^IMOEX vs. ENZL
^IMOEX (MOEX Russia Index) is an index, while ENZL (iShares MSCI New Zealand ETF) is Asia Pacific Equities fund tracking the MSCI New Zealand Investable Market Index. Over the past 10 years, ^IMOEX returned 3.02%/yr vs 4.65%/yr for ENZL. At a 0.02 correlation, their price movements are largely independent.
Performance
^IMOEX vs. ENZL - Performance Comparison
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Different Trading Currencies
^IMOEX is traded in RUB, while ENZL is traded in USD. To make them comparable, the ENZL values have been converted to RUB using the latest available exchange rates.
Returns By Period
The year-to-date returns for both stocks are quite close, with ^IMOEX having a -6.75% return and ENZL slightly lower at -7.03%. Over the past 10 years, ^IMOEX has underperformed ENZL with an annualized return of 3.02%, while ENZL has yielded a comparatively higher 4.65% annualized return.
^IMOEX
- 1D
- -0.82%
- 1M
- -2.44%
- YTD
- -6.75%
- 6M
- -2.91%
- 1Y
- -9.05%
- 3Y*
- -1.43%
- 5Y*
- -7.49%
- 10Y*
- 3.02%
ENZL
- 1D
- 0.25%
- 1M
- -1.28%
- YTD
- -7.03%
- 6M
- -3.58%
- 1Y
- -5.07%
- 3Y*
- -2.86%
- 5Y*
- -3.93%
- 10Y*
- 4.65%
^IMOEX vs. ENZL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^IMOEX MOEX Russia Index | -6.75% | -4.04% | -6.97% | 43.87% | -43.12% | 15.15% | 7.98% | 29.14% | 11.79% | -5.51% |
ENZL iShares MSCI New Zealand ETF | -7.03% | -26.15% | 16.84% | 26.87% | -19.04% | -10.09% | 43.16% | 16.58% | 20.48% | 16.17% |
Correlation
The correlation between ^IMOEX and ENZL is -0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.01 |
Correlation (All Time) Calculated using the full available price history since Sep 3, 2010 | 0.02 |
The correlation between ^IMOEX and ENZL shifts across timeframes, from -0.08 (1 year) to 0.02 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^IMOEX vs. ENZL — Risk / Return Rank
^IMOEX
ENZL
^IMOEX vs. ENZL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (^IMOEX) and iShares MSCI New Zealand ETF (ENZL). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| ^IMOEX | ENZL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.42 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 0.98 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.51 | -0.25 | -0.26 |
| Martin ratioReturn relative to average drawdown | -0.97 | -0.55 | -0.43 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^IMOEX | ENZL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.49 | -0.23 | -0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.26 | -0.11 | -0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.13 | 0.16 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.32 | 0.50 | -0.18 |
Drawdowns
^IMOEX vs. ENZL - Drawdown Comparison
The maximum ^IMOEX drawdown since its inception was -83.89%, which is greater than ENZL's maximum drawdown of -68.69%. Use the drawdown chart below to compare losses from any high point for ^IMOEX and ENZL.
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Drawdown Indicators
| ^IMOEX | ENZL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -83.89% | -68.69% | -15.20% |
Max Drawdown (1Y)Largest decline over 1 year | -17.77% | -20.47% | +2.70% |
Max Drawdown (3Y)Largest decline over 3 years | -32.12% | -41.39% | +9.27% |
Max Drawdown (5Y)Largest decline over 5 years | -55.29% | -68.69% | +13.40% |
Max Drawdown (10Y)Largest decline over 10 years | -55.29% | -68.69% | +13.40% |
Current DrawdownCurrent decline from peak | -39.83% | -51.64% | +11.81% |
Average DrawdownAverage peak-to-trough decline | -21.01% | -17.47% | -3.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.21% | 9.25% | -0.04% |
Volatility
^IMOEX vs. ENZL - Volatility Comparison
The current volatility for MOEX Russia Index (^IMOEX) is 4.89%, while iShares MSCI New Zealand ETF (ENZL) has a volatility of 5.40%. This indicates that ^IMOEX experiences smaller price fluctuations and is considered to be less risky than ENZL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^IMOEX | ENZL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.89% | 5.40% | -0.51% |
Volatility (6M)Calculated over the trailing 6-month period | 8.84% | 16.75% | -7.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.35% | 21.94% | -3.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.78% | 35.01% | -6.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.65% | 28.84% | -5.19% |
Frequently Asked Questions
^IMOEX and ENZL have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ENZL has higher volatility (5.40%) compared to ^IMOEX (4.89%). In terms of maximum drawdown, ^IMOEX dropped -83.89% vs ENZL's -68.69%.
ENZL currently has the higher Sharpe Ratio (-0.23 vs -0.49), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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