RTSI vs. ^GSPC
Compare and contrast key facts about RTS Index (RTSI) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RTSI or ^GSPC.
Key characteristics
| RTSI | ^GSPC | |
|---|---|---|
| YTD Return | -14.25% | 18.10% |
| 1Y Return | -8.76% | 26.58% |
| 3Y Return (Ann) | -19.45% | 8.02% |
| 5Y Return (Ann) | -7.55% | 13.42% |
| 10Y Return (Ann) | -2.56% | 10.87% |
| Sharpe Ratio | -0.51 | 1.96 |
| Daily Std Dev | 18.16% | 12.71% |
| Max Drawdown | -93.26% | -56.78% |
| Current Drawdown | -62.66% | -0.60% |
Correlation
The correlation between RTSI and ^GSPC is 0.23, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
RTSI vs. ^GSPC - Performance Comparison
In the year-to-date period, RTSI achieves a -14.25% return, which is significantly lower than ^GSPC's 18.10% return. Over the past 10 years, RTSI has underperformed ^GSPC with an annualized return of -2.56%, while ^GSPC has yielded a comparatively higher 10.87% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
RTSI vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for RTS Index (RTSI) and S&P 500 (^GSPC). 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.
Drawdowns
RTSI vs. ^GSPC - Drawdown Comparison
The maximum RTSI drawdown since its inception was -93.26%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for RTSI and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
RTSI vs. ^GSPC - Volatility Comparison
RTS Index (RTSI) has a higher volatility of 8.34% compared to S&P 500 (^GSPC) at 4.09%. This indicates that RTSI's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.