RUBUSD=X vs. BZ=F

Last updated Jun 6, 2026

RUBUSD=X (RUB/USD) is a currency, while BZ=F (Crude Oil Brent) is an asset. Over the past 10 years, RUBUSD=X returned -1.29%/yr vs 6.53%/yr for BZ=F. At a 0.27 correlation, their price movements are largely independent.

Performance

RUBUSD=X vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in RUB/USD (RUBUSD=X) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, RUBUSD=X achieves a 7.26% return, which is significantly lower than BZ=F's 56.35% return. Over the past 10 years, RUBUSD=X has underperformed BZ=F with an annualized return of -1.29%, while BZ=F has yielded a comparatively higher 6.53% 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%

BZ=F

• 1D: -2.73%
• 1M: -6.05%
• YTD: 56.35%
• 6M: 49.24%
• 1Y: 45.61%
• 3Y*: 7.44%
• 5Y*: 5.76%
• 10Y*: 6.53%

*Multi-year figures are annualized to reflect compound growth (CAGR)

RUBUSD=X vs. BZ=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RUBUSD=X RUB/USD	7.26%	39.10%	-18.63%	-17.52%	1.88%	-1.48%	-16.36%	11.83%	-16.60%	6.18%
BZ=F Crude Oil Brent	56.35%	-18.48%	-3.12%	-10.32%	10.45%	50.15%	-21.52%	22.68%	-19.55%	17.69%

Correlation

The correlation between RUBUSD=X and BZ=F is -0.16, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.16
Correlation (3Y) Calculated over the trailing 3-year period	-0.10
Correlation (5Y) Calculated over the trailing 5-year period	-0.01
Correlation (10Y) Calculated over the trailing 10-year period	0.16
Correlation (All Time) Calculated using the full available price history since Jul 5, 2007	0.27

The correlation between RUBUSD=X and BZ=F shifts across timeframes, from -0.16 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.

Return for Risk

RUBUSD=X vs. BZ=F — Risk / Return Rank

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

RUBUSD=X

RUBUSD=X Risk / Return Rank: 61
RUBUSD=X Sharpe Ratio Rank: 60
RUBUSD=X Sortino Ratio Rank: 63
RUBUSD=X Omega Ratio Rank: 63
RUBUSD=X Calmar Ratio Rank: 60
RUBUSD=X Martin Ratio Rank: 59

BZ=F

BZ=F Risk / Return Rank: 29
BZ=F Sharpe Ratio Rank: 26
BZ=F Sortino Ratio Rank: 28
BZ=F Omega Ratio Rank: 20
BZ=F Calmar Ratio Rank: 37
BZ=F Martin Ratio Rank: 35

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

RUBUSD=X vs. BZ=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for RUB/USD (RUBUSD=X) and Crude Oil Brent (BZ=F). 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	BZ=F	Difference
Sharpe ratio: Return per unit of total volatility	0.24	0.86	-0.62
Sortino ratio: Return per unit of downside risk	0.47	1.32	-0.86
Omega ratio: Gain probability vs. loss probability	1.06	1.20	-0.14
Calmar ratio: Return relative to maximum drawdown	0.28	1.74	-1.46
Martin ratio: Return relative to average drawdown	0.60	2.92	-2.32
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RUBUSD=X vs. BZ=F - Sharpe Ratio Comparison

The current RUBUSD=X Sharpe Ratio is 0.24, which is lower than the BZ=F Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of RUBUSD=X and BZ=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	RUBUSD=X	BZ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.24	0.86	-0.62
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.01	0.15	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.04	0.16	-0.20
Sharpe Ratio (All Time) Calculated using the full available price history	-0.21	0.13	-0.35

Drawdowns

RUBUSD=X vs. BZ=F - Drawdown Comparison

The maximum RUBUSD=X drawdown since its inception was -83.48%, roughly equal to the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for RUBUSD=X and BZ=F.

Drawdown Indicators

	RUBUSD=X	BZ=F	Difference
Max Drawdown Largest peak-to-trough decline	-83.48%	-86.77%	+3.29%
Max Drawdown (1Y) Largest decline over 1 year	-14.08%	-23.63%	+9.55%
Max Drawdown (3Y) Largest decline over 3 years	-28.33%	-38.97%	+10.64%
Max Drawdown (5Y) Largest decline over 5 years	-53.91%	-53.96%	+0.05%
Max Drawdown (10Y) Largest decline over 10 years	-60.21%	-77.60%	+17.39%
Current Drawdown Current decline from peak	-68.67%	-34.87%	-33.80%
Average Drawdown Average peak-to-trough decline	-49.77%	-40.98%	-8.79%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.67%	11.46%	-7.79%

Volatility

RUBUSD=X vs. BZ=F - Volatility Comparison

The current volatility for RUB/USD (RUBUSD=X) is 4.94%, while Crude Oil Brent (BZ=F) has a volatility of 15.08%. This indicates that RUBUSD=X experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RUBUSD=X	BZ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.94%	15.08%	-10.14%
Volatility (6M) Calculated over the trailing 6-month period	11.04%	45.73%	-34.69%
Volatility (1Y) Calculated over the trailing 1-year period	16.22%	47.65%	-31.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	39.77%	37.44%	+2.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	29.99%	39.20%	-9.21%

Frequently Asked Questions

Can I hold both RUBUSD=X and BZ=F in my portfolio?

RUBUSD=X and BZ=F 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.

Which is riskier, RUBUSD=X or BZ=F?

BZ=F has higher volatility (15.08%) compared to RUBUSD=X (4.94%). In terms of maximum drawdown, RUBUSD=X dropped -83.48% vs BZ=F's -86.77%.

Which has better risk-adjusted returns?

BZ=F currently has the higher Sharpe Ratio (0.86 vs 0.24), 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.