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 -1.98%/yr vs 57.94%/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 2.86% return, which is significantly higher than BTC-USD's -26.96% return. Over the past 10 years, RUBUSD=X has underperformed BTC-USD with an annualized return of -1.98%, while BTC-USD has yielded a comparatively higher 57.94% annualized return.
RUBUSD=X
- 1D
- -0.32%
- 1M
- -5.64%
- 6M
- 2.79%
- YTD
- 2.86%
- 1Y
- 1.56%
- 3Y*
- 5.49%
- 5Y*
- -0.63%
- 10Y*
- -1.98%
BTC-USD
- 1D
- 0.21%
- 1M
- 0.58%
- 6M
- -29.67%
- YTD
- -26.96%
- 1Y
- -45.60%
- 3Y*
- 26.63%
- 5Y*
- 14.32%
- 10Y*
- 57.94%
RUBUSD=X vs. BTC-USD - Yearly Performance Comparison
Correlation
The correlation between RUBUSD=X and BTC-USD is 0.07, 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 | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since Oct 27, 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.
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.
| RUBUSD=X | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.15 | ||
| Sortino ratioReturn per unit of downside risk | +1.83 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 0.84 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.10 | -0.86 | +0.95 |
| Martin ratioReturn relative to average drawdown | 0.28 | -1.40 | +1.68 |
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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 | -13.07% | -53.08% | +40.01% |
Max Drawdown (3Y)Largest decline over 3 years | -26.61% | -53.08% | +26.47% |
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 | -69.95% | -48.76% | -21.19% |
Average DrawdownAverage peak-to-trough decline | -50.18% | -42.54% | -7.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.27% | 29.22% | -24.95% |
Volatility
RUBUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for RUB/USD (RUBUSD=X) is 5.79%, while Bitcoin (BTC-USD) has a volatility of 8.77%. 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 | 5.79% | 8.77% | -2.98% |
Volatility (6M)Calculated over the trailing 6-month period | 11.83% | 34.92% | -23.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.26% | 35.53% | -20.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.76% | 43.94% | -4.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 29.96% | 56.32% | -26.36% |
Frequently Asked Questions
RUBUSD=X and BTC-USD have a correlation of 0.07, 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 (8.77%) compared to RUBUSD=X (5.79%). In terms of maximum drawdown, RUBUSD=X dropped -83.48% vs BTC-USD's -85.30%.
RUBUSD=X currently has the higher Sharpe Ratio (0.08 vs -1.07), 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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