OBLG RUB[Strategy] vs [Benchmark] RUCBTRNS RUB

2 Aug, 2022 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	95.0%	98.0%
Cumulative Return	9.74%	8.41%
CAGR﹪	5.57%	4.82%
Sharpe	-54.46	-57.47
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-49.57	-52.3
Sortino	-15.25	-15.31
Smart Sortino	-13.88	-13.93
Sortino/√2	-10.78	-10.82
Smart Sortino/√2	-9.81	-9.85
Omega	0.0	0.0
Max Drawdown	-4.56%	-5.2%
Longest DD Days	184	211
Volatility (ann.)	3.73%	3.55%
R^2	0.65	0.65
Information Ratio	0.02	0.02
Calmar	1.22	0.93
Skew	-2.75	-5.43
Kurtosis	31.04	72.88
Expected Daily	0.02%	0.02%
Expected Monthly	0.44%	0.39%
Expected Yearly	3.15%	2.73%
Kelly Criterion	4.81%	11.86%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.37%	-0.35%
Expected Shortfall (cVaR)	-0.37%	-0.35%
Max Consecutive Wins	6	13
Max Consecutive Losses	5	10
Gain/Pain Ratio	0.35	0.45
Gain/Pain (1M)	1.71	1.33
Payoff Ratio	0.75	0.74
Profit Factor	1.35	1.45
Common Sense Ratio	1.44	2.09
CPC Index	0.6	0.67
Tail Ratio	1.06	1.43
Outlier Win Ratio	4.07	5.79
Outlier Loss Ratio	3.33	4.71
MTD	0.31%	0.2%
3M	2.14%	1.35%
6M	4.31%	3.55%
YTD	2.38%	1.58%
1Y	3.91%	2.61%
3Y (ann.)	5.57%	4.82%
5Y (ann.)	5.57%	4.82%
10Y (ann.)	5.57%	4.82%
All-time (ann.)	5.57%	4.82%
Best Day	1.43%	1.24%
Worst Day	-2.21%	-2.84%
Best Month	3.13%	4.13%
Worst Month	-2.04%	-2.64%
Best Year	3.68%	3.44%
Worst Year	2.38%	1.58%
Avg. Drawdown	-0.34%	-0.31%
Avg. Drawdown Days	10	11
Recovery Factor	2.13	1.62
Ulcer Index	0.01	0.01
Serenity Index	-51.95	-44.67
Avg. Up Month	0.94%	0.89%
Avg. Down Month	-1.33%	-1.55%
Win Days	59.32%	62.44%
Win Month	76.19%	80.95%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.85	-
Alpha	0.01	-
Correlation	80.92%	-
Treynor Ratio	-811.26%	-