RCHY RUB[Strategy] vs SBHI RUB[Benchmark]

25 Nov, 2021 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	99.0%
Cumulative Return	23.39%	-14.96%
CAGR﹪	7.65%	-5.52%
Sharpe	0.14	-0.36
Prob. Sharpe Ratio	17.36%	2.19%
Smart Sharpe	0.09	-0.24
Sortino	0.19	-0.45
Smart Sortino	0.13	-0.3
Sortino/√2	0.14	-0.32
Smart Sortino/√2	0.09	-0.22
Omega	1.04	1.04
Max Drawdown	-20.51%	-51.76%
Longest DD Days	149	845
Volatility (ann.)	17.01%	25.71%
R^2	0.01	0.01
Information Ratio	0.03	0.03
Calmar	0.37	-0.11
Skew	-0.13	-1.74
Kurtosis	111.78	10.73
Expected Daily	0.03%	-0.02%
Expected Monthly	0.6%	-0.46%
Expected Yearly	5.4%	-3.97%
Kelly Criterion	-4.05%	-16.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-2.67%
Expected Shortfall (cVaR)	-1.73%	-2.67%
Max Consecutive Wins	13	8
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.17	-0.02
Gain/Pain (1M)	1.98	-0.06
Payoff Ratio	0.77	0.67
Profit Factor	1.17	0.98
Common Sense Ratio	1.3	0.87
CPC Index	0.5	0.35
Tail Ratio	1.11	0.89
Outlier Win Ratio	6.51	2.78
Outlier Loss Ratio	7.4	3.08
MTD	-0.77%	-1.16%
3M	-0.49%	-13.11%
6M	-0.12%	-17.59%
YTD	3.02%	-4.75%
1Y	5.31%	-5.41%
3Y (ann.)	7.65%	-5.52%
5Y (ann.)	7.65%	-5.52%
10Y (ann.)	7.65%	-5.52%
All-time (ann.)	7.65%	-5.52%
Best Day	14.94%	6.59%
Worst Day	-15.05%	-12.25%
Best Month	5.32%	19.98%
Worst Month	-6.34%	-20.25%
Best Year	9.3%	51.32%
Worst Year	2.01%	-39.14%
Avg. Drawdown	-1.07%	-9.51%
Avg. Drawdown Days	11	112
Recovery Factor	1.14	-0.29
Ulcer Index	0.02	0.28
Serenity Index	2.27	-0.03
Avg. Up Month	1.36%	6.49%
Avg. Down Month	-2.5%	-9.74%
Win Days	54.71%	53.43%
Win Month	74.29%	51.43%
Win Quarter	84.62%	38.46%
Win Year	100.0%	25.0%
Beta	0.08	-
Alpha	0.09	-
Correlation	11.78%	-
Treynor Ratio	210.25%	-