^IMOEX vs. LKOH.ME

Last updated Apr 2, 2026

Compare and contrast key facts about MOEX Russia Index (^IMOEX) and PJSC LUKOIL (LKOH.ME).

Performance

^IMOEX vs. LKOH.ME - Performance Comparison

The chart below illustrates the hypothetical performance of a RUB 10,000 investment in MOEX Russia Index (^IMOEX) and PJSC LUKOIL (LKOH.ME). The values are adjusted to include any dividend payments, if applicable.

^IMOEX vs. LKOH.ME - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^IMOEX MOEX Russia Index	0.36%	-4.04%	-6.97%	43.87%	-43.12%	15.15%	7.98%	29.14%	11.79%	-5.51%
LKOH.ME PJSC LUKOIL	-6.27%	-18.78%	15.05%	94.23%	-33.86%	38.68%	-9.22%	31.28%	57.58%	3.56%

Returns By Period

In the year-to-date period, ^IMOEX achieves a 0.36% return, which is significantly higher than LKOH.ME's -6.27% return. Over the past 10 years, ^IMOEX has underperformed LKOH.ME with an annualized return of 4.11%, while LKOH.ME has yielded a comparatively higher 15.57% annualized return.

^IMOEX

• 1D: 0.01%
• 1M: -2.08%
• YTD: 0.36%
• 6M: 4.89%
• 1Y: -6.34%
• 3Y*: 4.25%
• 5Y*: -4.84%
• 10Y*: 4.11%

LKOH.ME

• 1D: -1.45%
• 1M: -0.11%
• YTD: -6.27%
• 6M: -8.66%
• 1Y: -20.35%
• 3Y*: 16.70%
• 5Y*: 5.74%
• 10Y*: 15.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^IMOEX vs. LKOH.ME — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^IMOEX

^IMOEX Risk / Return Rank: 5
^IMOEX Sharpe Ratio Rank: 4
^IMOEX Sortino Ratio Rank: 4
^IMOEX Omega Ratio Rank: 4
^IMOEX Calmar Ratio Rank: 6
^IMOEX Martin Ratio Rank: 9

LKOH.ME

LKOH.ME Risk / Return Rank: 13
LKOH.ME Sharpe Ratio Rank: 10
LKOH.ME Sortino Ratio Rank: 12
LKOH.ME Omega Ratio Rank: 13
LKOH.ME Calmar Ratio Rank: 17
LKOH.ME Martin Ratio Rank: 16

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^IMOEX vs. LKOH.ME - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (^IMOEX) and PJSC LUKOIL (LKOH.ME). 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	LKOH.ME	Difference
Sharpe ratio Return per unit of total volatility	-0.30	-0.73	+0.43
Sortino ratio Return per unit of downside risk	-0.29	-0.90	+0.61
Omega ratio Gain probability vs. loss probability	0.97	0.89	+0.08
Calmar ratio Return relative to maximum drawdown	-0.28	-0.68	+0.41
Martin ratio Return relative to average drawdown	-0.55	-1.27	+0.73
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^IMOEX vs. LKOH.ME - Sharpe Ratio Comparison

The current ^IMOEX Sharpe Ratio is -0.30, which is higher than the LKOH.ME Sharpe Ratio of -0.73. The chart below compares the historical Sharpe Ratios of ^IMOEX and LKOH.ME, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^IMOEX	LKOH.ME	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.30	-0.73	+0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.17	0.16	-0.33
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.17	0.48	-0.30
Sharpe Ratio (All Time) Calculated using the full available price history	0.33	0.46	-0.12

Correlation

The correlation between ^IMOEX and LKOH.ME is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^IMOEX vs. LKOH.ME - Drawdown Comparison

The maximum ^IMOEX drawdown since its inception was -83.89%, which is greater than LKOH.ME's maximum drawdown of -71.84%. Use the drawdown chart below to compare losses from any high point for ^IMOEX and LKOH.ME.

Drawdown Indicators

	^IMOEX	LKOH.ME	Difference
Max Drawdown Largest peak-to-trough decline	-83.89%	-71.84%	-12.05%
Max Drawdown (1Y) Largest decline over 1 year	-18.37%	-29.01%	+10.64%
Max Drawdown (5Y) Largest decline over 5 years	-55.29%	-49.93%	-5.36%
Max Drawdown (10Y) Largest decline over 10 years	-55.29%	-49.93%	-5.36%
Current Drawdown Current decline from peak	-35.24%	-28.88%	-6.36%
Average Drawdown Average peak-to-trough decline	-20.90%	-16.25%	-4.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.35%	15.56%	-6.21%

Volatility

^IMOEX vs. LKOH.ME - Volatility Comparison

The current volatility for MOEX Russia Index (^IMOEX) is 3.17%, while PJSC LUKOIL (LKOH.ME) has a volatility of 7.73%. This indicates that ^IMOEX experiences smaller price fluctuations and is considered to be less risky than LKOH.ME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^IMOEX	LKOH.ME	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.17%	7.73%	-4.56%
Volatility (6M) Calculated over the trailing 6-month period	13.39%	22.59%	-9.20%
Volatility (1Y) Calculated over the trailing 1-year period	21.03%	27.77%	-6.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.73%	35.71%	-6.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.65%	32.64%	-8.99%