IMOEX vs. ^GSPC
Compare and contrast key facts about MOEX Russia Index (IMOEX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOEX or ^GSPC.
Key characteristics
| IMOEX | ^GSPC | |
|---|---|---|
| YTD Return | 11.55% | 9.47% |
| 1Y Return | 34.77% | 26.61% |
| 3Y Return (Ann) | -1.71% | 7.78% |
| 5Y Return (Ann) | 6.31% | 12.90% |
| 10Y Return (Ann) | 9.58% | 10.79% |
| Sharpe Ratio | 2.81 | 2.28 |
| Daily Std Dev | 11.18% | 11.58% |
| Max Drawdown | -83.89% | -56.78% |
| Current Drawdown | -19.37% | -0.63% |
Correlation
The correlation between IMOEX and ^GSPC 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. ^GSPC - Performance Comparison
In the year-to-date period, IMOEX achieves a 11.55% return, which is significantly higher than ^GSPC's 9.47% return. Over the past 10 years, IMOEX has underperformed ^GSPC with an annualized return of 9.58%, while ^GSPC has yielded a comparatively higher 10.79% 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MOEX Russia Index (IMOEX) and S&P 500 (^GSPC). 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. ^GSPC - Drawdown Comparison
The maximum IMOEX drawdown since its inception was -83.89%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for IMOEX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
IMOEX vs. ^GSPC - Volatility Comparison
MOEX Russia Index (IMOEX) has a higher volatility of 4.59% compared to S&P 500 (^GSPC) at 3.34%. This indicates that IMOEX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.