CHMF.ME vs. IMOEX
Compare and contrast key facts about PAO Severstal (CHMF.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CHMF.ME or IMOEX.
Key characteristics
| CHMF.ME | IMOEX | |
|---|---|---|
| YTD Return | -12.14% | -10.81% |
| 1Y Return | -10.04% | -13.96% |
| 3Y Return (Ann) | -7.88% | -12.55% |
| 5Y Return (Ann) | 13.59% | -1.20% |
| 10Y Return (Ann) | 21.17% | 6.31% |
| Sharpe Ratio | -0.29 | -0.78 |
| Sortino Ratio | -0.18 | -0.97 |
| Omega Ratio | 0.97 | 0.87 |
| Calmar Ratio | -0.19 | -0.33 |
| Martin Ratio | -0.39 | -1.01 |
| Ulcer Index | 22.68% | 13.23% |
| Daily Std Dev | 30.92% | 17.02% |
| Max Drawdown | -97.78% | -83.89% |
| Current Drawdown | -38.66% | -35.53% |
Correlation
The correlation between CHMF.ME and IMOEX is 0.68, 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. IMOEX - Performance Comparison
In the year-to-date period, CHMF.ME achieves a -12.14% return, which is significantly lower than IMOEX's -10.81% return. Over the past 10 years, CHMF.ME has outperformed IMOEX with an annualized return of 21.17%, while IMOEX has yielded a comparatively lower 6.31% 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
CHMF.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PAO Severstal (CHMF.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
CHMF.ME vs. IMOEX - Drawdown Comparison
The maximum CHMF.ME drawdown since its inception was -97.78%, which is greater than IMOEX's maximum drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for CHMF.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
CHMF.ME vs. IMOEX - Volatility Comparison
PAO Severstal (CHMF.ME) has a higher volatility of 12.52% compared to MOEX Russia Index (IMOEX) at 8.10%. This indicates that CHMF.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.