IMOEX vs. SBMX
Compare and contrast key facts about MOEX Russia Index (IMOEX) 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: IMOEX or SBMX.
Performance
IMOEX vs. SBMX - Performance Comparison
Returns By Period
In the year-to-date period, IMOEX achieves a -17.12% return, which is significantly lower than SBMX's -11.64% return.
IMOEX
-17.12%
-6.77%
-25.39%
-20.49%
-2.73%
5.33%
SBMX
-11.64%
-6.63%
-21.54%
-14.07%
3.17%
N/A
Key characteristics
| IMOEX | SBMX | |
|---|---|---|
| Sharpe Ratio | -1.01 | -0.74 |
| Sortino Ratio | -1.30 | -0.92 |
| Omega Ratio | 0.83 | 0.89 |
| Calmar Ratio | -0.44 | -0.45 |
| Martin Ratio | -1.31 | -1.13 |
| Ulcer Index | 13.70% | 11.40% |
| Daily Std Dev | 17.56% | 17.39% |
| Max Drawdown | -83.89% | -54.16% |
| Current Drawdown | -40.09% | -27.11% |
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Correlation
The correlation between IMOEX and SBMX is 0.96, 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.
Risk-Adjusted Performance
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.
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.
Volatility
IMOEX vs. SBMX - Volatility Comparison
MOEX Russia Index (IMOEX) and Sberbank MOEX Russia Total Return ETF (SBMX) have volatilities of 9.66% and 9.72%, 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.