SBGB vs. SBRB
Compare and contrast key facts about Sberbank MOEX Russian Government Bond ETF (SBGB) and Sberbank MOEX Corporate Bonds Index ETF (SBRB).
SBGB and SBRB are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SBGB is a passively managed fund by Sberbank Asset Management that tracks the performance of the Moscow Exchange Government Bond. It was launched on Jan 25, 2019. SBRB is a passively managed fund by Sberbank Asset Management that tracks the performance of the MOEX Corporate Bond Total Return Index 1-3 Years. It was launched on Sep 6, 2019. Both SBGB and SBRB are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SBGB or SBRB.
Performance
SBGB vs. SBRB - Performance Comparison
Returns By Period
In the year-to-date period, SBGB achieves a -10.44% return, which is significantly lower than SBRB's 2.74% return.
SBGB
-10.44%
0.72%
-4.18%
-10.81%
-1.11%
N/A
SBRB
2.74%
-1.08%
-0.94%
2.23%
5.07%
N/A
Key characteristics
| SBGB | SBRB | |
|---|---|---|
| Sharpe Ratio | -1.52 | 0.54 |
| Sortino Ratio | -2.16 | 0.79 |
| Omega Ratio | 0.77 | 1.10 |
| Calmar Ratio | -0.66 | 0.69 |
| Martin Ratio | -1.40 | 2.11 |
| Ulcer Index | 7.71% | 1.14% |
| Daily Std Dev | 7.05% | 4.42% |
| Max Drawdown | -22.54% | -20.47% |
| Current Drawdown | -13.20% | -2.42% |
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SBGB vs. SBRB - Expense Ratio Comparison
Both SBGB and SBRB have an expense ratio of 0.80%.
Correlation
The correlation between SBGB and SBRB is 0.91, 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.
Risk-Adjusted Performance
SBGB vs. SBRB - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Russian Government Bond ETF (SBGB) and Sberbank MOEX Corporate Bonds Index ETF (SBRB). 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.
Dividends
SBGB vs. SBRB - Dividend Comparison
Neither SBGB nor SBRB has paid dividends to shareholders.
Drawdowns
SBGB vs. SBRB - Drawdown Comparison
The maximum SBGB drawdown since its inception was -22.54%, which is greater than SBRB's maximum drawdown of -20.47%. Use the drawdown chart below to compare losses from any high point for SBGB and SBRB. For additional features, visit the drawdowns tool.
Volatility
SBGB vs. SBRB - Volatility Comparison
Sberbank MOEX Russian Government Bond ETF (SBGB) has a higher volatility of 5.80% compared to Sberbank MOEX Corporate Bonds Index ETF (SBRB) at 4.68%. This indicates that SBGB's price experiences larger fluctuations and is considered to be riskier than SBRB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.