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IMOEX vs. SBMX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between IMOEX and SBMX is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.2

Performance

IMOEX vs. SBMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MOEX Russia Index (IMOEX) and Sberbank MOEX Russia Total Return ETF (SBMX). The values are adjusted to include any dividend payments, if applicable.

-40.00%-20.00%0.00%20.00%40.00%60.00%NovemberDecember2025FebruaryMarchApril
1.26%
47.78%
IMOEX
SBMX

Key characteristics

Sharpe Ratio

IMOEX:

-0.56

SBMX:

-0.35

Sortino Ratio

IMOEX:

-0.71

SBMX:

-0.37

Omega Ratio

IMOEX:

0.92

SBMX:

0.96

Calmar Ratio

IMOEX:

-0.32

SBMX:

-0.28

Martin Ratio

IMOEX:

-0.78

SBMX:

-0.59

Ulcer Index

IMOEX:

18.27%

SBMX:

14.72%

Daily Std Dev

IMOEX:

24.84%

SBMX:

24.55%

Max Drawdown

IMOEX:

-83.89%

SBMX:

-54.16%

Current Drawdown

IMOEX:

-31.33%

SBMX:

-15.04%

Returns By Period

The year-to-date returns for both stocks are quite close, with IMOEX having a 2.13% return and SBMX slightly lower at 2.07%.


IMOEX

YTD

2.13%

1M

-6.96%

6M

8.31%

1Y

-14.13%

5Y*

2.83%

10Y*

5.80%

SBMX

YTD

2.07%

1M

-7.07%

6M

10.38%

1Y

-7.55%

5Y*

9.18%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

IMOEX vs. SBMX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

IMOEX
The Risk-Adjusted Performance Rank of IMOEX is 99
Overall Rank
The Sharpe Ratio Rank of IMOEX is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of IMOEX is 55
Sortino Ratio Rank
The Omega Ratio Rank of IMOEX is 77
Omega Ratio Rank
The Calmar Ratio Rank of IMOEX is 1111
Calmar Ratio Rank
The Martin Ratio Rank of IMOEX is 1515
Martin Ratio Rank

SBMX
The Risk-Adjusted Performance Rank of SBMX is 99
Overall Rank
The Sharpe Ratio Rank of SBMX is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of SBMX is 88
Sortino Ratio Rank
The Omega Ratio Rank of SBMX is 99
Omega Ratio Rank
The Calmar Ratio Rank of SBMX is 88
Calmar Ratio Rank
The Martin Ratio Rank of SBMX is 1212
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

IMOEX vs. SBMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (IMOEX) 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.


The chart of Sharpe ratio for IMOEX, currently valued at -0.15, compared to the broader market-0.500.000.501.001.50
IMOEX: -0.15
SBMX: 0.02
The chart of Sortino ratio for IMOEX, currently valued at 0.04, compared to the broader market-1.000.001.002.00
IMOEX: 0.04
SBMX: 0.31
The chart of Omega ratio for IMOEX, currently valued at 1.00, compared to the broader market0.901.001.101.201.30
IMOEX: 1.00
SBMX: 1.03
The chart of Calmar ratio for IMOEX, currently valued at -0.09, compared to the broader market-0.500.000.501.00
IMOEX: -0.09
SBMX: 0.01
The chart of Martin ratio for IMOEX, currently valued at -0.27, compared to the broader market-2.000.002.004.006.00
IMOEX: -0.27
SBMX: 0.04

The current IMOEX Sharpe Ratio is -0.56, which is lower than the SBMX Sharpe Ratio of -0.35. The chart below compares the historical Sharpe Ratios of IMOEX and SBMX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
-0.15
0.02
IMOEX
SBMX

Drawdowns

IMOEX vs. SBMX - Drawdown Comparison

The maximum IMOEX drawdown since its inception was -83.89%, which is greater than SBMX's maximum drawdown of -54.16%. Use the drawdown chart below to compare losses from any high point for IMOEX and SBMX. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%NovemberDecember2025FebruaryMarchApril
-42.07%
-28.43%
IMOEX
SBMX

Volatility

IMOEX vs. SBMX - Volatility Comparison

MOEX Russia Index (IMOEX) and Sberbank MOEX Russia Total Return ETF (SBMX) have volatilities of 13.57% and 13.21%, 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.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%NovemberDecember2025FebruaryMarchApril
13.57%
13.21%
IMOEX
SBMX