SBMX RUB[Strategy] vs [Benchmark] MCFTR RUB

1 Oct, 2018 - 17 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	94.12%	108.6%
CAGR﹪	12.5%	13.95%
Sharpe	-8.89	-7.16
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.68	-6.98
Sortino	-8.27	-7.17
Smart Sortino	-8.07	-6.99
Sortino/√2	-5.85	-5.07
Smart Sortino/√2	-5.71	-4.94
Omega	0.17	0.17
Max Drawdown	-54.18%	-53.53%
Longest DD Days	939	939
Volatility (ann.)	21.86%	26.78%
R^2	0.67	0.67
Information Ratio	-0.01	-0.01
Calmar	0.23	0.26
Skew	-1.97	-4.86
Kurtosis	18.69	125.66
Expected Daily	0.05%	0.05%
Expected Monthly	0.98%	1.09%
Expected Yearly	9.94%	11.07%
Kelly Criterion	5.9%	4.81%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.21%	-2.71%
Expected Shortfall (cVaR)	-2.21%	-2.71%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	6
Gain/Pain Ratio	0.14	0.16
Gain/Pain (1M)	0.69	0.84
Payoff Ratio	0.86	0.84
Profit Factor	1.14	1.16
Common Sense Ratio	1.17	1.16
CPC Index	0.55	0.55
Tail Ratio	1.03	1.0
Outlier Win Ratio	3.93	3.7
Outlier Loss Ratio	4.66	4.58
MTD	2.01%	1.92%
3M	9.32%	9.23%
6M	13.16%	13.49%
YTD	14.99%	14.99%
1Y	39.46%	41.19%
3Y (ann.)	2.78%	4.53%
5Y (ann.)	11.42%	12.93%
10Y (ann.)	12.5%	13.95%
All-time (ann.)	12.5%	13.95%
Best Day	7.45%	20.04%
Worst Day	-14.14%	-33.28%
Best Month	15.26%	15.56%
Worst Month	-26.92%	-30.02%
Best Year	52.03%	53.84%
Worst Year	-38.96%	-37.26%
Avg. Drawdown	-2.96%	-2.98%
Avg. Drawdown Days	33	32
Recovery Factor	1.74	2.03
Ulcer Index	0.23	0.22
Serenity Index	-0.86	-1.12
Avg. Up Month	4.19%	4.48%
Avg. Down Month	-6.07%	-6.3%
Win Days	56.62%	56.66%
Win Month	70.59%	70.59%
Win Quarter	73.91%	73.91%
Win Year	71.43%	71.43%
Beta	0.67	-
Alpha	0.03	-
Correlation	82.05%	-
Treynor Ratio	-904.6%	-