SBPS RUB[Strategy] vs [Benchmark] MXTDFI2035 RUB

7 Apr, 2025 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	89.0%	100.0%
Cumulative Return	19.76%	19.51%
CAGR﹪	21.5%	21.22%
Sharpe	1.24	0.83
Prob. Sharpe Ratio	77.41%	55.18%
Smart Sharpe	1.21	0.81
Sortino	1.94	1.22
Smart Sortino	1.89	1.19
Sortino/√2	1.37	0.86
Smart Sortino/√2	1.34	0.84
Omega	1.23	1.23
Max Drawdown	-5.75%	-12.61%
Longest DD Days	109	182
Volatility (ann.)	10.59%	16.41%
R^2	0.75	0.75
Information Ratio	-0.0	-0.0
Calmar	3.74	1.68
Skew	0.27	-0.08
Kurtosis	0.91	1.29
Expected Daily	0.08%	0.08%
Expected Monthly	1.51%	1.5%
Expected Yearly	9.44%	9.32%
Kelly Criterion	14.47%	6.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.02%	-1.62%
Expected Shortfall (cVaR)	-1.02%	-1.62%
Max Consecutive Wins	7	8
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.36	0.24
Gain/Pain (1M)	4.42	2.0
Payoff Ratio	1.07	0.97
Profit Factor	1.36	1.24
Common Sense Ratio	1.77	1.19
CPC Index	0.82	0.65
Tail Ratio	1.3	0.96
Outlier Win Ratio	4.82	3.02
Outlier Loss Ratio	3.7	2.73
MTD	1.17%	1.71%
3M	4.48%	6.78%
6M	6.32%	4.03%
YTD	2.71%	4.56%
1Y	19.76%	19.51%
3Y (ann.)	21.5%	21.22%
5Y (ann.)	21.5%	21.22%
10Y (ann.)	21.5%	21.22%
All-time (ann.)	21.5%	21.22%
Best Day	2.4%	3.31%
Worst Day	-1.96%	-3.3%
Best Month	4.61%	6.11%
Worst Month	-1.95%	-4.88%
Best Year	16.6%	14.3%
Worst Year	2.71%	4.56%
Avg. Drawdown	-1.49%	-2.44%
Avg. Drawdown Days	16	24
Recovery Factor	3.44	1.55
Ulcer Index	0.02	0.05
Serenity Index	0.96	0.29
Avg. Up Month	2.53%	3.17%
Avg. Down Month	-1.44%	-3.3%
Win Days	55.77%	54.08%
Win Month	75.0%	75.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.56	-
Alpha	0.08	-
Correlation	86.76%	-
Treynor Ratio	22.79%	-