TATN.ME vs. IMOEX
Compare and contrast key facts about PJSC Tatneft (TATN.ME) and MOEX Russia Index (IMOEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TATN.ME or IMOEX.
Key characteristics
| TATN.ME | IMOEX | |
|---|---|---|
| YTD Return | -6.50% | -11.28% |
| 1Y Return | 7.16% | -15.36% |
| 3Y Return (Ann) | 21.60% | -12.70% |
| 5Y Return (Ann) | 6.82% | -1.22% |
| 10Y Return (Ann) | 20.26% | 6.26% |
| Sharpe Ratio | 0.40 | -0.80 |
| Sortino Ratio | 0.71 | -1.01 |
| Omega Ratio | 1.09 | 0.87 |
| Calmar Ratio | 0.43 | -0.34 |
| Martin Ratio | 1.01 | -1.05 |
| Ulcer Index | 9.44% | 13.24% |
| Daily Std Dev | 23.42% | 17.02% |
| Max Drawdown | -85.48% | -83.89% |
| Current Drawdown | -13.42% | -35.87% |
Correlation
The correlation between TATN.ME and IMOEX is 0.75, 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
TATN.ME vs. IMOEX - Performance Comparison
In the year-to-date period, TATN.ME achieves a -6.50% return, which is significantly higher than IMOEX's -11.28% return. Over the past 10 years, TATN.ME has outperformed IMOEX with an annualized return of 20.26%, while IMOEX has yielded a comparatively lower 6.26% 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
TATN.ME vs. IMOEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PJSC Tatneft (TATN.ME) 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
TATN.ME vs. IMOEX - Drawdown Comparison
The maximum TATN.ME drawdown since its inception was -85.48%, roughly equal to the maximum IMOEX drawdown of -83.89%. Use the drawdown chart below to compare losses from any high point for TATN.ME and IMOEX. For additional features, visit the drawdowns tool.
Volatility
TATN.ME vs. IMOEX - Volatility Comparison
PJSC Tatneft (TATN.ME) has a higher volatility of 10.04% compared to MOEX Russia Index (IMOEX) at 8.09%. This indicates that TATN.ME's price experiences larger fluctuations and is considered to be riskier than IMOEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.