SBMX vs. IMOEX
Compare and contrast key facts about Sberbank MOEX Russia Total Return ETF (SBMX) and MOEX Russia Index (IMOEX).
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 IMOEX.
Performance
SBMX vs. IMOEX - Performance Comparison
Returns By Period
In the year-to-date period, SBMX achieves a -9.49% return, which is significantly higher than IMOEX's -15.12% return.
SBMX
-9.49%
-4.32%
-19.42%
-11.43%
3.70%
N/A
IMOEX
-15.12%
-4.41%
-23.27%
-17.99%
-2.23%
5.52%
Key characteristics
| SBMX | IMOEX | |
|---|---|---|
| Sharpe Ratio | -0.67 | -0.92 |
| Sortino Ratio | -0.82 | -1.17 |
| Omega Ratio | 0.90 | 0.85 |
| Calmar Ratio | -0.41 | -0.40 |
| Martin Ratio | -1.04 | -1.21 |
| Ulcer Index | 11.24% | 13.51% |
| Daily Std Dev | 17.32% | 17.50% |
| Max Drawdown | -54.16% | -83.89% |
| Current Drawdown | -25.34% | -38.65% |
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Correlation
The correlation between SBMX and IMOEX is 0.96, 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
SBMX vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Russia Total Return ETF (SBMX) 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
SBMX vs. IMOEX - Drawdown Comparison
The maximum SBMX drawdown since its inception was -54.16%, smaller than the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for SBMX and IMOEX. For additional features, visit the drawdowns tool.
Volatility
SBMX vs. IMOEX - Volatility Comparison
Sberbank MOEX Russia Total Return ETF (SBMX) and MOEX Russia Index (IMOEX) have volatilities of 9.71% and 9.66%, 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.