SBMX vs. SBGB
Compare and contrast key facts about Sberbank MOEX Russia Total Return ETF (SBMX) and Sberbank MOEX Russian Government Bond ETF (SBGB).
SBMX and SBGB are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both SBMX and SBGB 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: SBMX or SBGB.
Performance
SBMX vs. SBGB - Performance Comparison
Returns By Period
In the year-to-date period, SBMX achieves a -11.64% return, which is significantly lower than SBGB's -10.62% return.
SBMX
-11.64%
-6.63%
-21.54%
-14.07%
3.17%
N/A
SBGB
-10.62%
0.18%
-4.88%
-10.75%
-1.16%
N/A
Key characteristics
| SBMX | SBGB | |
|---|---|---|
| Sharpe Ratio | -0.74 | -1.55 |
| Sortino Ratio | -0.92 | -2.21 |
| Omega Ratio | 0.89 | 0.76 |
| Calmar Ratio | -0.45 | -0.67 |
| Martin Ratio | -1.13 | -1.43 |
| Ulcer Index | 11.40% | 7.67% |
| Daily Std Dev | 17.39% | 7.05% |
| Max Drawdown | -54.16% | -22.54% |
| Current Drawdown | -27.11% | -13.38% |
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SBMX vs. SBGB - Expense Ratio Comparison
SBMX has a 0.99% expense ratio, which is higher than SBGB's 0.80% expense ratio.
Correlation
The correlation between SBMX and SBGB is 0.72, 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. SBGB - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Russia Total Return ETF (SBMX) and Sberbank MOEX Russian Government Bond ETF (SBGB). 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
SBMX vs. SBGB - Dividend Comparison
Neither SBMX nor SBGB has paid dividends to shareholders.
Drawdowns
SBMX vs. SBGB - Drawdown Comparison
The maximum SBMX drawdown since its inception was -54.16%, which is greater than SBGB's maximum drawdown of -22.54%. Use the drawdown chart below to compare losses from any high point for SBMX and SBGB. For additional features, visit the drawdowns tool.
Volatility
SBMX vs. SBGB - Volatility Comparison
Sberbank MOEX Russia Total Return ETF (SBMX) has a higher volatility of 9.72% compared to Sberbank MOEX Russian Government Bond ETF (SBGB) at 5.15%. This indicates that SBMX's price experiences larger fluctuations and is considered to be riskier than SBGB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.