SBERP.ME vs. RUBUSD=X
Compare and contrast key facts about Sberbank of Russia (SBERP.ME) and RUB/USD (RUBUSD=X).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SBERP.ME or RUBUSD=X.
Key characteristics
| SBERP.ME | RUBUSD=X | |
|---|---|---|
| YTD Return | 12.96% | -2.68% |
| 1Y Return | 46.06% | -13.49% |
| 3Y Return (Ann) | 9.32% | -6.20% |
| 5Y Return (Ann) | 16.84% | -6.46% |
| 10Y Return (Ann) | 24.74% | -8.71% |
| Sharpe Ratio | 1.95 | -0.67 |
| Daily Std Dev | 23.75% | 19.18% |
| Max Drawdown | -91.05% | -79.77% |
| Current Drawdown | -2.57% | -68.50% |
Correlation
The correlation between SBERP.ME and RUBUSD=X is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
SBERP.ME vs. RUBUSD=X - Performance Comparison
In the year-to-date period, SBERP.ME achieves a 12.96% return, which is significantly higher than RUBUSD=X's -2.68% return. Over the past 10 years, SBERP.ME has outperformed RUBUSD=X with an annualized return of 24.74%, while RUBUSD=X has yielded a comparatively lower -8.71% 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. RUBUSD=X - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank of Russia (SBERP.ME) and RUB/USD (RUBUSD=X). 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. RUBUSD=X - Drawdown Comparison
The maximum SBERP.ME drawdown since its inception was -91.05%, which is greater than RUBUSD=X's maximum drawdown of -79.77%. Use the drawdown chart below to compare losses from any high point for SBERP.ME and RUBUSD=X. For additional features, visit the drawdowns tool.
Volatility
SBERP.ME vs. RUBUSD=X - Volatility Comparison
Sberbank of Russia (SBERP.ME) and RUB/USD (RUBUSD=X) have volatilities of 4.36% and 4.55%, 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.