OBLG RUB[Strategy] vs [Benchmark] RUCBTRNS RUB

2 Aug, 2022 - 1 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	98.0%
Cumulative Return	23.38%	18.61%
CAGR﹪	8.2%	6.61%
Sharpe	0.29	-0.1
Prob. Sharpe Ratio	91.78%	80.21%
Smart Sharpe	0.27	-0.09
Sortino	0.39	-0.14
Smart Sortino	0.37	-0.13
Sortino/√2	0.28	-0.1
Smart Sortino/√2	0.26	-0.09
Omega	1.06	1.06
Max Drawdown	-4.56%	-5.2%
Longest DD Days	184	227
Volatility (ann.)	3.83%	3.78%
R^2	0.62	0.62
Information Ratio	0.04	0.04
Calmar	1.8	1.27
Skew	-1.19	-0.98
Kurtosis	20.26	53.49
Expected Daily	0.03%	0.03%
Expected Monthly	0.64%	0.52%
Expected Yearly	5.39%	4.36%
Kelly Criterion	15.31%	16.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.37%	-0.37%
Expected Shortfall (cVaR)	-0.37%	-0.37%
Max Consecutive Wins	10	15
Max Consecutive Losses	7	10
Gain/Pain Ratio	0.49	0.54
Gain/Pain (1M)	2.46	1.62
Payoff Ratio	0.95	0.95
Profit Factor	1.49	1.54
Common Sense Ratio	1.78	1.87
CPC Index	0.83	0.87
Tail Ratio	1.2	1.21
Outlier Win Ratio	4.24	5.54
Outlier Loss Ratio	3.02	4.13
MTD	0.2%	0.02%
3M	6.93%	6.73%
6M	10.56%	9.92%
YTD	6.93%	6.73%
1Y	12.78%	9.63%
3Y (ann.)	8.2%	6.61%
5Y (ann.)	8.2%	6.61%
10Y (ann.)	8.2%	6.61%
All-time (ann.)	8.2%	6.61%
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	7.65%	6.73%
Worst Year	3.39%	3.18%
Avg. Drawdown	-0.37%	-0.37%
Avg. Drawdown Days	11	14
Recovery Factor	5.12	3.58
Ulcer Index	0.01	0.02
Serenity Index	1.56	0.63
Avg. Up Month	1.24%	1.16%
Avg. Down Month	-1.2%	-1.45%
Win Days	58.74%	59.25%
Win Month	75.76%	75.76%
Win Quarter	83.33%	75.0%
Win Year	100.0%	100.0%
Beta	0.79	-
Alpha	0.03	-
Correlation	78.44%	-
Treynor Ratio	20.64%	-