SBERP.ME vs. IMOEX
Compare and contrast key facts about Sberbank of Russia (SBERP.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SBERP.ME or IMOEX.
Key characteristics
SBERP.ME | IMOEX | |
---|---|---|
YTD Return | 12.96% | 11.09% |
1Y Return | 46.06% | 35.95% |
3Y Return (Ann) | 9.32% | -0.97% |
5Y Return (Ann) | 16.84% | 6.00% |
10Y Return (Ann) | 24.74% | 10.30% |
Sharpe Ratio | 1.95 | 3.16 |
Daily Std Dev | 23.75% | 11.56% |
Max Drawdown | -91.05% | -83.89% |
Current Drawdown | -2.57% | -19.70% |
Correlation
The correlation between SBERP.ME and IMOEX is 0.84, 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
SBERP.ME vs. IMOEX - Performance Comparison
In the year-to-date period, SBERP.ME achieves a 12.96% return, which is significantly higher than IMOEX's 11.09% return. Over the past 10 years, SBERP.ME has outperformed IMOEX with an annualized return of 24.74%, 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
SBERP.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank of Russia (SBERP.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
SBERP.ME vs. IMOEX - Drawdown Comparison
The maximum SBERP.ME drawdown since its inception was -91.05%, which is greater than IMOEX's maximum drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for SBERP.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
SBERP.ME vs. IMOEX - Volatility Comparison
Sberbank of Russia (SBERP.ME) and MOEX Russia Index (IMOEX) have volatilities of 4.37% and 4.20%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.