MKBD RUB[Strategy] vs [Benchmark] MDIVTR RUB

5 Aug, 2021 - 19 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	-3.81%	3.16%
CAGR﹪	-0.88%	0.71%
Sharpe	-0.15	-0.1
Prob. Sharpe Ratio	1.83%	2.55%
Smart Sharpe	-0.13	-0.09
Sortino	-0.2	-0.13
Smart Sortino	-0.18	-0.11
Sortino/√2	-0.14	-0.09
Smart Sortino/√2	-0.12	-0.08
Omega	0.97	0.97
Max Drawdown	-45.18%	-44.32%
Longest DD Days	683	652
Volatility (ann.)	26.68%	25.92%
R^2	0.68	0.68
Information Ratio	-0.01	-0.01
Calmar	-0.02	0.02
Skew	-2.07	-2.76
Kurtosis	34.42	72.72
Expected Daily	-0.0%	0.0%
Expected Monthly	-0.07%	0.06%
Expected Yearly	-0.77%	0.62%
Kelly Criterion	-2.12%	-0.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.75%	-2.67%
Expected Shortfall (cVaR)	-2.75%	-2.67%
Max Consecutive Wins	7	9
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.02	0.04
Gain/Pain (1M)	0.1	0.15
Payoff Ratio	0.89	0.85
Profit Factor	1.02	1.04
Common Sense Ratio	1.03	0.99
CPC Index	0.47	0.48
Tail Ratio	1.01	0.96
Outlier Win Ratio	3.95	4.27
Outlier Loss Ratio	3.36	3.83
MTD	2.19%	1.43%
3M	-3.07%	-3.13%
6M	0.51%	0.46%
YTD	-7.12%	-6.56%
1Y	12.01%	13.62%
3Y (ann.)	11.32%	12.77%
5Y (ann.)	-0.88%	0.71%
10Y (ann.)	-0.88%	0.71%
All-time (ann.)	-0.88%	0.71%
Best Day	12.19%	17.72%
Worst Day	-22.27%	-26.02%
Best Month	18.05%	17.06%
Worst Month	-21.38%	-19.65%
Best Year	50.35%	51.42%
Worst Year	-29.89%	-28.27%
Avg. Drawdown	-4.48%	-4.62%
Avg. Drawdown Days	61	62
Recovery Factor	-0.08	0.07
Ulcer Index	0.21	0.2
Serenity Index	-0.02	-0.01
Avg. Up Month	4.61%	4.62%
Avg. Down Month	-5.61%	-5.35%
Win Days	52.0%	53.99%
Win Month	56.6%	56.6%
Win Quarter	50.0%	50.0%
Win Year	20.0%	60.0%
Beta	0.85	-
Alpha	-0.01	-
Correlation	82.23%	-
Treynor Ratio	-12.77%	-