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MOEX Total Return

MCFTR
Index · Currency in RUB

MCFTRPrice Chart


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S&P 500

MCFTRPerformance

The chart shows the growth of RUB 10,000 invested in MOEX Total Return on Nov 22, 2016 and compares it to the S&P 500 index or another benchmark. It would be worth nearly RUB 24,340 for a total return of roughly 143.40%. All prices are adjusted for splits and dividends.


MCFTR (MOEX Total Return)
Benchmark (S&P 500)

MCFTRReturns in periods

Returns over 1 year are annualized

PeriodReturn
1M6.20%
YTD17.97%
6M18.87%
1Y47.39%
5Y21.54%
10Y21.54%

MCFTRMonthly Returns Heatmap


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MCFTRSharpe 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 Total Return Sharpe ratio is 3.11. A Sharpe ratio of 3.0 or higher is considered excellent.

The chart below displays rolling 12-month Sharpe Ratio.


MCFTR (MOEX Total Return)
Benchmark (S&P 500)

MCFTRDrawdowns Chart

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


MCFTR (MOEX Total Return)
Benchmark (S&P 500)

MCFTRWorst Drawdowns

The table below shows the maximum drawdowns of the MOEX Total Return. 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 Total Return is 34.30%, recorded on Mar 18, 2020. It took 167 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.3%Jan 21, 202040Mar 18, 2020167Nov 16, 2020207
-19.62%Jan 4, 2017111Jun 15, 2017104Nov 9, 2017215
-11.14%Feb 27, 201829Apr 9, 201823May 14, 201852
-7.36%Oct 4, 201817Oct 26, 201855Jan 18, 201972
-6.12%Jan 15, 202111Jan 29, 202112Feb 16, 202123
-5.76%Jul 5, 201931Aug 16, 201913Sep 4, 201944
-5.35%May 15, 201824Jun 18, 201813Jul 5, 201837
-5.3%Jan 26, 201811Feb 9, 20188Feb 21, 201819
-4.39%Sep 17, 201914Oct 4, 201913Oct 23, 201927
-4.25%Feb 17, 20217Feb 26, 20218Mar 11, 202115

MCFTRVolatility Chart

Current MOEX Total Return volatility is 9.41%. 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.


MCFTR (MOEX Total Return)
Benchmark (S&P 500)

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