RUB=X vs. ETH-USD
RUB=X (USD/RUB) is a currency, while ETH-USD (Ethereum) is a cryptocurrency. Over the past 10 years, RUB=X returned 1.99%/yr vs 69.39%/yr for ETH-USD. At a 0.15 correlation, their price movements are largely independent.
Performance
RUB=X vs. ETH-USD - Performance Comparison
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Different Trading Currencies
RUB=X is traded in RUB, while ETH-USD is traded in USD. To make them comparable, the ETH-USD 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 -2.00% return, which is significantly higher than ETH-USD's -36.76% return. Over the past 10 years, RUB=X has underperformed ETH-USD with an annualized return of 1.99%, while ETH-USD has yielded a comparatively higher 69.39% annualized return.
RUB=X
- 1D
- -0.05%
- 1M
- 6.97%
- 6M
- -1.26%
- YTD
- -2.00%
- 1Y
- -0.73%
- 3Y*
- -4.94%
- 5Y*
- 0.93%
- 10Y*
- 1.99%
ETH-USD
- 1D
- 1.22%
- 1M
- 14.11%
- 6M
- -43.65%
- YTD
- -36.76%
- 1Y
- -39.43%
- 3Y*
- -5.34%
- 5Y*
- 1.33%
- 10Y*
- 69.39%
RUB=X vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between RUB=X and ETH-USD is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.24 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.15 |
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Return for Risk
RUB=X vs. ETH-USD — Risk / Return Rank
RUB=X
ETH-USD
RUB=X vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/RUB (RUB=X) and Ethereum (ETH-USD). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| RUB=X | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.54 | ||
| Sortino ratioReturn per unit of downside risk | +0.61 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 0.94 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | -0.56 | +0.53 |
| Martin ratioReturn relative to average drawdown | -0.07 | -0.86 | +0.79 |
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Drawdowns
RUB=X vs. ETH-USD - Drawdown Comparison
The maximum RUB=X drawdown since its inception was -62.40%, smaller than the maximum ETH-USD drawdown of -92.46%. Use the drawdown chart below to compare losses from any high point for RUB=X and ETH-USD.
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Drawdown Indicators
| RUB=X | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.40% | -92.46% | +30.06% |
Max Drawdown (1Y)Largest decline over 1 year | -17.71% | -70.52% | +52.81% |
Max Drawdown (3Y)Largest decline over 3 years | -37.63% | -71.83% | +34.20% |
Max Drawdown (5Y)Largest decline over 5 years | -62.40% | -84.81% | +22.41% |
Max Drawdown (10Y)Largest decline over 10 years | -62.40% | -92.46% | +30.06% |
Current DrawdownCurrent decline from peak | -43.94% | -64.14% | +20.20% |
Average DrawdownAverage peak-to-trough decline | -20.81% | -48.51% | +27.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.44% | 39.54% | -30.10% |
Volatility
RUB=X vs. ETH-USD - Volatility Comparison
The current volatility for USD/RUB (RUB=X) is 6.11%, while Ethereum (ETH-USD) has a volatility of 13.64%. This indicates that RUB=X experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RUB=X | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.11% | 13.64% | -7.53% |
Volatility (6M)Calculated over the trailing 6-month period | 10.95% | 48.32% | -37.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.31% | 56.27% | -41.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.50% | 63.29% | -33.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.15% | 78.88% | -55.73% |
Frequently Asked Questions
RUB=X and ETH-USD have a correlation of 0.16, 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 (13.64%) compared to RUB=X (6.11%). In terms of maximum drawdown, RUB=X dropped -62.40% vs ETH-USD's -92.46%.
RUB=X currently has the higher Sharpe Ratio (-0.04 vs -0.58), 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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