MBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

3 Feb, 2022 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	15.0%	100.0%
Cumulative Return	8.61%	5.71%
CAGR﹪	3.82%	2.55%
Sharpe	-16.95	-15.59
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-15.95	-14.67
Sortino	-12.17	-11.54
Smart Sortino	-11.45	-10.86
Sortino/√2	-8.61	-8.16
Smart Sortino/√2	-8.1	-7.68
Omega	0.07	0.07
Max Drawdown	-12.52%	-19.89%
Longest DD Days	329	309
Volatility (ann.)	12.05%	13.17%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.3	0.13
Skew	-2.88	-8.01
Kurtosis	49.05	148.16
Expected Daily	0.02%	0.01%
Expected Monthly	0.31%	0.21%
Expected Yearly	2.79%	1.87%
Kelly Criterion	32.81%	-0.38%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-1.35%
Expected Shortfall (cVaR)	-1.23%	-1.35%
Max Consecutive Wins	4	13
Max Consecutive Losses	3	15
Gain/Pain Ratio	0.2	0.1
Gain/Pain (1M)	0.48	0.23
Payoff Ratio	1.34	0.85
Profit Factor	1.2	1.1
Common Sense Ratio	7.91	1.77
CPC Index	0.99	0.5
Tail Ratio	6.59	1.61
Outlier Win Ratio	20.75	8.59
Outlier Loss Ratio	1.28	7.08
MTD	0.0%	-0.38%
3M	0.0%	-2.95%
6M	0.0%	0.52%
YTD	0.0%	-2.84%
1Y	-1.27%	-3.18%
3Y (ann.)	3.82%	2.55%
5Y (ann.)	3.82%	2.55%
10Y (ann.)	3.82%	2.55%
All-time (ann.)	3.82%	2.55%
Best Day	4.02%	4.82%
Worst Day	-9.24%	-13.8%
Best Month	8.59%	8.42%
Worst Month	-12.52%	-15.45%
Best Year	9.2%	7.97%
Worst Year	-0.54%	-2.84%
Avg. Drawdown	-4.24%	-2.27%
Avg. Drawdown Days	101	45
Recovery Factor	0.69	0.29
Ulcer Index	0.03	0.04
Serenity Index	-26.77	-24.34
Avg. Up Month	2.78%	3.01%
Avg. Down Month	-4.8%	-5.38%
Win Days	61.54%	53.87%
Win Month	68.75%	51.85%
Win Quarter	50.0%	50.0%
Win Year	50.0%	66.67%
Beta	0.0	-
Alpha	0.05	-
Correlation	0.16%	-
Treynor Ratio	-467434.4%	-