MBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

3 Feb, 2022 - 17 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	7.0%	100.0%
Cumulative Return	8.61%	35.17%
CAGR﹪	1.84%	6.87%
Sharpe	-0.55	0.05
Prob. Sharpe Ratio	4.11%	21.88%
Smart Sharpe	-0.52	0.04
Sortino	-0.72	0.06
Smart Sortino	-0.68	0.06
Sortino/√2	-0.51	0.04
Smart Sortino/√2	-0.48	0.04
Omega	0.74	0.74
Max Drawdown	-12.52%	-19.89%
Longest DD Days	1180	630
Volatility (ann.)	8.34%	10.66%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.15	0.35
Skew	-4.1	-6.91
Kurtosis	104.85	167.18
Expected Daily	0.01%	0.03%
Expected Monthly	0.15%	0.55%
Expected Yearly	1.67%	6.21%
Kelly Criterion	32.81%	-2.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-1.08%
Expected Shortfall (cVaR)	-0.86%	-1.08%
Max Consecutive Wins	4	15
Max Consecutive Losses	3	15
Gain/Pain Ratio	0.2	0.21
Gain/Pain (1M)	0.48	0.62
Payoff Ratio	1.34	0.85
Profit Factor	1.2	1.21
Common Sense Ratio	-	1.57
CPC Index	0.99	0.54
Tail Ratio	-	1.31
Outlier Win Ratio	33.44	5.62
Outlier Loss Ratio	0.85	4.75
MTD	0.0%	-1.07%
3M	0.0%	-2.15%
6M	0.0%	1.49%
YTD	0.0%	3.11%
1Y	0.0%	4.34%
3Y (ann.)	0.0%	8.73%
5Y (ann.)	1.84%	6.87%
10Y (ann.)	1.84%	6.87%
All-time (ann.)	1.84%	6.87%
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%	-1.66%
Avg. Drawdown Days	222	35
Recovery Factor	0.69	1.77
Ulcer Index	0.03	0.05
Serenity Index	0.04	0.41
Avg. Up Month	2.78%	3.01%
Avg. Down Month	-4.8%	-5.38%
Win Days	61.54%	52.69%
Win Month	68.75%	60.0%
Win Quarter	50.0%	63.16%
Win Year	50.0%	80.0%
Beta	0.0	-
Alpha	0.02	-
Correlation	0.1%	-
Treynor Ratio	2035.89%	-