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CHMF.ME vs. AFLT.ME
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Key characteristics


CHMF.MEAFLT.ME
YTD Return-12.14%77.30%
1Y Return-10.04%62.55%
3Y Return (Ann)-7.88%-1.89%
5Y Return (Ann)13.59%-10.06%
10Y Return (Ann)21.17%6.35%
Sharpe Ratio-0.291.79
Sortino Ratio-0.182.58
Omega Ratio0.971.31
Calmar Ratio-0.190.75
Martin Ratio-0.395.32
Ulcer Index22.68%11.44%
Daily Std Dev30.92%33.89%
Max Drawdown-97.78%-96.95%
Current Drawdown-38.66%-67.14%

Fundamentals


CHMF.MEAFLT.ME
Market CapRUB 1.09TRUB 147.98B
EPSRUB 431.23-RUB 14.23
PE Ratio2.9810.33
PEG Ratio0.000.00
Total Revenue (TTM)RUB 2.18BRUB 171.09B
Gross Profit (TTM)RUB 968.16M-RUB 19.96B
EBITDA (TTM)RUB 773.44MRUB 131.07B

Correlation

-0.50.00.51.00.5

The correlation between CHMF.ME and AFLT.ME is 0.48, 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

CHMF.ME vs. AFLT.ME - Performance Comparison

In the year-to-date period, CHMF.ME achieves a -12.14% return, which is significantly lower than AFLT.ME's 77.30% return. Over the past 10 years, CHMF.ME has outperformed AFLT.ME with an annualized return of 21.17%, while AFLT.ME has yielded a comparatively lower 6.35% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-41.97%
1.94%
CHMF.ME
AFLT.ME

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Risk-Adjusted Performance

CHMF.ME vs. AFLT.ME - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PAO Severstal (CHMF.ME) and Public Joint Stock Company Aeroflot - Russian Airlines (AFLT.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.


CHMF.ME
Sharpe ratio
The chart of Sharpe ratio for CHMF.ME, currently valued at -0.48, compared to the broader market-4.00-2.000.002.004.00-0.48
Sortino ratio
The chart of Sortino ratio for CHMF.ME, currently valued at -0.49, compared to the broader market-4.00-2.000.002.004.006.00-0.49
Omega ratio
The chart of Omega ratio for CHMF.ME, currently valued at 0.94, compared to the broader market0.501.001.502.000.94
Calmar ratio
The chart of Calmar ratio for CHMF.ME, currently valued at -0.32, compared to the broader market0.002.004.006.00-0.32
Martin ratio
The chart of Martin ratio for CHMF.ME, currently valued at -0.70, compared to the broader market0.0010.0020.0030.00-0.70
AFLT.ME
Sharpe ratio
The chart of Sharpe ratio for AFLT.ME, currently valued at 1.25, compared to the broader market-4.00-2.000.002.004.001.25
Sortino ratio
The chart of Sortino ratio for AFLT.ME, currently valued at 1.92, compared to the broader market-4.00-2.000.002.004.006.001.92
Omega ratio
The chart of Omega ratio for AFLT.ME, currently valued at 1.22, compared to the broader market0.501.001.502.001.22
Calmar ratio
The chart of Calmar ratio for AFLT.ME, currently valued at 0.54, compared to the broader market0.002.004.006.000.54
Martin ratio
The chart of Martin ratio for AFLT.ME, currently valued at 3.21, compared to the broader market0.0010.0020.0030.003.21

CHMF.ME vs. AFLT.ME - Sharpe Ratio Comparison

The current CHMF.ME Sharpe Ratio is -0.29, which is lower than the AFLT.ME Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of CHMF.ME and AFLT.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.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.48
1.25
CHMF.ME
AFLT.ME

Dividends

CHMF.ME vs. AFLT.ME - Dividend Comparison

Neither CHMF.ME nor AFLT.ME has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
CHMF.ME
PAO Severstal
0.00%0.00%0.00%15.79%8.09%12.98%16.58%12.40%7.76%8.74%12.52%1.99%
AFLT.ME
Public Joint Stock Company Aeroflot - Russian Airlines
0.00%0.00%0.00%0.00%0.00%2.60%12.66%12.63%0.00%0.00%7.76%27.68%

Drawdowns

CHMF.ME vs. AFLT.ME - Drawdown Comparison

The maximum CHMF.ME drawdown since its inception was -97.78%, roughly equal to the maximum AFLT.ME drawdown of -96.95%. Use the drawdown chart below to compare losses from any high point for CHMF.ME and AFLT.ME. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-44.15%
-80.28%
CHMF.ME
AFLT.ME

Volatility

CHMF.ME vs. AFLT.ME - Volatility Comparison

PAO Severstal (CHMF.ME) and Public Joint Stock Company Aeroflot - Russian Airlines (AFLT.ME) have volatilities of 12.52% and 12.71%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
12.52%
12.71%
CHMF.ME
AFLT.ME

Financials

CHMF.ME vs. AFLT.ME - Financials Comparison

This section allows you to compare key financial metrics between PAO Severstal and Public Joint Stock Company Aeroflot - Russian Airlines. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities



Values in RUB except per share items