ETH-USD vs. ^RTSI
ETH-USD (Ethereum) is a cryptocurrency, while ^RTSI (RTS Index) is an index. Over the past 10 years, ETH-USD returned 61.34%/yr vs 2.17%/yr for ^RTSI. At a 0.06 correlation, their price movements are largely independent.
Performance
ETH-USD vs. ^RTSI - Performance Comparison
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Returns By Period
In the year-to-date period, ETH-USD achieves a -43.98% return, which is significantly lower than ^RTSI's 0.37% return. Over the past 10 years, ETH-USD has outperformed ^RTSI with an annualized return of 61.34%, while ^RTSI has yielded a comparatively lower 2.17% annualized return.
ETH-USD
- 1D
- -1.64%
- 1M
- -28.55%
- YTD
- -43.98%
- 6M
- -46.81%
- 1Y
- -33.81%
- 3Y*
- -3.34%
- 5Y*
- -8.64%
- 10Y*
- 61.34%
^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%
ETH-USD vs. ^RTSI - Yearly Performance Comparison
Correlation
The correlation between ETH-USD and ^RTSI 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 (1Y) Calculated over the trailing 1-year period | -0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.09 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.06 |
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Return for Risk
ETH-USD vs. ^RTSI — Risk / Return Rank
ETH-USD
^RTSI
ETH-USD vs. ^RTSI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ethereum (ETH-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.
| ETH-USD | ^RTSI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.44 | ||
| Sortino ratioReturn per unit of downside risk | -0.45 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.01 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | -0.07 | -0.43 |
| Martin ratioReturn relative to average drawdown | -0.88 | -0.15 | -0.73 |
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
| ETH-USD | ^RTSI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.50 | -0.06 | -0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.12 | -0.21 | +0.09 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 0.07 | +0.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.75 | 0.21 | +0.53 |
Drawdowns
ETH-USD vs. ^RTSI - Drawdown Comparison
The maximum ETH-USD drawdown since its inception was -94.01%, roughly equal to the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for ETH-USD and ^RTSI.
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Drawdown Indicators
| ETH-USD | ^RTSI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -94.01% | -93.26% | -0.75% |
Max Drawdown (1Y)Largest decline over 1 year | -67.53% | -17.79% | -49.74% |
Max Drawdown (3Y)Largest decline over 3 years | -67.53% | -40.03% | -27.50% |
Max Drawdown (5Y)Largest decline over 5 years | -79.35% | -62.14% | -17.21% |
Max Drawdown (10Y)Largest decline over 10 years | -94.01% | -62.14% | -31.87% |
Current DrawdownCurrent decline from peak | -65.60% | -55.05% | -10.55% |
Average DrawdownAverage peak-to-trough decline | -50.89% | -43.30% | -7.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 44.58% | 8.17% | +36.41% |
Volatility
ETH-USD vs. ^RTSI - Volatility Comparison
Ethereum (ETH-USD) has a higher volatility of 16.88% compared to RTS Index (^RTSI) at 5.98%. This indicates that ETH-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
| ETH-USD | ^RTSI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 16.88% | 5.98% | +10.90% |
Volatility (6M)Calculated over the trailing 6-month period | 46.80% | 12.81% | +33.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.55% | 21.07% | +35.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.65% | 36.06% | +23.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 78.04% | 31.01% | +47.03% |
Frequently Asked Questions
ETH-USD and ^RTSI 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.
ETH-USD has higher volatility (16.88%) compared to ^RTSI (5.98%). In terms of maximum drawdown, ETH-USD dropped -94.01% vs ^RTSI's -93.26%.
^RTSI currently has the higher Sharpe Ratio (-0.06 vs -0.50), 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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