SBGB RUB[Strategy] vs MCFTR RUB[Benchmark]

31 Jan, 2019 - 23 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	18.36%	95.89%
CAGR﹪	3.28%	13.72%
Sharpe	-15.54	-6.94
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.35	-4.18
Sortino	-12.26	-7.0
Smart Sortino	-7.38	-4.21
Sortino/√2	-8.67	-4.95
Smart Sortino/√2	-5.22	-2.98
Omega	0.04	0.04
Max Drawdown	-27.13%	-53.53%
Longest DD Days	1231	915
Volatility (ann.)	13.17%	27.6%
R^2	0.4	0.4
Information Ratio	-0.04	-0.04
Calmar	0.12	0.26
Skew	2.16	-4.8
Kurtosis	238.66	120.51
Expected Daily	0.01%	0.05%
Expected Monthly	0.26%	1.06%
Expected Yearly	2.85%	11.86%
Kelly Criterion	-4.9%	0.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.35%	-2.79%
Expected Shortfall (cVaR)	-1.35%	-2.79%
Max Consecutive Wins	9	11
Max Consecutive Losses	10	6
Gain/Pain Ratio	0.11	0.16
Gain/Pain (1M)	0.52	0.81
Payoff Ratio	0.81	0.76
Profit Factor	1.11	1.16
Common Sense Ratio	1.27	1.18
CPC Index	0.48	0.5
Tail Ratio	1.14	1.02
Outlier Win Ratio	7.64	2.63
Outlier Loss Ratio	9.4	3.03
MTD	0.18%	3.21%
3M	-3.14%	8.59%
6M	0.64%	7.66%
YTD	-2.66%	11.84%
1Y	-3.73%	39.84%
3Y (ann.)	-0.9%	5.34%
5Y (ann.)	2.66%	13.49%
10Y (ann.)	3.28%	13.72%
All-time (ann.)	3.28%	13.72%
Best Day	17.61%	20.04%
Worst Day	-14.34%	-33.28%
Best Month	9.16%	15.56%
Worst Month	-5.81%	-30.02%
Best Year	16.2%	53.84%
Worst Year	-5.45%	-37.26%
Avg. Drawdown	-1.44%	-3.13%
Avg. Drawdown Days	44	34
Recovery Factor	0.68	1.79
Ulcer Index	0.04	0.22
Serenity Index	-16.68	-1.1
Avg. Up Month	1.41%	4.42%
Avg. Down Month	-2.23%	-8.57%
Win Days	53.19%	56.79%
Win Month	55.56%	71.43%
Win Quarter	63.64%	72.73%
Win Year	50.0%	83.33%
Beta	0.3	-
Alpha	-0.01	-
Correlation	63.11%	-
Treynor Ratio	-2264.0%	-