MBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

3 Feb, 2022 - 30 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	9.0%	100.0%
Cumulative Return	8.61%	26.29%
CAGR﹪	2.23%	6.44%
Sharpe	-0.45	0.02
Prob. Sharpe Ratio	6.32%	19.94%
Smart Sharpe	-0.42	0.02
Sortino	-0.59	0.02
Smart Sortino	-0.56	0.02
Sortino/√2	-0.42	0.02
Smart Sortino/√2	-0.39	0.01
Omega	0.79	0.79
Max Drawdown	-12.52%	-19.89%
Longest DD Days	889	630
Volatility (ann.)	9.19%	11.44%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.18	0.32
Skew	-3.73	-6.78
Kurtosis	86.0	152.65
Expected Daily	0.01%	0.02%
Expected Monthly	0.18%	0.52%
Expected Yearly	2.09%	6.01%
Kelly Criterion	32.81%	-3.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.94%	-1.16%
Expected Shortfall (cVaR)	-0.94%	-1.16%
Max Consecutive Wins	4	15
Max Consecutive Losses	3	15
Gain/Pain Ratio	0.2	0.19
Gain/Pain (1M)	0.48	0.54
Payoff Ratio	1.34	0.85
Profit Factor	1.2	1.19
Common Sense Ratio	-	1.54
CPC Index	0.99	0.53
Tail Ratio	-	1.29
Outlier Win Ratio	32.23	6.36
Outlier Loss Ratio	0.86	4.59
MTD	0.0%	1.96%
3M	0.0%	0.2%
6M	0.0%	12.79%
YTD	0.0%	18.58%
1Y	0.0%	32.78%
3Y (ann.)	0.09%	5.69%
5Y (ann.)	2.23%	6.44%
10Y (ann.)	2.23%	6.44%
All-time (ann.)	2.23%	6.44%
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%	18.58%
Worst Year	-0.54%	-2.11%
Avg. Drawdown	-4.24%	-1.98%
Avg. Drawdown Days	181	41
Recovery Factor	0.69	1.32
Ulcer Index	0.03	0.05
Serenity Index	0.05	0.26
Avg. Up Month	2.78%	3.01%
Avg. Down Month	-4.8%	-5.38%
Win Days	61.54%	52.46%
Win Month	68.75%	57.78%
Win Quarter	50.0%	62.5%
Win Year	50.0%	75.0%
Beta	0.0	-
Alpha	0.03	-
Correlation	0.11%	-
Treynor Ratio	1876.35%	-