AFKS.ME vs. IMOEX
Compare and contrast key facts about Sistema Public Joint Stock Financial Corporation (AFKS.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AFKS.ME or IMOEX.
Key characteristics
| AFKS.ME | IMOEX | |
|---|---|---|
| YTD Return | -4.62% | -10.69% |
| 1Y Return | -13.94% | -15.34% |
| 3Y Return (Ann) | -16.69% | -13.09% |
| 5Y Return (Ann) | 3.28% | -0.39% |
| 10Y Return (Ann) | 5.23% | 7.23% |
| Sharpe Ratio | -0.37 | -0.82 |
| Sortino Ratio | -0.31 | -1.04 |
| Omega Ratio | 0.96 | 0.86 |
| Calmar Ratio | -0.23 | -0.33 |
| Martin Ratio | -0.60 | -1.14 |
| Ulcer Index | 22.17% | 11.77% |
| Daily Std Dev | 35.54% | 16.13% |
| Max Drawdown | -92.24% | -83.89% |
| Current Drawdown | -57.01% | -35.45% |
Correlation
The correlation between AFKS.ME and IMOEX is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
AFKS.ME vs. IMOEX - Performance Comparison
In the year-to-date period, AFKS.ME achieves a -4.62% return, which is significantly higher than IMOEX's -10.69% return. Over the past 10 years, AFKS.ME has underperformed IMOEX with an annualized return of 5.23%, while IMOEX has yielded a comparatively higher 7.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
AFKS.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sistema Public Joint Stock Financial Corporation (AFKS.ME) and MOEX Russia Index (IMOEX). 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.
Drawdowns
AFKS.ME vs. IMOEX - Drawdown Comparison
The maximum AFKS.ME drawdown since its inception was -92.24%, which is greater than IMOEX's maximum drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for AFKS.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
AFKS.ME vs. IMOEX - Volatility Comparison
Sistema Public Joint Stock Financial Corporation (AFKS.ME) and MOEX Russia Index (IMOEX) have volatilities of 7.69% and 7.53%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.