XRP-USD vs. ^RTSI
XRP-USD (XRP) is a cryptocurrency, while ^RTSI (RTS Index) is an index. Over the past 5 years, XRP-USD returned 4.64%/yr vs -7.45%/yr for ^RTSI. At a 0.07 correlation, their price movements are largely independent.
Performance
XRP-USD vs. ^RTSI - Performance Comparison
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Returns By Period
In the year-to-date period, XRP-USD achieves a -37.24% return, which is significantly lower than ^RTSI's 0.37% return.
XRP-USD
- 1D
- -0.09%
- 1M
- -18.75%
- YTD
- -37.24%
- 6M
- -44.31%
- 1Y
- -49.12%
- 3Y*
- 28.98%
- 5Y*
- 4.64%
- 10Y*
- —
^RTSI
- 1D
- -1.70%
- 1M
- 1.53%
- YTD
- 0.37%
- 6M
- -0.37%
- 1Y
- 0.87%
- 3Y*
- 2.07%
- 5Y*
- -7.45%
- 10Y*
- 2.17%
XRP-USD vs. ^RTSI - Yearly Performance Comparison
Correlation
The correlation between XRP-USD and ^RTSI is -0.06, 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 | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2017 | 0.07 |
The correlation between XRP-USD and ^RTSI shifts across timeframes, from -0.06 (1 year) to 0.07 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
XRP-USD vs. ^RTSI — Risk / Return Rank
XRP-USD
^RTSI
XRP-USD vs. ^RTSI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for XRP (XRP-USD) and RTS Index (^RTSI). 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.
| XRP-USD | ^RTSI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.67 | ||
| Sortino ratioReturn per unit of downside risk | -1.03 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 1.01 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | -0.07 | -0.64 |
| Martin ratioReturn relative to average drawdown | -1.13 | -0.15 | -0.99 |
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
| XRP-USD | ^RTSI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.73 | -0.06 | -0.67 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.05 | -0.21 | +0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.07 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.54 | 0.21 | +0.33 |
Drawdowns
XRP-USD vs. ^RTSI - Drawdown Comparison
The maximum XRP-USD drawdown since its inception was -95.87%, roughly equal to the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for XRP-USD and ^RTSI.
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Drawdown Indicators
| XRP-USD | ^RTSI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -95.87% | -93.26% | -2.61% |
Max Drawdown (1Y)Largest decline over 1 year | -69.23% | -17.79% | -51.44% |
Max Drawdown (3Y)Largest decline over 3 years | -69.23% | -40.03% | -29.20% |
Max Drawdown (5Y)Largest decline over 5 years | -77.83% | -62.14% | -15.69% |
Max Drawdown (10Y)Largest decline over 10 years | — | -62.14% | — |
Current DrawdownCurrent decline from peak | -67.51% | -55.05% | -12.46% |
Average DrawdownAverage peak-to-trough decline | -71.01% | -43.30% | -27.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 43.98% | 8.17% | +35.81% |
Volatility
XRP-USD vs. ^RTSI - Volatility Comparison
XRP (XRP-USD) has a higher volatility of 14.20% compared to RTS Index (^RTSI) at 5.98%. This indicates that XRP-USD's price experiences larger fluctuations and is considered to be riskier than ^RTSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XRP-USD | ^RTSI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.20% | 5.98% | +8.22% |
Volatility (6M)Calculated over the trailing 6-month period | 46.00% | 12.81% | +33.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.17% | 21.07% | +35.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 72.40% | 36.06% | +36.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 111.80% | 31.01% | +80.79% |
Frequently Asked Questions
XRP-USD and ^RTSI have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XRP-USD has higher volatility (14.20%) compared to ^RTSI (5.98%). In terms of maximum drawdown, XRP-USD dropped -95.87% vs ^RTSI's -93.26%.
^RTSI currently has the higher Sharpe Ratio (-0.06 vs -0.73), 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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