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RTSI vs. IMOEX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between RTSI and IMOEX is 0.29, 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.


-0.50.00.51.0
Correlation: 0.3

Performance

RTSI vs. IMOEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in RTS Index (RTSI) and MOEX Russia Index (IMOEX). The values are adjusted to include any dividend payments, if applicable.

-50.00%-40.00%-30.00%-20.00%-10.00%NovemberDecember2025FebruaryMarchApril
-20.12%
-20.33%
RTSI
IMOEX

Key characteristics

Sharpe Ratio

RTSI:

-0.08

IMOEX:

-0.51

Sortino Ratio

RTSI:

0.11

IMOEX:

-0.62

Omega Ratio

RTSI:

1.01

IMOEX:

0.93

Calmar Ratio

RTSI:

-0.03

IMOEX:

-0.29

Martin Ratio

RTSI:

-0.12

IMOEX:

-0.70

Ulcer Index

RTSI:

20.71%

IMOEX:

18.29%

Daily Std Dev

RTSI:

30.73%

IMOEX:

24.93%

Max Drawdown

RTSI:

-93.26%

IMOEX:

-83.89%

Current Drawdown

RTSI:

-53.95%

IMOEX:

-29.89%

Returns By Period

In the year-to-date period, RTSI achieves a 28.27% return, which is significantly higher than IMOEX's 4.27% return. Over the past 10 years, RTSI has underperformed IMOEX with an annualized return of 1.06%, while IMOEX has yielded a comparatively higher 6.06% annualized return.


RTSI

YTD

28.27%

1M

-1.13%

6M

32.15%

1Y

-3.46%

5Y*

1.13%

10Y*

1.06%

IMOEX

YTD

4.27%

1M

-2.52%

6M

13.00%

1Y

-12.86%

5Y*

3.19%

10Y*

6.06%

*Annualized

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Risk-Adjusted Performance

RTSI vs. IMOEX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

RTSI
The Risk-Adjusted Performance Rank of RTSI is 2828
Overall Rank
The Sharpe Ratio Rank of RTSI is 2626
Sharpe Ratio Rank
The Sortino Ratio Rank of RTSI is 3030
Sortino Ratio Rank
The Omega Ratio Rank of RTSI is 2929
Omega Ratio Rank
The Calmar Ratio Rank of RTSI is 2828
Calmar Ratio Rank
The Martin Ratio Rank of RTSI is 2828
Martin Ratio Rank

IMOEX
The Risk-Adjusted Performance Rank of IMOEX is 99
Overall Rank
The Sharpe Ratio Rank of IMOEX is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of IMOEX is 66
Sortino Ratio Rank
The Omega Ratio Rank of IMOEX is 88
Omega Ratio Rank
The Calmar Ratio Rank of IMOEX is 1010
Calmar Ratio Rank
The Martin Ratio Rank of IMOEX is 1515
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for RTSI, currently valued at -0.09, compared to the broader market-0.500.000.501.001.50
RTSI: -0.09
IMOEX: -0.06
The chart of Sortino ratio for RTSI, currently valued at 0.10, compared to the broader market-1.00-0.500.000.501.001.502.00
RTSI: 0.10
IMOEX: 0.18
The chart of Omega ratio for RTSI, currently valued at 1.01, compared to the broader market0.901.001.101.201.30
RTSI: 1.01
IMOEX: 1.02
The chart of Calmar ratio for RTSI, currently valued at -0.04, compared to the broader market-0.500.000.501.00
RTSI: -0.04
IMOEX: -0.04
The chart of Martin ratio for RTSI, currently valued at -0.13, compared to the broader market0.002.004.006.00
RTSI: -0.13
IMOEX: -0.11

The current RTSI Sharpe Ratio is -0.08, which is higher than the IMOEX Sharpe Ratio of -0.51. The chart below compares the historical Sharpe Ratios of RTSI and IMOEX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.00NovemberDecember2025FebruaryMarchApril
-0.09
-0.06
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.


-70.00%-60.00%-50.00%-40.00%-30.00%NovemberDecember2025FebruaryMarchApril
-40.31%
-40.37%
RTSI
IMOEX

Volatility

RTSI vs. IMOEX - Volatility Comparison

The current volatility for RTS Index (RTSI) is 11.29%, while MOEX Russia Index (IMOEX) has a volatility of 13.64%. 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.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%NovemberDecember2025FebruaryMarchApril
11.29%
13.64%
RTSI
IMOEX