SBGB RUB[Strategy] vs FXRB RUB[Benchmark]

31 Jan, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	84.0%
Cumulative Return	7.51%	-4.16%
CAGR﹪	2.39%	-1.37%
Sharpe	-0.22	-0.77
Prob. Sharpe Ratio	5.85%	1.59%
Smart Sharpe	-0.13	-0.46
Sortino	-0.33	-0.84
Smart Sortino	-0.2	-0.5
Sortino/√2	-0.23	-0.59
Smart Sortino/√2	-0.14	-0.35
Omega	0.92	0.92
Max Drawdown	-27.13%	-25.79%
Longest DD Days	443	100
Volatility (ann.)	14.81%	9.97%
R^2	0.04	0.04
Information Ratio	0.02	0.02
Calmar	0.09	-0.05
Skew	3.74	-8.87
Kurtosis	237.94	131.44
Expected Daily	0.01%	-0.01%
Expected Monthly	0.19%	-0.11%
Expected Yearly	1.83%	-1.06%
Kelly Criterion	-25.29%	-11.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.52%	-1.04%
Expected Shortfall (cVaR)	-1.52%	-1.04%
Max Consecutive Wins	9	9
Max Consecutive Losses	10	6
Gain/Pain Ratio	0.09	-0.03
Gain/Pain (1M)	0.54	-0.08
Payoff Ratio	0.59	0.55
Profit Factor	1.09	0.97
Common Sense Ratio	1.33	1.0
CPC Index	0.35	0.32
Tail Ratio	1.22	1.03
Outlier Win Ratio	3.86	6.65
Outlier Loss Ratio	5.21	4.69
MTD	-4.99%	-21.51%
3M	-7.2%	-24.97%
6M	-12.66%	-24.86%
YTD	-8.78%	-25.05%
1Y	-12.05%	-21.47%
3Y (ann.)	1.93%	-1.91%
5Y (ann.)	2.39%	-1.37%
10Y (ann.)	2.39%	-1.37%
All-time (ann.)	2.39%	-1.37%
Best Day	17.61%	2.82%
Worst Day	-14.34%	-10.57%
Best Month	4.63%	6.19%
Worst Month	-4.99%	-21.51%
Best Year	16.2%	14.28%
Worst Year	-8.78%	-25.05%
Avg. Drawdown	-1.44%	-0.71%
Avg. Drawdown Days	24	9
Recovery Factor	0.28	-0.16
Ulcer Index	0.04	0.02
Serenity Index	0.02	-0.81
Avg. Up Month	1.46%	1.39%
Avg. Down Month	-1.98%	-4.14%
Win Days	53.27%	60.62%
Win Month	56.76%	75.68%
Win Quarter	61.54%	84.62%
Win Year	50.0%	75.0%
Beta	0.31	-
Alpha	0.04	-
Correlation	20.65%	-
Treynor Ratio	1.67%	-