GAZP.ME vs. SBMX
Compare and contrast key facts about Public Joint Stock Company Gazprom (GAZP.ME) 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: GAZP.ME or SBMX.
Key characteristics
| GAZP.ME | SBMX | |
|---|---|---|
| YTD Return | -15.09% | -4.91% |
| 1Y Return | -18.53% | -6.83% |
| 3Y Return (Ann) | -18.29% | -6.51% |
| 5Y Return (Ann) | -3.48% | 4.82% |
| Sharpe Ratio | -0.62 | -0.38 |
| Sortino Ratio | -0.79 | -0.42 |
| Omega Ratio | 0.90 | 0.95 |
| Calmar Ratio | -0.30 | -0.07 |
| Martin Ratio | -1.04 | -0.59 |
| Ulcer Index | 17.44% | 11.00% |
| Daily Std Dev | 29.18% | 16.87% |
| Max Drawdown | -98.94% | -99.46% |
| Current Drawdown | -52.79% | -99.07% |
Correlation
The correlation between GAZP.ME and SBMX is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
GAZP.ME vs. SBMX - Performance Comparison
In the year-to-date period, GAZP.ME achieves a -15.09% return, which is significantly lower than SBMX's -4.91% 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
GAZP.ME vs. SBMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Public Joint Stock Company Gazprom (GAZP.ME) 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.
Dividends
GAZP.ME vs. SBMX - Dividend Comparison
Neither GAZP.ME nor SBMX has paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GAZP.ME Public Joint Stock Company Gazprom | 0.00% | 0.00% | 31.36% | 3.66% | 7.17% | 6.48% | 5.24% | 6.16% | 5.11% | 5.29% | 5.53% | 4.32% |
SBMX Sberbank MOEX Russia Total Return ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
GAZP.ME vs. SBMX - Drawdown Comparison
The maximum GAZP.ME drawdown since its inception was -98.94%, roughly equal to the maximum SBMX drawdown of -99.46%. Use the drawdown chart below to compare losses from any high point for GAZP.ME and SBMX. For additional features, visit the drawdowns tool.
Volatility
GAZP.ME vs. SBMX - Volatility Comparison
Public Joint Stock Company Gazprom (GAZP.ME) has a higher volatility of 10.62% compared to Sberbank MOEX Russia Total Return ETF (SBMX) at 8.14%. This indicates that GAZP.ME'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.