Questions
DAX and ^RTSI have a correlation of 0.02, 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 DAX (5.30%). In terms of maximum drawdown, DAX dropped -45.58% vs ^RTSI's -93.26%.
DAX currently has the higher Sharpe Ratio (0.08 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.
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