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 -1.98%/yr vs 65.81%/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 2.86% return, which is significantly higher than ETH-USD's -38.49% return. Over the past 10 years, RUBUSD=X has underperformed ETH-USD with an annualized return of -1.98%, while ETH-USD has yielded a comparatively higher 65.81% 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%
ETH-USD
- 1D
- 2.13%
- 1M
- 9.57%
- 6M
- -41.49%
- YTD
- -38.49%
- 1Y
- -38.02%
- 3Y*
- -3.10%
- 5Y*
- -1.22%
- 10Y*
- 65.81%
RUBUSD=X vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between RUBUSD=X and ETH-USD is 0.03, 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 | 0.03 |
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 | 0.08 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 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.
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 | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.65 | ||
| Sortino ratioReturn per unit of downside risk | +0.78 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 0.94 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 0.10 | -0.56 | +0.66 |
| Martin ratioReturn relative to average drawdown | 0.28 | -0.88 | +1.16 |
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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 | -13.07% | -67.60% | +54.53% |
Max Drawdown (3Y)Largest decline over 3 years | -26.61% | -67.60% | +40.99% |
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 | -69.95% | -62.23% | -7.72% |
Average DrawdownAverage peak-to-trough decline | -50.18% | -50.99% | +0.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.27% | 36.62% | -32.35% |
Volatility
RUBUSD=X vs. ETH-USD - Volatility Comparison
The current volatility for RUB/USD (RUBUSD=X) is 5.79%, while Ethereum (ETH-USD) has a volatility of 12.64%. 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 | 5.79% | 12.64% | -6.85% |
Volatility (6M)Calculated over the trailing 6-month period | 11.83% | 46.73% | -34.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.26% | 55.18% | -39.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.76% | 58.72% | -18.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 29.96% | 76.84% | -46.88% |
Frequently Asked Questions
RUBUSD=X and ETH-USD have a correlation of 0.03, 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 (12.64%) compared to RUBUSD=X (5.79%). In terms of maximum drawdown, RUBUSD=X dropped -83.48% vs ETH-USD's -94.01%.
RUBUSD=X currently has the higher Sharpe Ratio (0.08 vs -0.57), 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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