SBCB RUB[Strategy] vs IMOEX RUB[Benchmark]

13 Feb, 2019 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	37.48%	39.02%
CAGR﹪	6.34%	6.57%
Sharpe	-9.33	-6.12
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.13	-5.98
Sortino	-9.77	-6.65
Smart Sortino	-9.56	-6.51
Sortino/√2	-6.91	-4.71
Smart Sortino/√2	-6.76	-4.6
Omega	0.12	0.12
Max Drawdown	-26.1%	-52.0%
Longest DD Days	1254	910
Volatility (ann.)	21.14%	31.67%
R^2	0.13	0.13
Information Ratio	-0.01	-0.01
Calmar	0.24	0.13
Skew	3.46	-3.16
Kurtosis	181.01	120.35
Expected Daily	0.04%	0.04%
Expected Monthly	0.76%	0.79%
Expected Yearly	5.45%	5.64%
Kelly Criterion	-3.3%	14.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.14%	-3.22%
Expected Shortfall (cVaR)	-2.14%	-3.22%
Max Consecutive Wins	8	11
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.16	0.14
Gain/Pain (1M)	0.95	0.71
Payoff Ratio	0.93	1.0
Profit Factor	1.16	1.14
Common Sense Ratio	1.36	1.07
CPC Index	0.54	0.65
Tail Ratio	1.17	0.94
Outlier Win Ratio	4.56	3.44
Outlier Loss Ratio	5.49	3.11
MTD	1.85%	3.7%
3M	6.62%	8.5%
6M	30.57%	39.88%
YTD	5.43%	11.51%
1Y	30.57%	39.88%
3Y (ann.)	2.67%	-1.76%
5Y (ann.)	6.32%	6.14%
10Y (ann.)	6.34%	6.57%
All-time (ann.)	6.34%	6.57%
Best Day	24.17%	21.79%
Worst Day	-19.56%	-33.28%
Best Month	23.84%	25.45%
Worst Month	-17.25%	-30.02%
Best Year	25.78%	25.45%
Worst Year	-17.42%	-34.77%
Avg. Drawdown	-3.1%	-3.47%
Avg. Drawdown Days	83	39
Recovery Factor	1.44	0.75
Ulcer Index	0.05	0.12
Serenity Index	-16.92	-5.06
Avg. Up Month	3.29%	3.73%
Avg. Down Month	-8.73%	-18.4%
Win Days	50.12%	57.21%
Win Month	59.52%	71.43%
Win Quarter	50.0%	75.0%
Win Year	66.67%	83.33%
Beta	0.24	-
Alpha	0.08	-
Correlation	36.67%	-
Treynor Ratio	-2706.81%	-