IMOEX vs. EEM
Compare and contrast key facts about MOEX Russia Index (IMOEX) and iShares MSCI Emerging Markets ETF (EEM).
EEM is a passively managed fund by iShares that tracks the performance of the MSCI Emerging Markets Index. It was launched on Apr 11, 2003.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOEX or EEM.
Performance
IMOEX vs. EEM - Performance Comparison
Returns By Period
In the year-to-date period, IMOEX achieves a -17.12% return, which is significantly lower than EEM's 8.35% return. Over the past 10 years, IMOEX has outperformed EEM with an annualized return of 5.33%, while EEM has yielded a comparatively lower 2.49% annualized return.
IMOEX
-17.12%
-6.77%
-25.39%
-20.49%
-2.73%
5.33%
EEM
8.35%
-4.90%
1.56%
12.33%
2.49%
2.49%
Key characteristics
| IMOEX | EEM | |
|---|---|---|
| Sharpe Ratio | -1.01 | 0.78 |
| Sortino Ratio | -1.30 | 1.19 |
| Omega Ratio | 0.83 | 1.15 |
| Calmar Ratio | -0.44 | 0.40 |
| Martin Ratio | -1.31 | 3.58 |
| Ulcer Index | 13.70% | 3.38% |
| Daily Std Dev | 17.56% | 15.51% |
| Max Drawdown | -83.89% | -66.44% |
| Current Drawdown | -40.09% | -19.44% |
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Correlation
The correlation between IMOEX and EEM is 0.44, 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.
Risk-Adjusted Performance
IMOEX vs. EEM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (IMOEX) and iShares MSCI Emerging Markets ETF (EEM). 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
IMOEX vs. EEM - Drawdown Comparison
The maximum IMOEX drawdown since its inception was -83.89%, which is greater than EEM's maximum drawdown of -66.44%. Use the drawdown chart below to compare losses from any high point for IMOEX and EEM. For additional features, visit the drawdowns tool.
Volatility
IMOEX vs. EEM - Volatility Comparison
MOEX Russia Index (IMOEX) has a higher volatility of 9.67% compared to iShares MSCI Emerging Markets ETF (EEM) at 4.79%. This indicates that IMOEX's price experiences larger fluctuations and is considered to be riskier than EEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.