SBRB vs. SBMX
Compare and contrast key facts about Sberbank MOEX Corporate Bonds Index ETF (SBRB) and Sberbank MOEX Russia Total Return ETF (SBMX).
SBRB and SBMX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both SBRB and SBMX 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: SBRB or SBMX.
Key characteristics
| SBRB | SBMX | |
|---|---|---|
| YTD Return | 2.16% | -4.91% |
| 1Y Return | 2.23% | -6.83% |
| 3Y Return (Ann) | 5.38% | -6.51% |
| 5Y Return (Ann) | 5.06% | 4.82% |
| Sharpe Ratio | 0.42 | -0.38 |
| Sortino Ratio | 0.61 | -0.42 |
| Omega Ratio | 1.08 | 0.95 |
| Calmar Ratio | 0.02 | -0.07 |
| Martin Ratio | 1.68 | -0.59 |
| Ulcer Index | 1.08% | 11.00% |
| Daily Std Dev | 4.37% | 16.87% |
| Max Drawdown | -99.19% | -99.46% |
| Current Drawdown | -98.83% | -99.07% |
Correlation
The correlation between SBRB and SBMX 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.
Performance
SBRB vs. SBMX - Performance Comparison
In the year-to-date period, SBRB achieves a 2.16% return, which is significantly higher than SBMX's -4.91% 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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SBRB vs. SBMX - Expense Ratio Comparison
SBRB has a 0.80% expense ratio, which is lower than SBMX's 0.99% expense ratio.
Risk-Adjusted Performance
SBRB vs. SBMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sberbank MOEX Corporate Bonds Index ETF (SBRB) and Sberbank MOEX Russia Total Return ETF (SBMX). 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
SBRB vs. SBMX - Dividend Comparison
Neither SBRB nor SBMX has paid dividends to shareholders.
Drawdowns
SBRB vs. SBMX - Drawdown Comparison
The maximum SBRB drawdown since its inception was -99.19%, roughly equal to the maximum SBMX drawdown of -99.46%. Use the drawdown chart below to compare losses from any high point for SBRB and SBMX. For additional features, visit the drawdowns tool.
Volatility
SBRB vs. SBMX - Volatility Comparison
The current volatility for Sberbank MOEX Corporate Bonds Index ETF (SBRB) is 3.70%, while Sberbank MOEX Russia Total Return ETF (SBMX) has a volatility of 8.14%. This indicates that SBRB experiences smaller price fluctuations and is considered to be less risky than SBMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.