NVTK vs. IMOEX
Compare and contrast key facts about Novatek (NVTK) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NVTK or IMOEX.
Key characteristics
| NVTK | IMOEX | |
|---|---|---|
| YTD Return | -15.71% | 11.09% |
| 1Y Return | 3.00% | 35.95% |
| 3Y Return (Ann) | 3.86% | -0.97% |
| 5Y Return (Ann) | 6.00% | 6.00% |
| 10Y Return (Ann) | 17.93% | 10.30% |
| Sharpe Ratio | 0.08 | 3.16 |
| Daily Std Dev | 17.64% | 11.56% |
| Max Drawdown | -78.41% | -83.89% |
| Current Drawdown | -28.64% | -19.70% |
Correlation
The correlation between NVTK and IMOEX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
NVTK vs. IMOEX - Performance Comparison
In the year-to-date period, NVTK achieves a -15.71% return, which is significantly lower than IMOEX's 11.09% return. Over the past 10 years, NVTK has outperformed IMOEX with an annualized return of 17.93%, 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
NVTK vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Novatek (NVTK) 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
NVTK vs. IMOEX - Drawdown Comparison
The maximum NVTK drawdown since its inception was -78.41%, smaller than the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for NVTK and IMOEX. For additional features, visit the drawdowns tool.
Volatility
NVTK vs. IMOEX - Volatility Comparison
Novatek (NVTK) has a higher volatility of 6.16% compared to MOEX Russia Index (IMOEX) at 4.20%. This indicates that NVTK'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.