BZ=F vs. IMOEX
Compare and contrast key facts about Crude Oil Brent (BZ=F) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or IMOEX.
Key characteristics
| BZ=F | IMOEX | |
|---|---|---|
| YTD Return | 7.61% | 11.80% |
| 1Y Return | 10.20% | 32.70% |
| 3Y Return (Ann) | 6.15% | -1.64% |
| 5Y Return (Ann) | 2.58% | 6.14% |
| 10Y Return (Ann) | -2.69% | 9.61% |
| Sharpe Ratio | 0.35 | 2.85 |
| Daily Std Dev | 26.64% | 11.16% |
| Max Drawdown | -86.77% | -83.89% |
| Current Drawdown | -43.25% | -19.19% |
Correlation
The correlation between BZ=F and IMOEX is 0.33, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
BZ=F vs. IMOEX - Performance Comparison
In the year-to-date period, BZ=F achieves a 7.61% return, which is significantly lower than IMOEX's 11.80% return. Over the past 10 years, BZ=F has underperformed IMOEX with an annualized return of -2.69%, while IMOEX has yielded a comparatively higher 9.61% 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
BZ=F vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) 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
BZ=F vs. IMOEX - Drawdown Comparison
The maximum BZ=F drawdown since its inception was -86.77%, roughly equal to the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for BZ=F and IMOEX. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. IMOEX - Volatility Comparison
Crude Oil Brent (BZ=F) has a higher volatility of 6.25% compared to MOEX Russia Index (IMOEX) at 3.79%. This indicates that BZ=F'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.