ROSN vs. MCFTR
Compare and contrast key facts about Public Joint Stock Company Rosneft Oil Company (ROSN) and MOEX Total Return (MCFTR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ROSN or MCFTR.
Key characteristics
| ROSN | MCFTR | |
|---|---|---|
| YTD Return | -3.10% | 11.85% |
| 1Y Return | 57.26% | 40.90% |
| 3Y Return (Ann) | 11.07% | 6.25% |
| 5Y Return (Ann) | 13.82% | 14.20% |
| 10Y Return (Ann) | 16.34% | 17.43% |
| Sharpe Ratio | 2.86 | 3.28 |
| Daily Std Dev | 19.62% | 12.20% |
| Max Drawdown | -71.21% | -73.57% |
| Current Drawdown | -4.48% | -3.68% |
Correlation
The correlation between ROSN and MCFTR is 0.79, 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
ROSN vs. MCFTR - Performance Comparison
In the year-to-date period, ROSN achieves a -3.10% return, which is significantly lower than MCFTR's 11.85% return. Over the past 10 years, ROSN has underperformed MCFTR with an annualized return of 16.34%, while MCFTR has yielded a comparatively higher 17.43% 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
ROSN vs. MCFTR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Public Joint Stock Company Rosneft Oil Company (ROSN) and MOEX Total Return (MCFTR). 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
ROSN vs. MCFTR - Drawdown Comparison
The maximum ROSN drawdown since its inception was -71.21%, roughly equal to the maximum MCFTR drawdown of -73.57%. Use the drawdown chart below to compare losses from any high point for ROSN and MCFTR. For additional features, visit the drawdowns tool.
Volatility
ROSN vs. MCFTR - Volatility Comparison
Public Joint Stock Company Rosneft Oil Company (ROSN) has a higher volatility of 5.45% compared to MOEX Total Return (MCFTR) at 3.46%. This indicates that ROSN's price experiences larger fluctuations and is considered to be riskier than MCFTR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.