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RTSI vs. VXUS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between RTSI and VXUS is 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

RTSI vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in RTS Index (RTSI) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

-40.00%-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-25.19%
0.93%
RTSI
VXUS

Key characteristics

Sharpe Ratio

RTSI:

-0.77

VXUS:

0.55

Sortino Ratio

RTSI:

-1.06

VXUS:

0.83

Omega Ratio

RTSI:

0.88

VXUS:

1.10

Calmar Ratio

RTSI:

-0.26

VXUS:

0.74

Martin Ratio

RTSI:

-1.01

VXUS:

2.18

Ulcer Index

RTSI:

18.41%

VXUS:

3.17%

Daily Std Dev

RTSI:

24.07%

VXUS:

12.66%

Max Drawdown

RTSI:

-93.26%

VXUS:

-35.97%

Current Drawdown

RTSI:

-64.86%

VXUS:

-7.38%

Returns By Period

In the year-to-date period, RTSI achieves a -19.31% return, which is significantly lower than VXUS's 6.15% return. Over the past 10 years, RTSI has underperformed VXUS with an annualized return of 0.96%, while VXUS has yielded a comparatively higher 5.09% annualized return.


RTSI

YTD

-19.31%

1M

18.31%

6M

-25.18%

1Y

-18.20%

5Y*

-10.94%

10Y*

0.96%

VXUS

YTD

6.15%

1M

-0.42%

6M

0.92%

1Y

6.28%

5Y*

4.41%

10Y*

5.09%

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Risk-Adjusted Performance

RTSI vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for RTS Index (RTSI) and Vanguard Total International Stock ETF (VXUS). 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.


Sharpe ratio
The chart of Sharpe ratio for RTSI, currently valued at -0.93, compared to the broader market-0.500.000.501.001.502.002.50-0.930.78
The chart of Sortino ratio for RTSI, currently valued at -1.35, compared to the broader market-1.000.001.002.003.00-1.351.14
The chart of Omega ratio for RTSI, currently valued at 0.84, compared to the broader market0.901.001.101.201.301.401.500.841.15
The chart of Calmar ratio for RTSI, currently valued at -0.34, compared to the broader market0.001.002.003.004.00-0.341.12
The chart of Martin ratio for RTSI, currently valued at -1.20, compared to the broader market0.005.0010.0015.0020.00-1.202.92
RTSI
VXUS

The current RTSI Sharpe Ratio is -0.77, which is lower than the VXUS Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of RTSI and VXUS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-2.00-1.000.001.002.00JulyAugustSeptemberOctoberNovemberDecember
-0.93
0.78
RTSI
VXUS

Drawdowns

RTSI vs. VXUS - Drawdown Comparison

The maximum RTSI drawdown since its inception was -93.26%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for RTSI and VXUS. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-58.83%
-7.38%
RTSI
VXUS

Volatility

RTSI vs. VXUS - Volatility Comparison

RTS Index (RTSI) has a higher volatility of 13.42% compared to Vanguard Total International Stock ETF (VXUS) at 3.39%. This indicates that RTSI's price experiences larger fluctuations and is considered to be riskier than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
13.42%
3.39%
RTSI
VXUS
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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