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Performance
^IMOEX Performance Chart
MOEX Russia Index (^IMOEX) is down 5.3% since the beginning of the year. ^IMOEX is currently trading at RUB 2,620 per share. Investors who bought RUB 1,000 worth of ^IMOEX shares 5 years ago would now be looking at an investment worth RUB 689.
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Returns By Period
MOEX Russia Index (^IMOEX) has returned -5.29% so far this year and -7.54% over the past 12 months. Over the last ten years, ^IMOEX has returned 3.34% per year, falling short of the S&P 500 Index benchmark, which averaged 15.01% annually.
MOEX Russia Index
- 1D
- 1.96%
- 1M
- -0.02%
- YTD
- -5.29%
- 6M
- -1.18%
- 1Y
- -7.54%
- 3Y*
- -1.23%
- 5Y*
- -7.19%
- 10Y*
- 3.34%
Benchmark (S&P 500 Index)
- 1D
- 1.73%
- 1M
- 2.40%
- YTD
- 2.96%
- 6M
- 4.88%
- 1Y
- 18.21%
- 3Y*
- 17.23%
- 5Y*
- 12.61%
- 10Y*
- 15.01%
^IMOEX Monthly Returns History
Based on dividend-adjusted daily data since Sep 22, 1997, ^IMOEX's average daily return is +0.07%, while the average monthly return is +1.46%. At this rate, an investment would double in approximately 4.0 years.
Historically, 60% of months were positive and 40% were negative. The best month was Nov 1998 with a return of +53.0%, while the worst month was Aug 1998 at -44.2%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^IMOEX closed higher 53% of trading days. The best single day was Sep 7, 1998 with a return of +31.7%, while the worst single day was Feb 24, 2022 at -33.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.58% | 0.59% | -0.81% | -4.26% | -3.48% | 2.14% | -5.29% | ||||||
| 2025 | 2.26% | 8.56% | -5.85% | -3.15% | -3.07% | 0.66% | -4.05% | 6.12% | -7.41% | -5.94% | 5.99% | 3.37% | -4.04% |
| 2024 | 3.71% | 1.33% | 2.33% | 4.12% | -7.28% | -2.07% | -6.52% | -10.03% | 7.83% | -10.41% | 0.70% | 11.83% | -6.97% |
| 2023 | 3.32% | 1.24% | 8.77% | 7.52% | 3.14% | 2.93% | 9.87% | 5.03% | -2.93% | 2.16% | -1.10% | -2.11% | 43.87% |
| 2022 | -6.78% | -30.02% | 9.43% | -9.56% | -3.66% | -6.41% | 0.41% | 8.41% | -18.45% | 10.69% | 0.37% | -0.94% | -43.12% |
| 2021 | -0.36% | 2.12% | 5.83% | 0.06% | 5.01% | 3.23% | -1.83% | 3.91% | 4.71% | 1.13% | -6.25% | -2.66% | 15.15% |
Benchmark Metrics
MOEX Russia Index has an annualized alpha of 4.85%, beta of 0.14, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since September 23, 1997.
- This index participated in 29.26% of S&P 500 Index downside but only 18.53% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.14 may look defensive, but with R2 of 0.01 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.01 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 4.85%
- Beta
- 0.14
- R²
- 0.01
- Upside Capture
- 18.53%
- Downside Capture
- 29.26%
Return for Risk
Risk / Return Rank
^IMOEX ranks 3 for risk / return — in the bottom 3% of indices on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for MOEX Russia Index (^IMOEX) and compare them to S&P 500 Index.
| ^IMOEX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.40 | 0.97 | -1.37 |
Sortino ratioReturn per unit of downside risk | -0.46 | 1.43 | -1.88 |
Omega ratioGain probability vs. loss probability | 0.95 | 1.18 | -0.24 |
Calmar ratioReturn relative to maximum drawdown | -0.41 | 1.93 | -2.34 |
Martin ratioReturn relative to average drawdown | -0.80 | 4.55 | -5.36 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the MOEX Russia Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the MOEX Russia Index was 83.89%, occurring on Oct 5, 1998. Recovery took 167 trading sessions.
The current MOEX Russia Index drawdown is 38.88%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
1998 bear market1998 | -83.89%Oct 1998 | 12mo 3d | 8mo 6d | 1y 8moOct 1997 - Jun 1999 |
Financial crisis2007–2009 | -73.93%Oct 2008 | 10mo 16d | 7y 9mo | 8y 8moDec 2007 - Aug 2016 |
Bear market2022 | -55.29%Oct 2022 | 11mo 24d | — | 4y 7moOct 2021 - now |
Dot-com crash2000–2002 | -52.86%Dec 2000 | 8mo 28d | 1y 2mo | 1y 11moMar 2000 - Mar 2002 |
1999 bear market1999 | -44.57%Sep 1999 | 2mo 17d | 3mo 6d | 5mo 23dJul 1999 - Dec 1999 |
Drawdown Indicators
| ^IMOEX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -83.89% | -66.07% | -17.82% |
Max Drawdown (1Y)Largest decline over 1 year | -17.77% | -9.46% | -8.31% |
Max Drawdown (3Y)Largest decline over 3 years | -32.12% | -38.15% | +6.03% |
Max Drawdown (5Y)Largest decline over 5 years | -55.29% | -66.07% | +10.78% |
Max Drawdown (10Y)Largest decline over 10 years | -55.29% | -66.07% | +10.78% |
Current DrawdownCurrent decline from peak | -38.88% | -17.87% | -21.01% |
Average DrawdownAverage peak-to-trough decline | -21.00% | -13.00% | -8.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.17% | 4.01% | +5.16% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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