SBMX vs. MCFTR
Compare and contrast key facts about Sberbank MOEX Russia Total Return ETF (SBMX) and MOEX Total Return (MCFTR).
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 MCFTR.
Key characteristics
| SBMX | MCFTR | |
|---|---|---|
| YTD Return | 12.56% | 12.82% |
| 1Y Return | 42.39% | 43.98% |
| 3Y Return (Ann) | 5.34% | 7.25% |
| 5Y Return (Ann) | 12.25% | 14.23% |
| Sharpe Ratio | 3.69 | 3.96 |
| Daily Std Dev | 12.35% | 12.17% |
| Max Drawdown | -99.46% | -73.57% |
| Current Drawdown | -98.90% | -2.84% |
Correlation
The correlation between SBMX and MCFTR 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.
Performance
SBMX vs. MCFTR - Performance Comparison
The year-to-date returns for both investments are quite close, with SBMX having a 12.56% return and MCFTR slightly higher at 12.82%. 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. MCFTR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Russia Total Return ETF (SBMX) and MOEX Total Return (MCFTR). 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. MCFTR - Drawdown Comparison
The maximum SBMX drawdown since its inception was -99.46%, which is greater than MCFTR's maximum drawdown of -73.57%. Use the drawdown chart below to compare losses from any high point for SBMX and MCFTR. For additional features, visit the drawdowns tool.
Volatility
SBMX vs. MCFTR - Volatility Comparison
Sberbank MOEX Russia Total Return ETF (SBMX) has a higher volatility of 3.98% compared to MOEX Total Return (MCFTR) at 3.73%. This indicates that SBMX's price experiences larger fluctuations and is considered to be riskier than MCFTR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.