RUBUSD=X vs. ETH-USD
RUBUSD=X (RUB/USD) is a currency, while ETH-USD (Ethereum) is a cryptocurrency. Over the past 10 years, RUBUSD=X returned -1.29%/yr vs 59.97%/yr for ETH-USD. At a 0.06 correlation, their price movements are largely independent.
Performance
RUBUSD=X vs. ETH-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 ETH-USD's -46.29% return. Over the past 10 years, RUBUSD=X has underperformed ETH-USD with an annualized return of -1.29%, while ETH-USD has yielded a comparatively higher 59.97% 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%
ETH-USD
- 1D
- -9.90%
- 1M
- -32.21%
- YTD
- -46.29%
- 6M
- -47.28%
- 1Y
- -34.03%
- 3Y*
- -5.45%
- 5Y*
- -10.08%
- 10Y*
- 59.97%
RUBUSD=X vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between RUBUSD=X and ETH-USD is 0.01, 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 | 0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Aug 8, 2015 | 0.06 |
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Return for Risk
RUBUSD=X vs. ETH-USD — Risk / Return Rank
RUBUSD=X
ETH-USD
RUBUSD=X vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for RUB/USD (RUBUSD=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.
| RUBUSD=X | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.75 | ||
| Sortino ratioReturn per unit of downside risk | +0.86 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.96 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 0.28 | -0.51 | +0.79 |
| Martin ratioReturn relative to average drawdown | 0.60 | -0.89 | +1.49 |
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 | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.24 | -0.50 | +0.75 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.01 | -0.14 | +0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.04 | 0.64 | -0.68 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.21 | 0.74 | -0.95 |
Drawdowns
RUBUSD=X vs. ETH-USD - Drawdown Comparison
The maximum RUBUSD=X drawdown since its inception was -83.48%, smaller than the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for RUBUSD=X and ETH-USD.
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Drawdown Indicators
| RUBUSD=X | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -83.48% | -94.01% | +10.53% |
Max Drawdown (1Y)Largest decline over 1 year | -14.08% | -67.02% | +52.94% |
Max Drawdown (3Y)Largest decline over 3 years | -28.33% | -67.02% | +38.69% |
Max Drawdown (5Y)Largest decline over 5 years | -53.91% | -79.35% | +25.44% |
Max Drawdown (10Y)Largest decline over 10 years | -60.21% | -94.01% | +33.80% |
Current DrawdownCurrent decline from peak | -68.67% | -67.02% | -1.65% |
Average DrawdownAverage peak-to-trough decline | -49.77% | -50.88% | +1.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.67% | 44.01% | -40.34% |
Volatility
RUBUSD=X vs. ETH-USD - Volatility Comparison
The current volatility for RUB/USD (RUBUSD=X) is 4.94%, while Ethereum (ETH-USD) has a volatility of 14.30%. This indicates that RUBUSD=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
| RUBUSD=X | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.94% | 14.30% | -9.36% |
Volatility (6M)Calculated over the trailing 6-month period | 11.04% | 46.06% | -35.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.22% | 56.49% | -40.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.77% | 59.61% | -19.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 29.99% | 78.01% | -48.02% |
Frequently Asked Questions
RUBUSD=X and ETH-USD have a correlation of 0.01, 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 (14.30%) compared to RUBUSD=X (4.94%). In terms of maximum drawdown, RUBUSD=X dropped -83.48% vs ETH-USD's -94.01%.
RUBUSD=X currently has the higher Sharpe Ratio (0.24 vs -0.50), 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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