ETLN.ME vs. IMOEX
Compare and contrast key facts about Etalon Group PLC (ETLN.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ETLN.ME or IMOEX.
Key characteristics
| ETLN.ME | IMOEX | |
|---|---|---|
| YTD Return | -27.59% | -11.76% |
| 1Y Return | -28.52% | -15.60% |
| 3Y Return (Ann) | -18.06% | -13.32% |
| Sharpe Ratio | -0.69 | -0.90 |
| Sortino Ratio | -0.96 | -1.14 |
| Omega Ratio | 0.90 | 0.85 |
| Calmar Ratio | -0.46 | -0.37 |
| Martin Ratio | -1.18 | -1.18 |
| Ulcer Index | 23.08% | 13.06% |
| Daily Std Dev | 39.28% | 16.89% |
| Max Drawdown | -71.31% | -83.89% |
| Current Drawdown | -58.63% | -36.22% |
Correlation
The correlation between ETLN.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
ETLN.ME vs. IMOEX - Performance Comparison
In the year-to-date period, ETLN.ME achieves a -27.59% return, which is significantly lower than IMOEX's -11.76% 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
ETLN.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Etalon Group PLC (ETLN.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
ETLN.ME vs. IMOEX - Drawdown Comparison
The maximum ETLN.ME drawdown since its inception was -71.31%, smaller than the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for ETLN.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
ETLN.ME vs. IMOEX - Volatility Comparison
Etalon Group PLC (ETLN.ME) has a higher volatility of 7.95% compared to MOEX Russia Index (IMOEX) at 7.18%. This indicates that ETLN.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.