SBLB RUB[Strategy] vs [Benchmark] RUGBITR7Y+ RUB

10 Apr, 2024 - 17 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	89.0%	97.0%
Cumulative Return	-1.21%	-1.47%
CAGR﹪	-11.27%	-13.62%
Sharpe	-18.97	-32.78
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-15.15	-26.18
Sortino	-12.84	-14.35
Smart Sortino	-10.26	-11.46
Sortino/√2	-9.08	-10.14
Smart Sortino/√2	-7.25	-8.1
Omega	0.07	0.07
Max Drawdown	-4.08%	-3.22%
Longest DD Days	28	24
Volatility (ann.)	11.57%	6.79%
R^2	0.15	0.15
Information Ratio	0.02	0.02
Calmar	-2.77	-4.23
Skew	1.51	-0.23
Kurtosis	5.67	1.06
Expected Daily	-0.04%	-0.05%
Expected Monthly	-0.6%	-0.74%
Expected Yearly	-1.21%	-1.47%
Kelly Criterion	1.12%	-51.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.24%	-0.76%
Expected Shortfall (cVaR)	-1.24%	-0.76%
Max Consecutive Wins	3	4
Max Consecutive Losses	3	3
Gain/Pain Ratio	-0.17	-0.3
Gain/Pain (1M)	-0.61	-0.74
Payoff Ratio	1.02	0.44
Profit Factor	0.83	0.7
Common Sense Ratio	0.62	0.36
CPC Index	0.42	0.16
Tail Ratio	0.75	0.52
Outlier Win Ratio	4.05	6.69
Outlier Loss Ratio	2.04	2.83
MTD	-1.86%	-1.97%
3M	-1.21%	-1.47%
6M	-1.21%	-1.47%
YTD	-1.21%	-1.47%
1Y	-1.21%	-1.47%
3Y (ann.)	-11.27%	-13.62%
5Y (ann.)	-11.27%	-13.62%
10Y (ann.)	-11.27%	-13.62%
All-time (ann.)	-11.27%	-13.62%
Best Day	2.56%	1.01%
Worst Day	-1.29%	-1.05%
Best Month	0.66%	0.5%
Worst Month	-1.86%	-1.97%
Best Year	-1.21%	-1.47%
Worst Year	-1.21%	-1.47%
Avg. Drawdown	-1.62%	-1.96%
Avg. Drawdown Days	11	15
Recovery Factor	-0.3	-0.46
Ulcer Index	0.02	0.02
Serenity Index	-49.61	-64.78
Avg. Up Month	0.66%	0.5%
Avg. Down Month	-1.86%	-1.97%
Win Days	50.0%	53.85%
Win Month	50.0%	50.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	0.67	-
Alpha	-0.02	-
Correlation	39.12%	-
Treynor Ratio	-1051.49%	-