SBER RUB[Strategy] vs IMOEX RUB[Benchmark]

29 Nov, 2011 - 20 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	280.63%	91.15%
CAGR﹪	9.84%	4.66%
Sharpe	0.25	0.02
Prob. Sharpe Ratio	0.84%	0.2%
Smart Sharpe	0.25	0.02
Sortino	0.34	0.03
Smart Sortino	0.34	0.03
Sortino/√2	0.24	0.02
Smart Sortino/√2	0.24	0.02
Omega	1.05	1.05
Max Drawdown	-73.32%	-55.29%
Longest DD Days	1592	1583
Volatility (ann.)	32.76%	22.75%
R^2	0.54	0.54
Information Ratio	0.02	0.02
Calmar	0.13	0.08
Skew	-1.9	-3.15
Kurtosis	33.68	96.49
Expected Daily	0.04%	0.02%
Expected Monthly	0.78%	0.38%
Expected Yearly	8.71%	4.13%
Kelly Criterion	3.53%	2.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.33%	-2.33%
Expected Shortfall (cVaR)	-3.33%	-2.33%
Max Consecutive Wins	10	11
Max Consecutive Losses	9	14
Gain/Pain Ratio	0.09	0.07
Gain/Pain (1M)	0.46	0.34
Payoff Ratio	1.05	0.96
Profit Factor	1.09	1.07
Common Sense Ratio	1.16	1.05
CPC Index	0.58	0.54
Tail Ratio	1.06	0.99
Outlier Win Ratio	3.14	4.93
Outlier Loss Ratio	3.44	4.93
MTD	2.74%	-0.08%
3M	3.04%	5.09%
6M	-0.79%	-6.24%
YTD	4.7%	0.51%
1Y	-0.86%	-14.98%
3Y (ann.)	19.52%	6.34%
5Y (ann.)	1.93%	-4.43%
10Y (ann.)	11.98%	4.48%
All-time (ann.)	9.84%	4.66%
Best Day	14.7%	20.04%
Worst Day	-35.56%	-33.28%
Best Month	28.81%	17.98%
Worst Month	-51.23%	-30.02%
Best Year	93.04%	43.87%
Worst Year	-52.2%	-43.12%
Avg. Drawdown	-6.42%	-4.17%
Avg. Drawdown Days	85	64
Recovery Factor	3.83	1.65
Ulcer Index	0.27	0.21
Serenity Index	0.42	0.15
Avg. Up Month	7.73%	4.39%
Avg. Down Month	-8.06%	-5.2%
Win Days	50.55%	52.27%
Win Month	59.3%	60.47%
Win Quarter	67.24%	62.07%
Win Year	75.0%	62.5%
Beta	1.06	-
Alpha	0.07	-
Correlation	73.44%	-
Treynor Ratio	258.72%	-