RUBUSD=X vs. BTC-USD
RUBUSD=X (RUB/USD) is a currency, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, RUBUSD=X returned -1.29%/yr vs 59.37%/yr for BTC-USD. At a 0.02 correlation, their price movements are largely independent.
Performance
RUBUSD=X vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, RUBUSD=X achieves a 7.26% return, which is significantly higher than BTC-USD's -29.97% return. Over the past 10 years, RUBUSD=X has underperformed BTC-USD with an annualized return of -1.29%, while BTC-USD has yielded a comparatively higher 59.37% annualized return.
RUBUSD=X
- 1D
- -0.37%
- 1M
- 1.48%
- YTD
- 7.26%
- 6M
- 3.86%
- 1Y
- 4.88%
- 3Y*
- 3.41%
- 5Y*
- -0.24%
- 10Y*
- -1.29%
BTC-USD
- 1D
- -3.97%
- 1M
- -24.76%
- YTD
- -29.97%
- 6M
- -31.42%
- 1Y
- -39.67%
- 3Y*
- 31.02%
- 5Y*
- 11.35%
- 10Y*
- 59.37%
RUBUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between RUBUSD=X and BTC-USD is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since Sep 21, 2012 | 0.02 |
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Return for Risk
RUBUSD=X vs. BTC-USD — Risk / Return Rank
RUBUSD=X
BTC-USD
RUBUSD=X vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for RUB/USD (RUBUSD=X) and Bitcoin (BTC-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.
| RUBUSD=X | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.17 | ||
| Sortino ratioReturn per unit of downside risk | +1.76 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.87 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.28 | -0.78 | +1.06 |
| Martin ratioReturn relative to average drawdown | 0.60 | -1.39 | +1.99 |
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
| RUBUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.24 | -0.93 | +1.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.01 | 0.21 | -0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.04 | 0.87 | -0.91 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.21 | 1.13 | -1.34 |
Drawdowns
RUBUSD=X vs. BTC-USD - Drawdown Comparison
The maximum RUBUSD=X drawdown since its inception was -83.48%, roughly equal to the maximum BTC-USD drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for RUBUSD=X and BTC-USD.
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Drawdown Indicators
| RUBUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -83.48% | -85.30% | +1.82% |
Max Drawdown (1Y)Largest decline over 1 year | -14.08% | -50.87% | +36.79% |
Max Drawdown (3Y)Largest decline over 3 years | -28.33% | -50.87% | +22.54% |
Max Drawdown (5Y)Largest decline over 5 years | -53.91% | -76.67% | +22.76% |
Max Drawdown (10Y)Largest decline over 10 years | -60.21% | -83.80% | +23.59% |
Current DrawdownCurrent decline from peak | -68.67% | -50.87% | -17.80% |
Average DrawdownAverage peak-to-trough decline | -49.77% | -42.29% | -7.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.67% | 34.02% | -30.35% |
Volatility
RUBUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for RUB/USD (RUBUSD=X) is 4.94%, while Bitcoin (BTC-USD) has a volatility of 10.54%. This indicates that RUBUSD=X experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RUBUSD=X | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.94% | 10.54% | -5.60% |
Volatility (6M)Calculated over the trailing 6-month period | 11.04% | 34.26% | -23.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.22% | 35.65% | -19.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.77% | 44.98% | -5.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 29.99% | 56.70% | -26.71% |
Frequently Asked Questions
RUBUSD=X and BTC-USD have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (10.54%) compared to RUBUSD=X (4.94%). In terms of maximum drawdown, RUBUSD=X dropped -83.48% vs BTC-USD's -85.30%.
RUBUSD=X currently has the higher Sharpe Ratio (0.24 vs -0.93), 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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