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.
Performance
SBMX vs. BZ=F - Performance Comparison
Returns By Period
In the year-to-date period, SBMX achieves a -11.22% return, which is significantly lower than BZ=F's -2.43% return.
SBMX
-11.22%
-5.68%
-20.32%
-13.42%
3.26%
N/A
BZ=F
-2.43%
0.82%
-8.46%
-7.48%
3.29%
-0.40%
Key characteristics
| SBMX | BZ=F | |
|---|---|---|
| Sharpe Ratio | -0.71 | -0.15 |
| Sortino Ratio | -0.88 | -0.04 |
| Omega Ratio | 0.89 | 0.99 |
| Calmar Ratio | -0.44 | -0.07 |
| Martin Ratio | -1.09 | -0.32 |
| Ulcer Index | 11.48% | 12.02% |
| Daily Std Dev | 17.39% | 25.42% |
| Max Drawdown | -54.16% | -86.77% |
| Current Drawdown | -26.77% | -48.54% |
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Correlation
The correlation between SBMX and BZ=F is 0.19, 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.
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 -54.16%, smaller than the maximum BZ=F 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
Sberbank MOEX Russia Total Return ETF (SBMX) has a higher volatility of 9.22% compared to Crude Oil Brent (BZ=F) at 7.09%. This indicates that SBMX's price experiences larger fluctuations and is considered to be riskier than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.