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.
Performance
IMOEX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, IMOEX achieves a -17.12% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, IMOEX has underperformed SPY with an annualized return of 5.33%, while SPY has yielded a comparatively higher 13.10% annualized return.
IMOEX
-17.12%
-6.77%
-25.39%
-20.49%
-2.73%
5.33%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| IMOEX | SPY | |
|---|---|---|
| Sharpe Ratio | -1.01 | 2.70 |
| Sortino Ratio | -1.30 | 3.60 |
| Omega Ratio | 0.83 | 1.50 |
| Calmar Ratio | -0.44 | 3.90 |
| Martin Ratio | -1.31 | 17.52 |
| Ulcer Index | 13.70% | 1.87% |
| Daily Std Dev | 17.56% | 12.14% |
| Max Drawdown | -83.89% | -55.19% |
| Current Drawdown | -40.09% | -0.85% |
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Correlation
The correlation between IMOEX and SPY is 0.32, 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.
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 9.67% compared to SPDR S&P 500 ETF (SPY) at 3.98%. 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.