NLMK.ME vs. IMOEX
Compare and contrast key facts about Public Joint Stock Company "Novolipetsk Steel" (NLMK.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NLMK.ME or IMOEX.
Key characteristics
| NLMK.ME | IMOEX | |
|---|---|---|
| YTD Return | 33.98% | 11.09% |
| 1Y Return | 80.83% | 35.95% |
| 3Y Return (Ann) | 2.85% | -0.97% |
| 5Y Return (Ann) | 16.60% | 6.00% |
| 10Y Return (Ann) | 30.13% | 10.30% |
| Sharpe Ratio | 3.66 | 3.16 |
| Daily Std Dev | 24.22% | 11.56% |
| Max Drawdown | -87.59% | -83.89% |
| Current Drawdown | 0.00% | -19.70% |
Correlation
The correlation between NLMK.ME and IMOEX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
NLMK.ME vs. IMOEX - Performance Comparison
In the year-to-date period, NLMK.ME achieves a 33.98% return, which is significantly higher than IMOEX's 11.09% return. Over the past 10 years, NLMK.ME has outperformed IMOEX with an annualized return of 30.13%, while IMOEX has yielded a comparatively lower 10.30% 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
NLMK.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Public Joint Stock Company "Novolipetsk Steel" (NLMK.ME) and MOEX Russia Index (IMOEX). 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
NLMK.ME vs. IMOEX - Drawdown Comparison
The maximum NLMK.ME drawdown since its inception was -87.59%, roughly equal to the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for NLMK.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
NLMK.ME vs. IMOEX - Volatility Comparison
Public Joint Stock Company "Novolipetsk Steel" (NLMK.ME) has a higher volatility of 5.07% compared to MOEX Russia Index (IMOEX) at 3.74%. This indicates that NLMK.ME's price experiences larger fluctuations and is considered to be riskier than IMOEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.