SBHI RUB[Strategy] vs [Benchmark] MXSHARTR RUB

30 Nov, 2021 - 16 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	8.23%	11.7%
CAGR﹪	3.38%	4.76%
Sharpe	-7.85	-5.92
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.53	-5.68
Sortino	-7.51	-6.12
Smart Sortino	-7.21	-5.87
Sortino/√2	-5.31	-4.33
Smart Sortino/√2	-5.1	-4.15
Omega	0.22	0.22
Max Drawdown	-51.39%	-50.46%
Longest DD Days	824	788
Volatility (ann.)	25.74%	33.44%
R^2	0.48	0.48
Information Ratio	-0.01	-0.01
Calmar	0.07	0.09
Skew	-1.6	-3.98
Kurtosis	9.52	70.96
Expected Daily	0.01%	0.02%
Expected Monthly	0.26%	0.37%
Expected Yearly	2.0%	2.81%
Kelly Criterion	1.87%	-0.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.64%	-3.42%
Expected Shortfall (cVaR)	-2.64%	-3.42%
Max Consecutive Wins	8	10
Max Consecutive Losses	5	8
Gain/Pain Ratio	0.05	0.08
Gain/Pain (1M)	0.2	0.31
Payoff Ratio	0.85	0.81
Profit Factor	1.05	1.08
Common Sense Ratio	0.99	0.99
CPC Index	0.49	0.48
Tail Ratio	0.94	0.92
Outlier Win Ratio	3.71	3.41
Outlier Loss Ratio	4.47	4.3
MTD	2.37%	2.22%
3M	11.07%	11.4%
6M	15.35%	15.77%
YTD	18.33%	18.61%
1Y	57.79%	58.43%
3Y (ann.)	3.38%	4.76%
5Y (ann.)	3.38%	4.76%
10Y (ann.)	3.38%	4.76%
All-time (ann.)	3.38%	4.76%
Best Day	6.59%	17.62%
Worst Day	-12.25%	-29.0%
Best Month	19.98%	20.47%
Worst Month	-20.25%	-22.97%
Best Year	51.32%	51.24%
Worst Year	-39.14%	-37.11%
Avg. Drawdown	-7.71%	-5.69%
Avg. Drawdown Days	120	84
Recovery Factor	0.16	0.23
Ulcer Index	0.29	0.28
Serenity Index	-0.76	-1.04
Avg. Up Month	5.76%	5.97%
Avg. Down Month	-7.41%	-8.5%
Win Days	54.99%	55.09%
Win Month	58.62%	65.52%
Win Quarter	54.55%	54.55%
Win Year	50.0%	50.0%
Beta	0.53	-
Alpha	0.01	-
Correlation	69.48%	-
Treynor Ratio	-1293.71%	-