IMOEX vs. MCFTR
Compare and contrast key facts about MOEX Russia Index (IMOEX) and MOEX Total Return (MCFTR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOEX or MCFTR.
Key characteristics
| IMOEX | MCFTR | |
|---|---|---|
| YTD Return | 11.55% | 13.52% |
| 1Y Return | 34.77% | 43.11% |
| 3Y Return (Ann) | -1.71% | 6.07% |
| 5Y Return (Ann) | 6.31% | 14.56% |
| 10Y Return (Ann) | 9.58% | 16.81% |
| Sharpe Ratio | 2.81 | 3.47 |
| Daily Std Dev | 11.18% | 11.43% |
| Max Drawdown | -83.89% | -73.57% |
| Current Drawdown | -19.37% | -2.24% |
Correlation
The correlation between IMOEX and MCFTR is 1.00, 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. MCFTR - Performance Comparison
In the year-to-date period, IMOEX achieves a 11.55% return, which is significantly lower than MCFTR's 13.52% return. Over the past 10 years, IMOEX has underperformed MCFTR with an annualized return of 9.58%, while MCFTR has yielded a comparatively higher 16.81% 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
IMOEX vs. MCFTR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (IMOEX) and MOEX Total Return (MCFTR). 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. MCFTR - Drawdown Comparison
The maximum IMOEX drawdown since its inception was -83.89%, which is greater than MCFTR's maximum drawdown of -73.57%. Use the drawdown chart below to compare losses from any high point for IMOEX and MCFTR. For additional features, visit the drawdowns tool.
Volatility
IMOEX vs. MCFTR - Volatility Comparison
MOEX Russia Index (IMOEX) and MOEX Total Return (MCFTR) have volatilities of 4.63% and 4.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.