SBPS RUB[Strategy] vs [Benchmark] MXTDFI2035 RUB

7 Apr, 2025 - 27 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	90.0%	93.0%
Cumulative Return	6.13%	2.22%
CAGR﹪	4.67%	1.7%
Sharpe	-0.15	-0.24
Prob. Sharpe Ratio	20.16%	13.38%
Smart Sharpe	-0.13	-0.22
Sortino	-0.21	-0.34
Smart Sortino	-0.19	-0.31
Sortino/√2	-0.15	-0.24
Smart Sortino/√2	-0.13	-0.22
Omega	0.97	0.97
Max Drawdown	-20.33%	-22.89%
Longest DD Days	123	182
Volatility (ann.)	12.22%	16.09%
R^2	0.76	0.76
Information Ratio	0.02	0.02
Calmar	0.23	0.07
Skew	-0.15	-0.07
Kurtosis	2.79	1.82
Expected Daily	0.02%	0.01%
Expected Monthly	0.37%	0.14%
Expected Yearly	3.02%	1.11%
Kelly Criterion	2.91%	-1.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.25%	-1.66%
Expected Shortfall (cVaR)	-1.25%	-1.66%
Max Consecutive Wins	8	8
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.07	0.03
Gain/Pain (1M)	0.44	0.17
Payoff Ratio	0.95	0.94
Profit Factor	1.07	1.03
Common Sense Ratio	1.16	0.97
CPC Index	0.54	0.49
Tail Ratio	1.08	0.94
Outlier Win Ratio	5.21	3.95
Outlier Loss Ratio	4.2	3.42
MTD	-2.01%	-3.2%
3M	-10.95%	-12.44%
6M	-9.75%	-12.01%
YTD	-8.98%	-10.56%
1Y	-2.19%	-6.45%
3Y (ann.)	4.67%	1.7%
5Y (ann.)	4.67%	1.7%
10Y (ann.)	4.67%	1.7%
All-time (ann.)	4.67%	1.7%
Best Day	3.21%	3.31%
Worst Day	-3.2%	-3.3%
Best Month	4.61%	6.11%
Worst Month	-5.52%	-6.41%
Best Year	16.6%	14.3%
Worst Year	-8.98%	-10.56%
Avg. Drawdown	-2.37%	-4.27%
Avg. Drawdown Days	20	36
Recovery Factor	0.3	0.1
Ulcer Index	0.05	0.07
Serenity Index	-0.01	-0.05
Avg. Up Month	2.55%	2.99%
Avg. Down Month	-2.34%	-3.38%
Win Days	52.66%	51.06%
Win Month	56.25%	56.25%
Win Quarter	66.67%	66.67%
Win Year	50.0%	50.0%
Beta	0.66	-
Alpha	0.03	-
Correlation	87.17%	-
Treynor Ratio	-1.32%	-