SBMX RUB[Strategy] vs IMOEX RUB[Benchmark]

26 Sep, 2018 - 3 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	64.17%	5.92%
CAGR﹪	7.22%	0.81%
Sharpe	0.13	-0.08
Prob. Sharpe Ratio	3.7%	0.73%
Smart Sharpe	0.12	-0.08
Sortino	0.17	-0.11
Smart Sortino	0.16	-0.1
Sortino/√2	0.12	-0.08
Smart Sortino/√2	0.11	-0.07
Omega	1.02	1.02
Max Drawdown	-54.18%	-55.29%
Longest DD Days	1474	1474
Volatility (ann.)	22.61%	26.53%
R^2	0.72	0.72
Information Ratio	0.02	0.02
Calmar	0.13	0.01
Skew	-1.23	-3.76
Kurtosis	13.75	103.5
Expected Daily	0.03%	0.0%
Expected Monthly	0.57%	0.07%
Expected Yearly	6.39%	0.72%
Kelly Criterion	3.67%	-0.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.3%	-2.73%
Expected Shortfall (cVaR)	-2.3%	-2.73%
Max Consecutive Wins	11	11
Max Consecutive Losses	16	14
Gain/Pain Ratio	0.08	0.04
Gain/Pain (1M)	0.4	0.17
Payoff Ratio	0.88	0.84
Profit Factor	1.08	1.04
Common Sense Ratio	1.04	0.94
CPC Index	0.53	0.47
Tail Ratio	0.96	0.91
Outlier Win Ratio	3.78	3.71
Outlier Loss Ratio	3.91	3.79
MTD	1.8%	1.81%
3M	-5.0%	-5.76%
6M	-4.1%	-9.37%
YTD	-5.16%	-10.82%
1Y	7.33%	-0.9%
3Y (ann.)	14.24%	5.81%
5Y (ann.)	2.13%	-4.29%
10Y (ann.)	7.22%	0.81%
All-time (ann.)	7.22%	0.81%
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	42	57
Recovery Factor	1.18	0.11
Ulcer Index	0.22	0.27
Serenity Index	0.09	-0.0
Avg. Up Month	4.49%	4.18%
Avg. Down Month	-5.73%	-6.41%
Win Days	54.77%	54.31%
Win Month	64.37%	62.07%
Win Quarter	63.33%	56.67%
Win Year	62.5%	50.0%
Beta	0.73	-
Alpha	0.06	-
Correlation	85.13%	-
Treynor Ratio	78.81%	-