RUB=X vs. BZ=F

Last updated Jun 6, 2026

RUB=X (USD/RUB) is a currency, while BZ=F (Crude Oil Brent) is an asset. Over the past 10 years, RUB=X returned 1.32%/yr vs 7.77%/yr for BZ=F. At a 0.16 correlation, their price movements are largely independent.

Performance

RUB=X vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a RUB 10,000 investment in USD/RUB (RUB=X) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

RUB=X is traded in RUB, while BZ=F is traded in USD. To make them comparable, the BZ=F values have been converted to RUB using the latest available exchange rates.

Returns By Period

In the year-to-date period, RUB=X achieves a -6.89% return, which is significantly lower than BZ=F's 45.08% return. Over the past 10 years, RUB=X has underperformed BZ=F with an annualized return of 1.32%, while BZ=F has yielded a comparatively higher 7.77% annualized return.

RUB=X

• 1D: 0.35%
• 1M: -1.48%
• YTD: -6.89%
• 6M: -3.74%
• 1Y: -4.66%
• 3Y*: -3.26%
• 5Y*: 0.24%
• 10Y*: 1.32%

BZ=F

• 1D: -3.26%
• 1M: -7.76%
• YTD: 45.08%
• 6M: 43.16%
• 1Y: 38.34%
• 3Y*: 4.14%
• 5Y*: 5.94%
• 10Y*: 7.77%

*Multi-year figures are annualized to reflect compound growth (CAGR)

RUB=X vs. BZ=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RUB=X USD/RUB	-6.89%	-27.92%	22.80%	23.24%	-3.42%	1.46%	19.26%	-10.38%	20.06%	-6.34%
BZ=F Crude Oil Brent	45.08%	-41.24%	18.98%	10.52%	6.68%	52.35%	-6.40%	9.94%	-3.41%	10.22%

Correlation

The correlation between RUB=X and BZ=F is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.52
Correlation (5Y) Calculated over the trailing 5-year period	0.50
Correlation (10Y) Calculated over the trailing 10-year period	0.29
Correlation (All Time) Calculated using the full available price history since Jul 2, 2007	0.16

Over the past year, RUB=X and BZ=F have become more correlated (0.45) than their long-term average of 0.16, meaning their price movements have been converging.

Return for Risk

RUB=X vs. BZ=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

RUB=X

RUB=X Risk / Return Rank: 43
RUB=X Sharpe Ratio Rank: 39
RUB=X Sortino Ratio Rank: 44
RUB=X Omega Ratio Rank: 44
RUB=X Calmar Ratio Rank: 44
RUB=X Martin Ratio Rank: 44

BZ=F

BZ=F Risk / Return Rank: 29
BZ=F Sharpe Ratio Rank: 26
BZ=F Sortino Ratio Rank: 28
BZ=F Omega Ratio Rank: 20
BZ=F Calmar Ratio Rank: 37
BZ=F Martin Ratio Rank: 35

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

RUB=X vs. BZ=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for USD/RUB (RUB=X) and Crude Oil Brent (BZ=F). 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.

	RUB=X	BZ=F	Difference
Sharpe ratio: Return per unit of total volatility	-0.25	0.61	-0.86
Sortino ratio: Return per unit of downside risk	-0.25	1.10	-1.35
Omega ratio: Gain probability vs. loss probability	0.97	1.15	-0.19
Calmar ratio: Return relative to maximum drawdown	-0.21	0.99	-1.20
Martin ratio: Return relative to average drawdown	-0.49	2.13	-2.62
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RUB=X vs. BZ=F - Sharpe Ratio Comparison

The current RUB=X Sharpe Ratio is -0.25, which is lower than the BZ=F Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of RUB=X and BZ=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	RUB=X	BZ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.25	0.61	-0.86
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.01	0.11	-0.11
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.05	0.17	-0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.27	0.18	+0.08

Drawdowns

RUB=X vs. BZ=F - Drawdown Comparison

The maximum RUB=X drawdown since its inception was -62.40%, smaller than the maximum BZ=F drawdown of -74.01%. Use the drawdown chart below to compare losses from any high point for RUB=X and BZ=F.

Drawdown Indicators

	RUB=X	BZ=F	Difference
Max Drawdown Largest peak-to-trough decline	-62.40%	-74.01%	+11.61%
Max Drawdown (1Y) Largest decline over 1 year	-17.71%	-32.04%	+14.33%
Max Drawdown (3Y) Largest decline over 3 years	-37.63%	-50.30%	+12.67%
Max Drawdown (5Y) Largest decline over 5 years	-62.40%	-72.66%	+10.26%
Max Drawdown (10Y) Largest decline over 10 years	-62.40%	-74.01%	+11.61%
Current Drawdown Current decline from peak	-46.73%	-59.01%	+12.28%
Average Drawdown Average peak-to-trough decline	-20.51%	-28.75%	+8.24%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.44%	14.27%	-5.83%

Volatility

RUB=X vs. BZ=F - Volatility Comparison

The current volatility for USD/RUB (RUB=X) is 3.65%, while Crude Oil Brent (BZ=F) has a volatility of 16.62%. This indicates that RUB=X experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RUB=X	BZ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.65%	16.62%	-12.97%
Volatility (6M) Calculated over the trailing 6-month period	9.68%	48.40%	-38.72%
Volatility (1Y) Calculated over the trailing 1-year period	15.16%	52.10%	-36.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.45%	49.51%	-20.06%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.24%	43.79%	-20.55%

Frequently Asked Questions

Can I hold both RUB=X and BZ=F in my portfolio?

RUB=X and BZ=F have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RUB=X or BZ=F?

BZ=F has higher volatility (16.62%) compared to RUB=X (3.65%). In terms of maximum drawdown, RUB=X dropped -62.40% vs BZ=F's -74.01%.

Which has better risk-adjusted returns?

BZ=F currently has the higher Sharpe Ratio (0.61 vs -0.25), 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.