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MCFTR vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between MCFTR and VOO is 0.33, 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.


-0.50.00.51.00.3

Performance

MCFTR vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MOEX Total Return (MCFTR) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember0
8.65%
MCFTR
VOO

Key characteristics

Returns By Period


MCFTR

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y*

N/A

10Y*

N/A

VOO

YTD

25.49%

1M

0.01%

6M

8.65%

1Y

27.45%

5Y*

14.70%

10Y*

13.04%

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Risk-Adjusted Performance

MCFTR vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MOEX Total Return (MCFTR) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for MCFTR, currently valued at 0.82, compared to the broader market-1.000.001.002.000.822.03
The chart of Sortino ratio for MCFTR, currently valued at 1.32, compared to the broader market-1.000.001.002.003.001.322.72
The chart of Omega ratio for MCFTR, currently valued at 1.22, compared to the broader market0.800.901.001.101.201.301.401.221.38
The chart of Calmar ratio for MCFTR, currently valued at 0.28, compared to the broader market0.001.002.003.004.000.282.98
The chart of Martin ratio for MCFTR, currently valued at 1.94, compared to the broader market0.005.0010.0015.001.9413.27
MCFTR
VOO


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.82
2.03
MCFTR
VOO

Drawdowns

MCFTR vs. VOO - Drawdown Comparison


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-28.01%
-2.87%
MCFTR
VOO

Volatility

MCFTR vs. VOO - Volatility Comparison

The current volatility for MOEX Total Return (MCFTR) is 0.00%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.64%. This indicates that MCFTR experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember0
3.64%
MCFTR
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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