IMOEX vs. SPY
Compare and contrast key facts about MOEX Russia Index (IMOEX) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOEX or SPY.
Key characteristics
| IMOEX | SPY | |
|---|---|---|
| YTD Return | 11.99% | 11.81% |
| 1Y Return | 31.78% | 31.01% |
| 3Y Return (Ann) | -1.58% | 9.97% |
| 5Y Return (Ann) | 6.20% | 15.01% |
| 10Y Return (Ann) | 9.62% | 12.94% |
| Sharpe Ratio | 2.90 | 2.61 |
| Daily Std Dev | 11.03% | 11.55% |
| Max Drawdown | -83.89% | -55.19% |
| Current Drawdown | -19.05% | 0.00% |
Correlation
The correlation between IMOEX and SPY is 0.34, 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.
Performance
IMOEX vs. SPY - Performance Comparison
The year-to-date returns for both stocks are quite close, with IMOEX having a 11.99% return and SPY slightly lower at 11.81%. Over the past 10 years, IMOEX has underperformed SPY with an annualized return of 9.62%, while SPY has yielded a comparatively higher 12.94% 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. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (IMOEX) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum IMOEX drawdown since its inception was -83.89%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for IMOEX and SPY. For additional features, visit the drawdowns tool.
Volatility
IMOEX vs. SPY - Volatility Comparison
MOEX Russia Index (IMOEX) has a higher volatility of 4.46% compared to SPDR S&P 500 ETF (SPY) at 3.38%. This indicates that IMOEX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.