MBEQ RUB[Strategy] vs INRU RUB[Benchmark]

16 Jun, 2022 - 26 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	31.15%	25.01%
CAGR﹪	33.34%	26.73%
Sharpe	1.32	1.18
Prob. Sharpe Ratio	59.59%	56.14%
Smart Sharpe	1.23	1.09
Sortino	1.96	1.62
Smart Sortino	1.81	1.5
Sortino/√2	1.38	1.15
Smart Sortino/√2	1.28	1.06
Omega	1.25	1.25
Max Drawdown	-26.54%	-27.6%
Longest DD Days	215	195
Volatility (ann.)	46.38%	41.64%
R^2	0.27	0.27
Information Ratio	0.02	0.02
Calmar	1.26	0.97
Skew	-0.26	-0.72
Kurtosis	1.83	10.26
Expected Daily	0.23%	0.19%
Expected Monthly	2.29%	1.88%
Expected Yearly	14.52%	11.81%
Kelly Criterion	8.56%	15.37%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.54%	-4.09%
Expected Shortfall (cVaR)	-4.54%	-4.09%
Max Consecutive Wins	6	8
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.29	0.33
Gain/Pain (1M)	1.42	1.13
Payoff Ratio	1.02	0.96
Profit Factor	1.29	1.33
Common Sense Ratio	1.8	1.74
CPC Index	0.71	0.75
Tail Ratio	1.4	1.31
Outlier Win Ratio	2.72	3.97
Outlier Loss Ratio	4.41	5.61
MTD	12.19%	3.55%
3M	29.81%	23.02%
6M	33.63%	28.23%
YTD	29.92%	25.8%
1Y	31.15%	25.01%
3Y (ann.)	33.34%	26.73%
5Y (ann.)	33.34%	26.73%
10Y (ann.)	33.34%	26.73%
All-time (ann.)	33.34%	26.73%
Best Day	9.88%	12.88%
Worst Day	-9.89%	-12.37%
Best Month	17.42%	14.68%
Worst Month	-19.4%	-17.51%
Best Year	29.92%	25.8%
Worst Year	0.95%	-0.62%
Avg. Drawdown	-7.28%	-5.27%
Avg. Drawdown Days	39	32
Recovery Factor	1.17	0.91
Ulcer Index	0.11	0.08
Serenity Index	0.34	0.43
Avg. Up Month	7.83%	6.79%
Avg. Down Month	-6.9%	-7.66%
Win Days	53.85%	58.47%
Win Month	58.33%	75.0%
Win Quarter	60.0%	60.0%
Win Year	100.0%	50.0%
Beta	0.58	-
Alpha	0.36	-
Correlation	52.09%	-
Treynor Ratio	41.63%	-