MBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

3 Feb, 2022 - 30 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	8.0%	100.0%
Cumulative Return	8.61%	35.92%
CAGR﹪	2.01%	7.67%
Sharpe	-0.5	0.12
Prob. Sharpe Ratio	5.07%	26.14%
Smart Sharpe	-0.47	0.11
Sortino	-0.66	0.15
Smart Sortino	-0.62	0.14
Sortino/√2	-0.47	0.11
Smart Sortino/√2	-0.44	0.1
Omega	0.76	0.76
Max Drawdown	-12.52%	-19.89%
Longest DD Days	1040	630
Volatility (ann.)	8.72%	10.96%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.16	0.39
Skew	-3.93	-6.97
Kurtosis	95.61	163.92
Expected Daily	0.01%	0.03%
Expected Monthly	0.17%	0.62%
Expected Yearly	1.67%	6.33%
Kelly Criterion	32.81%	-2.93%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.89%	-1.1%
Expected Shortfall (cVaR)	-0.89%	-1.1%
Max Consecutive Wins	4	15
Max Consecutive Losses	3	15
Gain/Pain Ratio	0.2	0.23
Gain/Pain (1M)	0.48	0.69
Payoff Ratio	1.34	0.85
Profit Factor	1.2	1.23
Common Sense Ratio	-	1.66
CPC Index	0.99	0.55
Tail Ratio	-	1.35
Outlier Win Ratio	33.85	6.15
Outlier Loss Ratio	0.86	4.8
MTD	0.0%	1.84%
3M	0.0%	4.07%
6M	0.0%	9.08%
YTD	0.0%	3.68%
1Y	0.0%	21.09%
3Y (ann.)	-0.6%	7.52%
5Y (ann.)	2.01%	7.67%
10Y (ann.)	2.01%	7.67%
All-time (ann.)	2.01%	7.67%
Best Day	4.02%	4.82%
Worst Day	-9.24%	-13.8%
Best Month	8.59%	8.98%
Worst Month	-12.52%	-15.45%
Best Year	9.2%	23.09%
Worst Year	-0.54%	-2.11%
Avg. Drawdown	-4.24%	-1.63%
Avg. Drawdown Days	202	35
Recovery Factor	0.69	1.81
Ulcer Index	0.03	0.05
Serenity Index	0.05	0.41
Avg. Up Month	2.78%	3.01%
Avg. Down Month	-4.8%	-5.38%
Win Days	61.54%	52.7%
Win Month	68.75%	60.0%
Win Quarter	50.0%	64.71%
Win Year	50.0%	80.0%
Beta	0.0	-
Alpha	0.02	-
Correlation	0.09%	-
Treynor Ratio	2130.54%	-