IMOEX vs. GAZP.ME
Compare and contrast key facts about MOEX Russia Index (IMOEX) and Public Joint Stock Company Gazprom (GAZP.ME).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOEX or GAZP.ME.
Key characteristics
| IMOEX | GAZP.ME | |
|---|---|---|
| YTD Return | 11.99% | -1.96% |
| 1Y Return | 31.78% | -11.45% |
| 3Y Return (Ann) | -1.58% | -2.31% |
| 5Y Return (Ann) | 6.20% | 6.57% |
| 10Y Return (Ann) | 9.62% | 9.75% |
| Sharpe Ratio | 2.90 | -0.72 |
| Daily Std Dev | 11.03% | 13.80% |
| Max Drawdown | -83.89% | -98.94% |
| Current Drawdown | -19.05% | -42.48% |
Correlation
The correlation between IMOEX and GAZP.ME is 0.86, 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
IMOEX vs. GAZP.ME - Performance Comparison
In the year-to-date period, IMOEX achieves a 11.99% return, which is significantly higher than GAZP.ME's -1.96% return. Both investments have delivered pretty close results over the past 10 years, with IMOEX having a 9.62% annualized return and GAZP.ME not far ahead at 9.75%. 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
IMOEX vs. GAZP.ME - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (IMOEX) and Public Joint Stock Company Gazprom (GAZP.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.
Drawdowns
IMOEX vs. GAZP.ME - Drawdown Comparison
The maximum IMOEX drawdown since its inception was -83.89%, smaller than the maximum GAZP.ME drawdown of -98.94%. Use the drawdown chart below to compare losses from any high point for IMOEX and GAZP.ME. For additional features, visit the drawdowns tool.
Volatility
IMOEX vs. GAZP.ME - Volatility Comparison
The current volatility for MOEX Russia Index (IMOEX) is 4.71%, while Public Joint Stock Company Gazprom (GAZP.ME) has a volatility of 5.53%. This indicates that IMOEX experiences smaller price fluctuations and is considered to be less risky than GAZP.ME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.