SBDS RUB[Strategy] vs [Benchmark] MXTDFI2045 RUB

7 Apr, 2025 - 13 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	100.0%
Cumulative Return	12.03%	13.62%
CAGR﹪	15.89%	18.05%
Sharpe	0.61	0.63
Prob. Sharpe Ratio	48.23%	46.29%
Smart Sharpe	0.59	0.61
Sortino	0.88	0.91
Smart Sortino	0.85	0.88
Sortino/√2	0.62	0.65
Smart Sortino/√2	0.6	0.62
Omega	1.1	1.1
Max Drawdown	-9.6%	-13.08%
Longest DD Days	148	148
Volatility (ann.)	14.88%	18.04%
R^2	0.86	0.86
Information Ratio	-0.02	-0.02
Calmar	1.66	1.38
Skew	-0.04	-0.06
Kurtosis	0.05	0.81
Expected Daily	0.06%	0.07%
Expected Monthly	1.14%	1.29%
Expected Yearly	5.84%	6.59%
Kelly Criterion	7.92%	6.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.48%	-1.8%
Expected Shortfall (cVaR)	-1.48%	-1.8%
Max Consecutive Wins	7	8
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.19	0.18
Gain/Pain (1M)	1.28	1.35
Payoff Ratio	1.03	1.02
Profit Factor	1.19	1.18
Common Sense Ratio	1.25	1.18
CPC Index	0.65	0.64
Tail Ratio	1.05	1.0
Outlier Win Ratio	3.79	3.1
Outlier Loss Ratio	3.29	2.99
MTD	-0.84%	-0.67%
3M	5.99%	8.28%
6M	9.94%	10.43%
YTD	-0.84%	-0.67%
1Y	12.03%	13.62%
3Y (ann.)	15.89%	18.05%
5Y (ann.)	15.89%	18.05%
10Y (ann.)	15.89%	18.05%
All-time (ann.)	15.89%	18.05%
Best Day	2.4%	3.41%
Worst Day	-2.37%	-3.33%
Best Month	5.38%	6.13%
Worst Month	-3.7%	-5.08%
Best Year	12.97%	14.39%
Worst Year	-0.84%	-0.67%
Avg. Drawdown	-3.64%	-3.97%
Avg. Drawdown Days	42	36
Recovery Factor	1.25	1.04
Ulcer Index	0.04	0.06
Serenity Index	0.15	0.13
Avg. Up Month	3.62%	4.05%
Avg. Down Month	-2.44%	-2.69%
Win Days	53.26%	53.09%
Win Month	60.0%	60.0%
Win Quarter	75.0%	50.0%
Win Year	50.0%	50.0%
Beta	0.76	-
Alpha	0.02	-
Correlation	92.67%	-
Treynor Ratio	6.58%	-