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 1.32%/yr vs 62.09%/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 -6.89% return, which is significantly higher than ETH-USD's -49.99% return. Over the past 10 years, RUB=X has underperformed ETH-USD with an annualized return of 1.32%, while ETH-USD has yielded a comparatively higher 62.09% 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%
ETH-USD
- 1D
- -9.59%
- 1M
- -33.22%
- YTD
- -49.99%
- 6M
- -49.25%
- 1Y
- -37.10%
- 3Y*
- -8.53%
- 5Y*
- -9.73%
- 10Y*
- 62.09%
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 8, 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.
| RUB=X | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.29 | ||
| Sortino ratioReturn per unit of downside risk | +0.22 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.95 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | -0.53 | +0.31 |
| Martin ratioReturn relative to average drawdown | -0.49 | -0.92 | +0.43 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| RUB=X | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.25 | -0.54 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.01 | -0.13 | +0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.05 | 0.64 | -0.59 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.27 | 0.74 | -0.47 |
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% | -70.33% | +52.62% |
Max Drawdown (3Y)Largest decline over 3 years | -37.63% | -71.64% | +34.01% |
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 | -46.73% | -71.64% | +24.91% |
Average DrawdownAverage peak-to-trough decline | -20.51% | -48.31% | +27.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.44% | 47.19% | -38.75% |
Volatility
RUB=X vs. ETH-USD - Volatility Comparison
The current volatility for USD/RUB (RUB=X) is 3.65%, while Ethereum (ETH-USD) has a volatility of 14.13%. 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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Volatility by Period
| RUB=X | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.65% | 14.13% | -10.48% |
Volatility (6M)Calculated over the trailing 6-month period | 9.68% | 48.34% | -38.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.16% | 57.61% | -42.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.45% | 64.20% | -34.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.24% | 80.31% | -57.07% |
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 (14.13%) compared to RUB=X (3.65%). In terms of maximum drawdown, RUB=X dropped -62.40% vs ETH-USD's -92.46%.
RUB=X currently has the higher Sharpe Ratio (-0.25 vs -0.54), 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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