OBLG RUB[Strategy] vs [Benchmark] RUCBTRNS RUB

2 Aug, 2022 - 17 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	98.0%
Cumulative Return	61.17%	53.76%
CAGR﹪	12.53%	11.23%
Sharpe	1.37	1.11
Prob. Sharpe Ratio	99.99%	99.89%
Smart Sharpe	1.3	1.04
Sortino	1.95	1.6
Smart Sortino	1.84	1.51
Sortino/√2	1.38	1.13
Smart Sortino/√2	1.3	1.07
Omega	1.29	1.29
Max Drawdown	-4.56%	-5.2%
Longest DD Days	184	227
Volatility (ann.)	3.58%	3.41%
R^2	0.59	0.59
Information Ratio	0.03	0.03
Calmar	2.74	2.16
Skew	-1.21	-1.05
Kurtosis	18.51	54.31
Expected Daily	0.05%	0.04%
Expected Monthly	0.98%	0.88%
Expected Yearly	10.02%	8.99%
Kelly Criterion	22.98%	29.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.32%	-0.31%
Expected Shortfall (cVaR)	-0.32%	-0.31%
Max Consecutive Wins	25	23
Max Consecutive Losses	7	10
Gain/Pain Ratio	0.84	1.06
Gain/Pain (1M)	4.91	3.76
Payoff Ratio	0.91	0.96
Profit Factor	1.84	2.06
Common Sense Ratio	2.29	2.99
CPC Index	1.06	1.3
Tail Ratio	1.24	1.45
Outlier Win Ratio	3.88	4.98
Outlier Loss Ratio	2.82	3.82
MTD	0.38%	0.55%
3M	2.17%	1.94%
6M	7.23%	7.21%
YTD	8.96%	9.37%
1Y	14.64%	13.96%
3Y (ann.)	15.62%	13.8%
5Y (ann.)	12.53%	11.23%
10Y (ann.)	12.53%	11.23%
All-time (ann.)	12.53%	11.23%
Best Day	1.43%	2.45%
Worst Day	-2.21%	-2.84%
Best Month	5.56%	5.85%
Worst Month	-2.04%	-2.68%
Best Year	28.2%	26.5%
Worst Year	3.39%	3.18%
Avg. Drawdown	-0.32%	-0.32%
Avg. Drawdown Days	9	11
Recovery Factor	13.4	10.34
Ulcer Index	0.01	0.01
Serenity Index	6.63	3.32
Avg. Up Month	1.52%	1.45%
Avg. Down Month	-1.06%	-1.22%
Win Days	63.31%	65.38%
Win Month	79.59%	79.59%
Win Quarter	88.24%	82.35%
Win Year	100.0%	100.0%
Beta	0.8	-
Alpha	0.03	-
Correlation	76.63%	-
Treynor Ratio	67.36%	-