AMRB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

12 May, 2021 - 12 Mar, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	100.0%
Cumulative Return	2.68%	22.98%
CAGR﹪	0.94%	7.57%
Sharpe	0.15	0.54
Prob. Sharpe Ratio	59.27%	74.88%
Smart Sharpe	0.1	0.36
Sortino	0.3	0.62
Smart Sortino	0.2	0.42
Sortino/√2	0.21	0.44
Smart Sortino/√2	0.14	0.3
Omega	1.05	1.05
Max Drawdown	-12.01%	-29.21%
Longest DD Days	402	488
Volatility (ann.)	14.71%	23.2%
R^2	0.25	0.25
Information Ratio	-0.02	-0.02
Calmar	0.08	0.26
Skew	9.09	-10.23
Kurtosis	175.56	191.79
Expected Daily	0.0%	0.04%
Expected Monthly	0.09%	0.74%
Expected Yearly	0.66%	5.31%
Kelly Criterion	-6.65%	13.57%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-2.35%
Expected Shortfall (cVaR)	-1.52%	-2.35%
Max Consecutive Wins	5	9
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.05	0.15
Gain/Pain (1M)	0.21	0.67
Payoff Ratio	0.99	1.2
Profit Factor	1.05	1.15
Common Sense Ratio	1.12	1.39
CPC Index	0.49	0.73
Tail Ratio	1.07	1.21
Outlier Win Ratio	5.33	2.86
Outlier Loss Ratio	5.13	3.16
MTD	-1.62%	0.69%
3M	-0.1%	1.2%
6M	1.37%	-3.47%
YTD	-1.99%	1.57%
1Y	-1.99%	20.6%
3Y (ann.)	0.94%	7.57%
5Y (ann.)	0.94%	7.57%
10Y (ann.)	0.94%	7.57%
All-time (ann.)	0.94%	7.57%
Best Day	16.22%	8.19%
Worst Day	-6.87%	-26.28%
Best Month	15.66%	14.61%
Worst Month	-8.12%	-25.93%
Best Year	6.33%	29.27%
Worst Year	-1.99%	-6.4%
Avg. Drawdown	-1.41%	-4.59%
Avg. Drawdown Days	41	58
Recovery Factor	0.22	0.79
Ulcer Index	0.03	0.1
Serenity Index	0.19	0.17
Avg. Up Month	0.75%	3.5%
Avg. Down Month	-0.67%	-1.85%
Win Days	46.99%	52.81%
Win Month	46.15%	64.29%
Win Quarter	50.0%	60.0%
Win Year	25.0%	75.0%
Beta	-0.32	-
Alpha	0.06	-
Correlation	-49.95%	-
Treynor Ratio	-8.46%	-