THE ROLE OF SUSTAINABLE DEVELOPMENT IN ASSESSING THE RISKS OF RUSSIAN STOCK INDICES

This study examines the risk profile of the Moscow Exchange’s sustainable development indices (MESG, MRRT, MRSV, MRSVR) in comparison with the benchmark Russian stock market index IMOEX over the 2024 calendar year. The objective was to quantify differences in returns, volatility, systematic risk, and tail-risk measures between ESG-oriented indices and the broad market. Monthly index values were used to compute simple returns, annualized volatility, beta coefficients, historical Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), and maximum drawdown, supplemented by correlation analysis and Levene’s test for equality of variances. The results indicate that all indices ended the period with negative annual returns, while their risk characteristics diverged considerably. MESG and MRRT demonstrated lower annual volatility and beta values below one, suggesting reduced sensitivity to market fluctuations and a relatively more stable risk profile. In contrast, MRSV and MRSVR exhibited elevated volatility, the highest VaR and CVaR levels, and deeper drawdowns. Despite visual differences, Levene’s test did not confirm statistically significant variance disparities between MESG and IMOEX, reflecting the limitations of a short time series. The scientific novelty of the study lies in the integrated comparison of Russian ESG indices using a consistent framework of traditional and tail-risk metrics. The findings expand empirical evidence on the behavior of ESG-oriented instruments in emerging markets with structural and institutional specificities. The practical value of the research is associated with the application of the obtained risk indicators in portfolio construction, assessment of market resilience, and refinement of ESG-index methodologies under conditions of heightened volatility.