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MOEX Total Return (MCFTR)

Index · Currency in RUB · Last updated May 18, 2022

    MCFTRShare Price Chart


    Chart placeholderClick Calculate to get results

    MCFTRPerformance

    The chart shows the growth of RUB 10,000 invested in MOEX Total Return on Jan 12, 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly RUB 29,821 for a total return of roughly 198.21%. All prices are adjusted for splits and dividends.


    MCFTR (MOEX Total Return)
    Benchmark (^GSPC)

    MCFTRReturns in periods

    Returns over 1 year are annualized

    PeriodReturnBenchmark
    1M0.20%-5.07%
    YTD-35.50%-13.19%
    6M-40.33%-11.41%
    1Y-30.01%-1.02%
    5Y10.78%13.05%
    10Y12.68%13.53%

    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 -0.57. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

    The chart below displays rolling 12-month Sharpe Ratio.


    MCFTR (MOEX Total Return)
    Benchmark (^GSPC)

    MCFTRDrawdowns Chart

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


    MCFTR (MOEX Total Return)
    Benchmark (^GSPC)

    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 51.26%, recorded on Feb 24, 2022. The portfolio has not recovered from it yet.


    Depth

    Start

    To Bottom

    Bottom

    To Recover

    End

    Total

    -51.26%Oct 21, 202187Feb 24, 2022
    -34.3%Jan 21, 202040Mar 18, 2020167Nov 16, 2020207
    -31.08%Apr 7, 2011288May 23, 2012667Jan 21, 2015955
    -21.79%Apr 16, 201026May 25, 2010106Oct 21, 2010132
    -19.62%Jan 4, 2017111Jun 15, 2017104Nov 9, 2017215
    -14.51%Feb 16, 201528Mar 27, 2015154Nov 5, 2015182
    -13.25%Nov 24, 201535Jan 15, 201634Mar 3, 201669
    -11.91%Jan 20, 201018Feb 12, 201034Apr 5, 201052
    -11.14%Feb 27, 201829Apr 9, 201824May 14, 201853
    -7.36%Oct 4, 201817Oct 26, 201856Jan 18, 201973

    MCFTRVolatility Chart

    Current MOEX Total Return volatility is 36.61%. 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 (^GSPC)

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