MBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2022 - 25 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	99.0%
Cumulative Return	7.94%	14.31%
CAGR﹪	5.92%	10.59%
Sharpe	0.91	4.51
Prob. Sharpe Ratio	69.02%	100.0%
Smart Sharpe	0.77	3.82
Sortino	1.21	58.06
Smart Sortino	1.03	49.18
Sortino/√2	0.86	41.06
Smart Sortino/√2	0.73	34.77
Omega	1.18	1.18
Max Drawdown	-13.64%	-1.25%
Longest DD Days	246	204
Volatility (ann.)	31.26%	9.21%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.43	8.44
Skew	-1.28	5.89
Kurtosis	5.34	35.11
Expected Daily	0.09%	0.16%
Expected Monthly	0.45%	0.79%
Expected Yearly	3.9%	6.91%
Kelly Criterion	23.06%	82.36%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.13%	-0.79%
Expected Shortfall (cVaR)	-3.13%	-0.79%
Max Consecutive Wins	5	49
Max Consecutive Losses	4	10
Gain/Pain Ratio	0.18	10.71
Gain/Pain (1M)	0.44	10.71
Payoff Ratio	1.01	2.33
Profit Factor	1.18	11.71
Common Sense Ratio	1.02	35.3
CPC Index	0.73	23.94
Tail Ratio	0.86	3.01
Outlier Win Ratio	3.21	18.44
Outlier Loss Ratio	1.51	19.54
MTD	-1.74%	0.31%
3M	1.75%	1.16%
6M	0.25%	3.26%
YTD	-0.54%	2.38%
1Y	9.42%	2.62%
3Y (ann.)	5.92%	10.59%
5Y (ann.)	5.92%	10.59%
10Y (ann.)	5.92%	10.59%
All-time (ann.)	5.92%	10.59%
Best Day	4.02%	3.74%
Worst Day	-9.24%	-0.18%
Best Month	8.59%	7.61%
Worst Month	-12.52%	-0.52%
Best Year	8.53%	11.65%
Worst Year	-0.54%	2.38%
Avg. Drawdown	-4.89%	-1.25%
Avg. Drawdown Days	66	204
Recovery Factor	0.58	11.4
Ulcer Index	0.04	0.01
Serenity Index	0.56	16.44
Avg. Up Month	2.51%	1.34%
Avg. Down Month	-1.75%	-0.52%
Win Days	61.25%	87.65%
Win Month	64.71%	82.35%
Win Quarter	50.0%	83.33%
Win Year	50.0%	100.0%
Beta	0.39	-
Alpha	0.12	-
Correlation	11.44%	-
Treynor Ratio	20.44%	-