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MOEX Russia Index

IMOEX
Index · Currency in RUB

IMOEXPrice Chart


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S&P 500

IMOEXPerformance

The chart shows the growth of RUB 10,000 invested in MOEX Russia Index on Jan 12, 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly RUB 27,929 for a total return of roughly 179.29%. All prices are adjusted for splits and dividends.


IMOEX (MOEX Russia Index)
Benchmark (S&P 500)

IMOEXReturns in periods

Returns over 1 year are annualized

PeriodReturn
1M2.34%
6M15.13%
YTD22.69%
1Y35.64%
5Y15.23%
10Y10.45%

IMOEXMonthly Returns Heatmap


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IMOEXSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current MOEX Russia Index Sharpe ratio is 2.75. A Sharpe ratio higher than 2.0 is considered very good.

The chart below displays rolling 12-month Sharpe Ratio.


IMOEX (MOEX Russia Index)
Benchmark (S&P 500)

IMOEXDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


IMOEX (MOEX Russia Index)
Benchmark (S&P 500)

IMOEXWorst Drawdowns

The table below shows the maximum drawdowns of the MOEX Russia Index. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the MOEX Russia Index is 34.39%, recorded on Mar 18, 2020. It took 185 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.39%Jan 21, 202040Mar 18, 2020185Dec 10, 2020225
-33.47%Apr 7, 2011741Mar 14, 2014425Nov 23, 20151166
-21.79%Apr 16, 201026May 25, 2010113Nov 1, 2010139
-20.46%Jan 4, 2017111Jun 15, 2017151Jan 18, 2018262
-13.9%Nov 24, 201535Jan 15, 201635Mar 4, 201670
-12.07%Jan 20, 201018Feb 12, 201034Apr 5, 201052
-11.15%Feb 27, 201829Apr 9, 201824May 14, 201853
-8.14%Oct 4, 201858Dec 25, 201820Jan 25, 201978
-8.01%Jul 5, 201931Aug 16, 201949Oct 24, 201980
-6.51%Apr 29, 201638Jun 27, 201635Aug 15, 201673

IMOEXVolatility Chart

Current MOEX Russia Index volatility is 8.05%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


IMOEX (MOEX Russia Index)
Benchmark (S&P 500)

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