SBRB vs. IMOEX
Compare and contrast key facts about Sberbank MOEX Corporate Bonds Index ETF (SBRB) and MOEX Russia Index (IMOEX).
SBRB is a passively managed fund by Sberbank Asset Management that tracks the performance of the MOEX Corporate Bond Total Return Index 1-3 Years. It was launched on Sep 6, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SBRB or IMOEX.
Key characteristics
| SBRB | IMOEX | |
|---|---|---|
| YTD Return | 2.73% | -10.13% |
| 1Y Return | 2.08% | -14.09% |
| 3Y Return (Ann) | 5.59% | -12.35% |
| 5Y Return (Ann) | 5.14% | -1.04% |
| Sharpe Ratio | 0.58 | -0.78 |
| Sortino Ratio | 0.84 | -0.98 |
| Omega Ratio | 1.11 | 0.87 |
| Calmar Ratio | 0.03 | -0.33 |
| Martin Ratio | 2.38 | -1.03 |
| Ulcer Index | 1.05% | 13.12% |
| Daily Std Dev | 4.35% | 17.02% |
| Max Drawdown | -99.19% | -83.89% |
| Current Drawdown | -98.82% | -35.04% |
Correlation
The correlation between SBRB and IMOEX is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
SBRB vs. IMOEX - Performance Comparison
In the year-to-date period, SBRB achieves a 2.73% return, which is significantly higher than IMOEX's -10.13% 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
SBRB vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Corporate Bonds Index ETF (SBRB) 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
SBRB vs. IMOEX - Drawdown Comparison
The maximum SBRB drawdown since its inception was -99.19%, which is greater than IMOEX's maximum drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for SBRB and IMOEX. For additional features, visit the drawdowns tool.
Volatility
SBRB vs. IMOEX - Volatility Comparison
The current volatility for Sberbank MOEX Corporate Bonds Index ETF (SBRB) is 4.35%, while MOEX Russia Index (IMOEX) has a volatility of 7.74%. This indicates that SBRB experiences smaller price fluctuations and is considered to be less risky than IMOEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.