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RTSI vs. IMOEX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


RTSIIMOEX
YTD Return-13.46%-10.98%
1Y Return-6.48%-10.08%
3Y Return (Ann)-18.33%-11.51%
5Y Return (Ann)-7.50%-0.27%
10Y Return (Ann)-2.04%6.94%
Sharpe Ratio-0.34-0.77
Daily Std Dev18.21%15.81%
Max Drawdown-93.26%-83.89%
Current Drawdown-62.31%-35.65%

Correlation

-0.50.00.51.00.9

The correlation between RTSI and IMOEX is 0.87, 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

RTSI vs. IMOEX - Performance Comparison

In the year-to-date period, RTSI achieves a -13.46% return, which is significantly lower than IMOEX's -10.98% return. Over the past 10 years, RTSI has underperformed IMOEX with an annualized return of -2.04%, while IMOEX has yielded a comparatively higher 6.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%5.00%AprilMayJuneJulyAugustSeptember
-16.60%
-16.06%
RTSI
IMOEX

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Risk-Adjusted Performance

RTSI vs. IMOEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for RTS Index (RTSI) 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.


RTSI
Sharpe ratio
The chart of Sharpe ratio for RTSI, currently valued at -0.31, compared to the broader market0.001.002.00-0.31
Sortino ratio
The chart of Sortino ratio for RTSI, currently valued at -0.32, compared to the broader market-1.000.001.002.003.00-0.32
Omega ratio
The chart of Omega ratio for RTSI, currently valued at 0.96, compared to the broader market1.001.201.400.96
Calmar ratio
The chart of Calmar ratio for RTSI, currently valued at -0.11, compared to the broader market0.001.002.003.004.005.00-0.11
Martin ratio
The chart of Martin ratio for RTSI, currently valued at -0.60, compared to the broader market0.005.0010.0015.0020.00-0.60
IMOEX
Sharpe ratio
The chart of Sharpe ratio for IMOEX, currently valued at -0.20, compared to the broader market0.001.002.00-0.20
Sortino ratio
The chart of Sortino ratio for IMOEX, currently valued at -0.13, compared to the broader market-1.000.001.002.003.00-0.13
Omega ratio
The chart of Omega ratio for IMOEX, currently valued at 0.98, compared to the broader market1.001.201.400.99
Calmar ratio
The chart of Calmar ratio for IMOEX, currently valued at -0.08, compared to the broader market0.001.002.003.004.005.00-0.08
Martin ratio
The chart of Martin ratio for IMOEX, currently valued at -0.47, compared to the broader market0.005.0010.0015.0020.00-0.47

RTSI vs. IMOEX - Sharpe Ratio Comparison

The current RTSI Sharpe Ratio is -0.34, which is higher than the IMOEX Sharpe Ratio of -0.77. The chart below compares the 12-month rolling Sharpe Ratio of RTSI and IMOEX.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.31
-0.20
RTSI
IMOEX

Drawdowns

RTSI vs. IMOEX - Drawdown Comparison

The maximum RTSI drawdown since its inception was -93.26%, which is greater than IMOEX's maximum drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for RTSI and IMOEX. For additional features, visit the drawdowns tool.


-50.00%-45.00%-40.00%AprilMayJuneJulyAugustSeptember
-51.16%
-50.70%
RTSI
IMOEX

Volatility

RTSI vs. IMOEX - Volatility Comparison

The current volatility for RTS Index (RTSI) is 8.45%, while MOEX Russia Index (IMOEX) has a volatility of 8.98%. This indicates that RTSI experiences smaller price fluctuations and is considered to be less risky than IMOEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
8.45%
8.98%
RTSI
IMOEX