SBMX RUB[Strategy] vs IMOEX RUB[Benchmark]

26 Sep, 2018 - 24 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	73.96%	12.06%
CAGR﹪	7.94%	1.58%
Sharpe	0.16	-0.06
Prob. Sharpe Ratio	4.25%	0.86%
Smart Sharpe	0.15	-0.05
Sortino	0.21	-0.07
Smart Sortino	0.2	-0.07
Sortino/√2	0.15	-0.05
Smart Sortino/√2	0.14	-0.05
Omega	1.03	1.03
Max Drawdown	-54.18%	-55.29%
Longest DD Days	1525	1525
Volatility (ann.)	22.51%	26.38%
R^2	0.73	0.73
Information Ratio	0.02	0.02
Calmar	0.15	0.03
Skew	-1.22	-3.75
Kurtosis	13.74	103.79
Expected Daily	0.03%	0.01%
Expected Monthly	0.63%	0.13%
Expected Yearly	7.17%	1.43%
Kelly Criterion	4.05%	0.12%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-2.71%
Expected Shortfall (cVaR)	-2.29%	-2.71%
Max Consecutive Wins	11	11
Max Consecutive Losses	16	14
Gain/Pain Ratio	0.09	0.04
Gain/Pain (1M)	0.43	0.2
Payoff Ratio	0.9	0.85
Profit Factor	1.09	1.04
Common Sense Ratio	1.06	0.97
CPC Index	0.53	0.48
Tail Ratio	0.97	0.93
Outlier Win Ratio	3.76	3.68
Outlier Loss Ratio	3.9	3.78
MTD	3.45%	1.63%
3M	-0.7%	-1.4%
6M	2.61%	-1.44%
YTD	0.49%	-5.65%
1Y	6.91%	0.65%
3Y (ann.)	15.36%	7.79%
5Y (ann.)	1.9%	-4.34%
10Y (ann.)	7.94%	1.58%
All-time (ann.)	7.94%	1.58%
Best Day	8.98%	20.04%
Worst Day	-14.14%	-33.28%
Best Month	15.26%	15.5%
Worst Month	-26.92%	-30.02%
Best Year	52.03%	43.87%
Worst Year	-38.96%	-43.12%
Avg. Drawdown	-2.96%	-3.89%
Avg. Drawdown Days	43	58
Recovery Factor	1.37	0.22
Ulcer Index	0.22	0.27
Serenity Index	0.11	0.01
Avg. Up Month	4.51%	4.21%
Avg. Down Month	-5.73%	-6.41%
Win Days	54.62%	54.12%
Win Month	64.77%	62.5%
Win Quarter	66.67%	60.0%
Win Year	75.0%	50.0%
Beta	0.73	-
Alpha	0.06	-
Correlation	85.2%	-
Treynor Ratio	92.12%	-