RUBUSD=X vs. BTC-USD
Compare and contrast key facts about RUB/USD (RUBUSD=X) and Bitcoin (BTC-USD).
Performance
RUBUSD=X vs. BTC-USD - Performance Comparison
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RUBUSD=X vs. BTC-USD - Yearly Performance Comparison
Returns By Period
In the year-to-date period, RUBUSD=X achieves a -1.51% return, which is significantly higher than BTC-USD's -23.70% return. Over the past 10 years, RUBUSD=X has underperformed BTC-USD with an annualized return of -1.55%, while BTC-USD has yielded a comparatively higher 66.03% annualized return.
RUBUSD=X
- 1D
- 0.12%
- 1M
- -3.19%
- YTD
- -1.51%
- 6M
- 2.93%
- 1Y
- 5.06%
- 3Y*
- -1.07%
- 5Y*
- -0.94%
- 10Y*
- -1.55%
BTC-USD
- 1D
- -1.99%
- 1M
- -2.31%
- YTD
- -23.70%
- 6M
- -44.66%
- 1Y
- -19.07%
- 3Y*
- 33.89%
- 5Y*
- 3.18%
- 10Y*
- 66.03%
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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 | 0.23 | -0.43 | +0.66 |
Sortino ratioReturn per unit of downside risk | 0.48 | -0.36 | +0.84 |
Omega ratioGain probability vs. loss probability | 1.06 | 0.96 | +0.10 |
Calmar ratioReturn relative to maximum drawdown | -0.02 | -1.14 | +1.12 |
Martin ratioReturn relative to average drawdown | -0.03 | -2.03 | +2.00 |
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 | 0.23 | -0.43 | +0.66 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.02 | 0.06 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.05 | 0.97 | -1.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.23 | 1.18 | -1.41 |
Correlation
The correlation between RUBUSD=X and BTC-USD is 0.02, 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.
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% | -49.65% | +35.57% |
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 | -71.23% | -46.47% | -24.76% |
Average DrawdownAverage peak-to-trough decline | -49.02% | -42.00% | -7.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.16% | 27.75% | -20.59% |
Volatility
RUBUSD=X vs. BTC-USD - Volatility Comparison
The current volatility for RUB/USD (RUBUSD=X) is 7.27%, while Bitcoin (BTC-USD) has a volatility of 13.70%. 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 | 7.27% | 13.70% | -6.43% |
Volatility (6M)Calculated over the trailing 6-month period | 11.22% | 35.96% | -24.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.59% | 36.69% | -19.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.85% | 46.91% | -7.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 30.09% | 56.71% | -26.62% |