ALRS.ME vs. IMOEX
Compare and contrast key facts about Public Joint Stock Company ALROSA (ALRS.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ALRS.ME or IMOEX.
Key characteristics
| ALRS.ME | IMOEX | |
|---|---|---|
| YTD Return | -24.83% | -15.39% |
| 1Y Return | -33.21% | -19.67% |
| 3Y Return (Ann) | -25.83% | -13.22% |
| 5Y Return (Ann) | -1.34% | -1.29% |
| 10Y Return (Ann) | 21.50% | 5.94% |
| Sharpe Ratio | -1.26 | -0.98 |
| Daily Std Dev | 24.38% | 15.28% |
| Max Drawdown | -85.03% | -83.89% |
| Current Drawdown | -60.67% | -38.84% |
Correlation
The correlation between ALRS.ME and IMOEX is 0.62, 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
ALRS.ME vs. IMOEX - Performance Comparison
In the year-to-date period, ALRS.ME achieves a -24.83% return, which is significantly lower than IMOEX's -15.39% return. Over the past 10 years, ALRS.ME has outperformed IMOEX with an annualized return of 21.50%, while IMOEX has yielded a comparatively lower 5.94% 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
ALRS.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Public Joint Stock Company ALROSA (ALRS.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
ALRS.ME vs. IMOEX - Drawdown Comparison
The maximum ALRS.ME drawdown since its inception was -85.03%, roughly equal to the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for ALRS.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
ALRS.ME vs. IMOEX - Volatility Comparison
Public Joint Stock Company ALROSA (ALRS.ME) has a higher volatility of 14.29% compared to MOEX Russia Index (IMOEX) at 8.71%. This indicates that ALRS.ME's price experiences larger fluctuations and is considered to be riskier than IMOEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.