SBMX vs. BZ=F
Compare and contrast key facts about Sberbank MOEX Russia Total Return ETF (SBMX) and Crude Oil Brent (BZ=F).
SBMX is a passively managed fund by Sberbank Asset Management that tracks the performance of the MOEX Total Return. It was launched on Aug 3, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SBMX or BZ=F.
Key characteristics
| SBMX | BZ=F | |
|---|---|---|
| YTD Return | 11.76% | 8.97% |
| 1Y Return | 43.97% | 16.07% |
| 3Y Return (Ann) | 5.08% | 7.16% |
| 5Y Return (Ann) | 12.08% | 3.33% |
| Sharpe Ratio | 3.69 | 0.37 |
| Daily Std Dev | 12.26% | 27.13% |
| Max Drawdown | -99.46% | -86.77% |
| Current Drawdown | -98.91% | -42.53% |
Correlation
The correlation between SBMX and BZ=F is 0.20, 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.
Performance
SBMX vs. BZ=F - Performance Comparison
In the year-to-date period, SBMX achieves a 11.76% return, which is significantly higher than BZ=F's 8.97% 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
SBMX vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Russia Total Return ETF (SBMX) and Crude Oil Brent (BZ=F). 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
SBMX vs. BZ=F - Drawdown Comparison
The maximum SBMX drawdown since its inception was -99.46%, which is greater than BZ=F's maximum drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for SBMX and BZ=F. For additional features, visit the drawdowns tool.
Volatility
SBMX vs. BZ=F - Volatility Comparison
The current volatility for Sberbank MOEX Russia Total Return ETF (SBMX) is 4.59%, while Crude Oil Brent (BZ=F) has a volatility of 7.41%. This indicates that SBMX experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.