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RUB=X vs. ETH-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between RUB=X and ETH-USD is 0.10, 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

RUB=X vs. ETH-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USD/RUB (RUB=X) and Ethereum (ETH-USD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

RUB=X:

-0.45

ETH-USD:

-0.31

Sortino Ratio

RUB=X:

-0.37

ETH-USD:

0.35

Omega Ratio

RUB=X:

0.96

ETH-USD:

1.04

Calmar Ratio

RUB=X:

-0.20

ETH-USD:

0.03

Martin Ratio

RUB=X:

-0.63

ETH-USD:

-0.32

Ulcer Index

RUB=X:

13.55%

ETH-USD:

31.55%

Daily Std Dev

RUB=X:

23.43%

ETH-USD:

61.83%

Max Drawdown

RUB=X:

-99.02%

ETH-USD:

-93.96%

Current Drawdown

RUB=X:

-40.64%

ETH-USD:

-51.26%

Returns By Period

In the year-to-date period, RUB=X achieves a -27.32% return, which is significantly higher than ETH-USD's -29.62% return.


RUB=X

YTD

-27.32%

1M

-1.20%

6M

-15.48%

1Y

-10.98%

5Y*

2.01%

10Y*

4.55%

ETH-USD

YTD

-29.62%

1M

54.05%

6M

-25.09%

1Y

-19.39%

5Y*

66.08%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

RUB=X vs. ETH-USD — Risk-Adjusted Performance Rank

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

RUB=X
The Risk-Adjusted Performance Rank of RUB=X is 3434
Overall Rank
The Sharpe Ratio Rank of RUB=X is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of RUB=X is 4343
Sortino Ratio Rank
The Omega Ratio Rank of RUB=X is 4343
Omega Ratio Rank
The Calmar Ratio Rank of RUB=X is 1717
Calmar Ratio Rank
The Martin Ratio Rank of RUB=X is 3636
Martin Ratio Rank

ETH-USD
The Risk-Adjusted Performance Rank of ETH-USD is 3636
Overall Rank
The Sharpe Ratio Rank of ETH-USD is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of ETH-USD is 2727
Sortino Ratio Rank
The Omega Ratio Rank of ETH-USD is 2727
Omega Ratio Rank
The Calmar Ratio Rank of ETH-USD is 5353
Calmar Ratio Rank
The Martin Ratio Rank of ETH-USD is 2626
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

RUB=X vs. ETH-USD - Risk-Adjusted Performance 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.


The current RUB=X Sharpe Ratio is -0.45, which is lower than the ETH-USD Sharpe Ratio of -0.31. The chart below compares the historical Sharpe Ratios of RUB=X and ETH-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

RUB=X vs. ETH-USD - Drawdown Comparison

The maximum RUB=X drawdown since its inception was -99.02%, which is greater than ETH-USD's maximum drawdown of -93.96%. Use the drawdown chart below to compare losses from any high point for RUB=X and ETH-USD. For additional features, visit the drawdowns tool.


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Volatility

RUB=X vs. ETH-USD - Volatility Comparison

The current volatility for USD/RUB (RUB=X) is 4.79%, while Ethereum (ETH-USD) has a volatility of 26.13%. 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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