OBLG RUB[Strategy] vs [Benchmark] RUCBTRNS RUB

2 Aug, 2022 - 17 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	98.0%
Cumulative Return	27.37%	21.89%
CAGR﹪	9.05%	7.35%
Sharpe	0.48	0.07
Prob. Sharpe Ratio	95.46%	86.85%
Smart Sharpe	0.46	0.07
Sortino	0.66	0.1
Smart Sortino	0.63	0.1
Sortino/√2	0.47	0.07
Smart Sortino/√2	0.45	0.07
Omega	1.1	1.1
Max Drawdown	-4.56%	-5.2%
Longest DD Days	184	227
Volatility (ann.)	3.84%	3.77%
R^2	0.62	0.62
Information Ratio	0.04	0.04
Calmar	1.98	1.41
Skew	-1.21	-1.05
Kurtosis	19.28	52.01
Expected Daily	0.03%	0.03%
Expected Monthly	0.71%	0.58%
Expected Yearly	6.23%	5.07%
Kelly Criterion	16.23%	18.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.36%	-0.36%
Expected Shortfall (cVaR)	-0.36%	-0.36%
Max Consecutive Wins	10	16
Max Consecutive Losses	7	10
Gain/Pain Ratio	0.54	0.6
Gain/Pain (1M)	2.83	1.88
Payoff Ratio	0.94	0.94
Profit Factor	1.54	1.6
Common Sense Ratio	1.89	1.94
CPC Index	0.86	0.91
Tail Ratio	1.23	1.22
Outlier Win Ratio	4.14	5.45
Outlier Loss Ratio	3.07	4.16
MTD	1.2%	1.24%
3M	6.61%	6.28%
6M	15.61%	15.16%
YTD	10.39%	9.68%
1Y	15.61%	12.3%
3Y (ann.)	9.05%	7.35%
5Y (ann.)	9.05%	7.35%
10Y (ann.)	9.05%	7.35%
All-time (ann.)	9.05%	7.35%
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	10.39%	9.68%
Worst Year	3.39%	3.18%
Avg. Drawdown	-0.37%	-0.38%
Avg. Drawdown Days	10	14
Recovery Factor	6.0	4.21
Ulcer Index	0.01	0.01
Serenity Index	2.04	0.85
Avg. Up Month	1.32%	1.23%
Avg. Down Month	-1.2%	-1.45%
Win Days	59.48%	60.34%
Win Month	76.47%	76.47%
Win Quarter	83.33%	75.0%
Win Year	100.0%	100.0%
Beta	0.8	-
Alpha	0.03	-
Correlation	78.67%	-
Treynor Ratio	25.42%	-