SBPS RUB[Strategy] vs [Benchmark] MXTDFI2035 RUB

7 Apr, 2025 - 31 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	90.0%	91.0%
Cumulative Return	17.0%	14.57%
CAGR﹪	10.54%	9.06%
Sharpe	0.23	0.14
Prob. Sharpe Ratio	31.73%	23.33%
Smart Sharpe	0.22	0.13
Sortino	0.32	0.2
Smart Sortino	0.31	0.19
Sortino/√2	0.23	0.14
Smart Sortino/√2	0.22	0.13
Omega	1.04	1.04
Max Drawdown	-20.33%	-22.89%
Longest DD Days	219	235
Volatility (ann.)	13.03%	16.13%
R^2	0.73	0.73
Information Ratio	0.01	0.01
Calmar	0.52	0.4
Skew	-0.2	-0.13
Kurtosis	2.28	1.64
Expected Daily	0.04%	0.03%
Expected Monthly	0.83%	0.72%
Expected Yearly	8.16%	7.04%
Kelly Criterion	3.6%	3.04%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.31%	-1.64%
Expected Shortfall (cVaR)	-1.31%	-1.64%
Max Consecutive Wins	8	8
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.14	0.11
Gain/Pain (1M)	1.0	0.69
Payoff Ratio	0.95	0.94
Profit Factor	1.14	1.11
Common Sense Ratio	1.22	1.09
CPC Index	0.57	0.55
Tail Ratio	1.07	0.99
Outlier Win Ratio	4.61	3.86
Outlier Loss Ratio	4.15	3.4
MTD	8.82%	8.51%
3M	10.24%	10.58%
6M	1.02%	0.71%
YTD	0.34%	0.24%
1Y	7.83%	8.85%
3Y (ann.)	10.54%	9.06%
5Y (ann.)	10.54%	9.06%
10Y (ann.)	10.54%	9.06%
All-time (ann.)	10.54%	9.06%
Best Day	3.21%	3.31%
Worst Day	-3.2%	-3.3%
Best Month	8.82%	8.51%
Worst Month	-5.52%	-6.41%
Best Year	16.6%	14.3%
Worst Year	0.34%	0.24%
Avg. Drawdown	-2.37%	-4.27%
Avg. Drawdown Days	26	44
Recovery Factor	0.84	0.64
Ulcer Index	0.07	0.08
Serenity Index	0.1	0.06
Avg. Up Month	3.15%	3.53%
Avg. Down Month	-2.23%	-2.97%
Win Days	53.03%	53.13%
Win Month	57.89%	57.89%
Win Quarter	71.43%	71.43%
Win Year	100.0%	100.0%
Beta	0.69	-
Alpha	0.04	-
Correlation	85.5%	-
Treynor Ratio	14.47%	-