BZ=F vs. SBMX
Compare and contrast key facts about Crude Oil Brent (BZ=F) and Sberbank MOEX Russia Total Return ETF (SBMX).
SBMX is a passively managed fund by Sberbank Asset Management that tracks the performance of the MOEX Total Return. It was launched on Aug 3, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BZ=F or SBMX.
Performance
BZ=F vs. SBMX - Performance Comparison
Returns By Period
In the year-to-date period, BZ=F achieves a -4.79% return, which is significantly higher than SBMX's -6.38% return.
BZ=F
-4.79%
0.92%
-12.38%
-9.27%
3.12%
-0.88%
SBMX
-6.38%
-1.04%
-17.62%
-7.93%
4.44%
N/A
Key characteristics
| BZ=F | SBMX | |
|---|---|---|
| Sharpe Ratio | -0.18 | -0.52 |
| Sortino Ratio | -0.08 | -0.62 |
| Omega Ratio | 0.99 | 0.92 |
| Calmar Ratio | -0.09 | -0.31 |
| Martin Ratio | -0.38 | -0.80 |
| Ulcer Index | 11.84% | 11.17% |
| Daily Std Dev | 25.38% | 17.05% |
| Max Drawdown | -86.77% | -54.16% |
| Current Drawdown | -49.79% | -22.78% |
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Correlation
The correlation between BZ=F and SBMX is 0.19, 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.
Risk-Adjusted Performance
BZ=F vs. SBMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Crude Oil Brent (BZ=F) and Sberbank MOEX Russia Total Return ETF (SBMX). 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. SBMX - Drawdown Comparison
The maximum BZ=F drawdown since its inception was -86.77%, which is greater than SBMX's maximum drawdown of -54.16%. Use the drawdown chart below to compare losses from any high point for BZ=F and SBMX. For additional features, visit the drawdowns tool.
Volatility
BZ=F vs. SBMX - Volatility Comparison
Crude Oil Brent (BZ=F) has a higher volatility of 9.20% compared to Sberbank MOEX Russia Total Return ETF (SBMX) at 8.73%. This indicates that BZ=F's price experiences larger fluctuations and is considered to be riskier than SBMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.