SIBN.ME vs. MCFTR
Compare and contrast key facts about Gazprom Neft (SIBN.ME) and MOEX Total Return (MCFTR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SIBN.ME or MCFTR.
Key characteristics
| SIBN.ME | MCFTR | |
|---|---|---|
| YTD Return | -5.40% | 12.82% |
| 1Y Return | 76.29% | 43.98% |
| 3Y Return (Ann) | 47.06% | 7.25% |
| 5Y Return (Ann) | 29.71% | 14.23% |
| 10Y Return (Ann) | 29.32% | 17.48% |
| Sharpe Ratio | 2.97 | 3.96 |
| Daily Std Dev | 24.80% | 12.17% |
| Max Drawdown | -79.09% | -73.57% |
| Current Drawdown | -13.83% | -2.84% |
Correlation
The correlation between SIBN.ME and MCFTR 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
SIBN.ME vs. MCFTR - Performance Comparison
In the year-to-date period, SIBN.ME achieves a -5.40% return, which is significantly lower than MCFTR's 12.82% return. Over the past 10 years, SIBN.ME has outperformed MCFTR with an annualized return of 29.32%, while MCFTR has yielded a comparatively lower 17.48% annualized 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
SIBN.ME vs. MCFTR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Gazprom Neft (SIBN.ME) 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
SIBN.ME vs. MCFTR - Drawdown Comparison
The maximum SIBN.ME drawdown since its inception was -79.09%, which is greater than MCFTR's maximum drawdown of -73.57%. Use the drawdown chart below to compare losses from any high point for SIBN.ME and MCFTR. For additional features, visit the drawdowns tool.
Volatility
SIBN.ME vs. MCFTR - Volatility Comparison
Gazprom Neft (SIBN.ME) has a higher volatility of 5.34% compared to MOEX Total Return (MCFTR) at 3.73%. This indicates that SIBN.ME'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.