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Performance
^RGBITR Performance Chart
Russian Government Bond Index (^RGBITR) is up 5.3% since the beginning of the year. ^RGBITR is currently trading at RUB 782 per share. Investors who bought RUB 1,000 worth of ^RGBITR shares 5 years ago would now be looking at an investment worth RUB 1,294.
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Returns By Period
Russian Government Bond Index (^RGBITR) has returned 5.26% so far this year and 18.78% over the past 12 months.
Russian Government Bond Index
- 1D
- 0.03%
- 1M
- 0.03%
- YTD
- 5.26%
- 6M
- 7.11%
- 1Y
- 18.78%
- 3Y*
- 7.55%
- 5Y*
- 5.29%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 1.59%
- 1M
- 2.05%
- YTD
- 2.60%
- 6M
- 4.51%
- 1Y
- 17.79%
- 3Y*
- 17.09%
- 5Y*
- 12.58%
- 10Y*
- 14.97%
^RGBITR Monthly Returns History
Based on dividend-adjusted daily data since Aug 7, 2018, ^RGBITR's average daily return is +0.03%, while the average monthly return is +0.57%. At this rate, an investment would double in approximately 10.2 years.
Historically, 61% of months were positive and 39% were negative. The best month was Dec 2024 with a return of +9.0%, while the worst month was Feb 2022 at -15.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ^RGBITR closed higher 55% of trading days. The best single day was Mar 22, 2022 with a return of +4.8%, while the worst single day was Feb 24, 2022 at -13.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.16% | 1.97% | 1.85% | 1.37% | 0.37% | -0.23% | 5.26% | ||||||
| 2025 | -1.77% | 4.58% | 2.03% | 0.14% | 2.66% | 5.53% | 4.47% | 0.66% | -2.73% | 1.83% | 1.93% | 1.96% | 23.09% |
| 2024 | 0.89% | -1.13% | -2.22% | -0.47% | -4.60% | 0.10% | -1.55% | 0.10% | -0.64% | -4.09% | 3.19% | 8.98% | -2.11% |
| 2023 | 0.49% | -0.45% | 0.88% | 0.98% | 0.82% | -0.34% | -0.52% | -1.62% | -2.93% | -0.74% | 4.57% | -0.21% | 0.76% |
| 2022 | -4.25% | -15.17% | 8.41% | 8.42% | 2.88% | 4.92% | 1.72% | -0.24% | -6.12% | 4.17% | 0.92% | 0.49% | 3.72% |
| 2021 | -0.89% | -1.82% | -0.60% | 0.63% | 0.22% | -0.22% | 1.71% | 0.00% | -1.05% | -3.47% | -0.41% | 0.94% | -4.94% |
Benchmark Metrics
Russian Government Bond Index has an annualized alpha of 7.95%, beta of -0.01, and R2 of 0.00 versus S&P 500 Index. Calculated based on daily prices since August 08, 2018.
- This index captured 5.91% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -24.36%) - a profile typical of hedging or uncorrelated assets.
- Beta of -0.01 may look defensive, but with R2 of 0.00 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.00 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 7.95%
- Beta
- -0.01
- R²
- 0.00
- Upside Capture
- 5.91%
- Downside Capture
- -24.36%
Return for Risk
Risk / Return Rank
^RGBITR ranks 96 for risk / return — in the top 96% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Russian Government Bond Index (^RGBITR) and compare them to S&P 500 Index.
| ^RGBITR | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 4.31 | 0.96 | +3.34 |
Sortino ratioReturn per unit of downside risk | 6.87 | 1.41 | +5.46 |
Omega ratioGain probability vs. loss probability | 1.75 | 1.18 | +0.57 |
Calmar ratioReturn relative to maximum drawdown | 4.85 | 1.92 | +2.93 |
Martin ratioReturn relative to average drawdown | 16.31 | 4.53 | +11.77 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Russian Government Bond Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Russian Government Bond Index was 26.91%, occurring on Mar 21, 2022. Recovery took 280 trading sessions.
The current Russian Government Bond Index drawdown is 0.54%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -26.91%Mar 2022 | 1y 2mo | 1y 1mo | 2y 3moJan 2021 - Apr 2023 |
2024 correction2024 | -14.69%Oct 2024 | 1y 4mo | 4mo 5d | 1y 8moJun 2023 - Mar 2025 |
COVID crash2020 | -10.03%Mar 2020 | 26d | 1mo 6d | 2mo 2dFeb 2020 - Apr 2020 |
2025 pullback2025 | -5.81%Oct 2025 | 1mo 20d | 1mo 27d | 3mo 17dAug 2025 - Dec 2025 |
2025 selloff2025 | -5.53%Apr 2025 | 19d | 1mo 24d | 2mo 13dMar 2025 - Jun 2025 |
Drawdown Indicators
| ^RGBITR | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.91% | -66.07% | +39.16% |
Max Drawdown (1Y)Largest decline over 1 year | -5.81% | -9.46% | +3.65% |
Max Drawdown (3Y)Largest decline over 3 years | -14.69% | -38.15% | +23.46% |
Max Drawdown (5Y)Largest decline over 5 years | -25.96% | -66.07% | +40.11% |
Max Drawdown (10Y)Largest decline over 10 years | — | -66.07% | — |
Current DrawdownCurrent decline from peak | -0.54% | -18.16% | +17.62% |
Average DrawdownAverage peak-to-trough decline | -2.86% | -13.00% | +10.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.77% | 4.00% | -2.23% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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