PortfoliosLab logo

Moex Corporate Bond Index (RUCBITR)

Index · Currency in RUB · Last updated Aug 2, 2022

RUCBITRShare Price Chart


Chart placeholderClick Calculate to get results

RUCBITRPerformance

The chart shows the growth of RUB 10,000 invested in Moex Corporate Bond Index in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly RUB 28,131 for a total return of roughly 181.31%. All prices are adjusted for splits and dividends.


-15.00%-10.00%-5.00%0.00%5.00%MarchAprilMayJuneJulyAugust
6.78%
-6.39%
RUCBITR (Moex Corporate Bond Index)
Benchmark (^GSPC)

RUCBITRReturns in periods

Returns over 1 year are annualized

PeriodReturnBenchmark
1M2.73%7.67%
6M7.10%-3.06%
YTD4.97%-9.49%
1Y5.10%-2.00%
5Y7.66%12.85%
10Y8.54%13.40%

RUCBITRMonthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2022-1.78%-6.90%-1.37%6.67%1.96%4.13%2.60%0.16%
20210.07%-0.31%-0.30%0.16%0.19%-0.22%0.26%0.46%-0.14%-1.02%-1.00%1.84%
20200.85%-0.11%-1.52%3.15%1.80%0.53%0.57%0.33%0.63%0.32%0.88%0.59%
20191.09%0.77%0.97%1.17%0.94%1.47%1.28%0.83%1.41%1.74%0.73%1.24%
20181.02%1.71%0.92%-0.02%0.44%-0.10%0.28%-1.76%0.52%0.32%0.43%0.42%
20171.06%0.86%1.17%1.32%0.57%0.92%0.28%0.79%1.01%1.72%0.44%1.51%
20160.55%1.60%1.42%1.36%1.00%1.21%0.68%1.03%1.09%-0.86%0.53%1.08%
2015-1.19%2.53%3.22%3.26%1.94%1.15%1.03%-0.28%1.38%1.85%1.00%1.12%
20140.34%0.51%-0.80%0.09%0.54%1.00%0.29%0.07%0.02%-0.97%-0.39%-2.11%
20131.38%0.62%0.42%1.06%0.54%0.12%1.10%0.64%0.69%0.72%0.37%0.82%
20120.85%1.01%0.85%0.54%-0.48%0.17%1.13%0.84%0.68%0.81%0.71%1.15%
20110.91%0.87%0.91%0.88%0.46%0.84%1.00%-0.36%-0.59%0.36%0.29%0.45%
20102.25%1.97%2.61%0.97%-0.09%1.85%0.75%0.63%0.85%0.59%0.27%0.22%

RUCBITRSharpe 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 Corporate Bond Index Sharpe ratio is 0.68. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-2.00-1.000.001.002.00MarchAprilMayJuneJulyAugust
0.68
-0.06
RUCBITR (Moex Corporate Bond Index)
Benchmark (^GSPC)

RUCBITRDrawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2022FebruaryMarchAprilMayJuneJulyAugust0
-10.06%
RUCBITR (Moex Corporate Bond Index)
Benchmark (^GSPC)

RUCBITRWorst Drawdowns

The table below shows the maximum drawdowns of the Moex Corporate Bond 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 Corporate Bond Index is 13.19%, recorded on Mar 29, 2022. It took 47 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.19%Jan 6, 202237Mar 29, 202247Jun 8, 202284
-7.41%Oct 7, 201473Jan 22, 201544Mar 27, 2015117
-4.71%Mar 6, 20208Mar 18, 202027Apr 24, 202035
-2.93%Jun 13, 201864Sep 10, 201879Jan 3, 2019143
-2.57%Jan 6, 2021240Dec 14, 202114Jan 4, 2022254
-1.66%Feb 26, 201412Mar 14, 201457Jun 5, 201469
-1.58%Aug 5, 201145Oct 6, 201161Jan 3, 2012106
-1.21%Oct 7, 201613Oct 25, 201637Dec 16, 201650
-1.1%Aug 19, 201512Sep 3, 201513Sep 22, 201525
-0.99%Apr 9, 201813Apr 25, 201811May 14, 201824

RUCBITRVolatility Chart

Current Moex Corporate Bond Index volatility is 2.81%. 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.


0.00%10.00%20.00%30.00%40.00%MarchAprilMayJuneJulyAugust
2.81%
19.01%
RUCBITR (Moex Corporate Bond Index)
Benchmark (^GSPC)