MBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

3 Feb, 2022 - 15 Dec, 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%	31.44%
CAGR﹪	2.16%	7.33%
Sharpe	-0.47	0.09
Prob. Sharpe Ratio	5.9%	24.03%
Smart Sharpe	-0.44	0.08
Sortino	-0.61	0.11
Smart Sortino	-0.58	0.11
Sortino/√2	-0.43	0.08
Smart Sortino/√2	-0.41	0.08
Omega	0.78	0.78
Max Drawdown	-12.52%	-19.89%
Longest DD Days	935	630
Volatility (ann.)	9.03%	11.28%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.17	0.37
Skew	-3.8	-6.86
Kurtosis	89.01	156.45
Expected Daily	0.01%	0.03%
Expected Monthly	0.18%	0.58%
Expected Yearly	2.09%	7.07%
Kelly Criterion	32.81%	-2.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.93%	-1.14%
Expected Shortfall (cVaR)	-0.93%	-1.14%
Max Consecutive Wins	4	15
Max Consecutive Losses	3	15
Gain/Pain Ratio	0.2	0.22
Gain/Pain (1M)	0.48	0.62
Payoff Ratio	1.34	0.85
Profit Factor	1.2	1.22
Common Sense Ratio	-	1.6
CPC Index	0.99	0.55
Tail Ratio	-	1.32
Outlier Win Ratio	33.2	6.41
Outlier Loss Ratio	0.86	4.63
MTD	0.0%	2.23%
3M	0.0%	2.55%
6M	0.0%	11.22%
YTD	0.0%	23.42%
1Y	0.0%	33.89%
3Y (ann.)	-0.26%	6.88%
5Y (ann.)	2.16%	7.33%
10Y (ann.)	2.16%	7.33%
All-time (ann.)	2.16%	7.33%
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%	23.42%
Worst Year	-0.54%	-2.11%
Avg. Drawdown	-4.24%	-1.92%
Avg. Drawdown Days	187	41
Recovery Factor	0.69	1.58
Ulcer Index	0.03	0.05
Serenity Index	0.05	0.33
Avg. Up Month	2.78%	3.01%
Avg. Down Month	-4.8%	-5.38%
Win Days	61.54%	53.11%
Win Month	68.75%	59.57%
Win Quarter	50.0%	62.5%
Win Year	50.0%	75.0%
Beta	0.0	-
Alpha	0.03	-
Correlation	0.1%	-
Treynor Ratio	2041.82%	-