SBMM RUB[Strategy] vs MCFTR RUB[Benchmark]

13 Oct, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	96.0%	100.0%
Cumulative Return	28.62%	-2.9%
CAGR﹪	10.45%	-1.15%
Sharpe	-64.21	-5.84
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-55.66	-5.06
Sortino	-15.5	-6.08
Smart Sortino	-13.43	-5.27
Sortino/√2	-10.96	-4.3
Smart Sortino/√2	-9.5	-3.73
Omega	0.01	0.01
Max Drawdown	-2.86%	-53.53%
Longest DD Days	33	916
Volatility (ann.)	3.09%	34.82%
R^2	0.28	0.28
Information Ratio	0.01	0.01
Calmar	3.66	-0.02
Skew	0.13	-4.85
Kurtosis	142.65	97.83
Expected Daily	0.04%	-0.0%
Expected Monthly	0.82%	-0.09%
Expected Yearly	6.49%	-0.73%
Kelly Criterion	60.3%	-80.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.28%	-3.59%
Expected Shortfall (cVaR)	-0.28%	-3.59%
Max Consecutive Wins	100	9
Max Consecutive Losses	3	5
Gain/Pain Ratio	3.36	0.04
Gain/Pain (1M)	-	0.16
Payoff Ratio	0.46	0.32
Profit Factor	4.36	1.04
Common Sense Ratio	15.94	0.93
CPC Index	1.76	0.19
Tail Ratio	3.66	0.89
Outlier Win Ratio	35.41	2.18
Outlier Loss Ratio	28.86	2.46
MTD	0.99%	2.9%
3M	3.85%	8.14%
6M	7.61%	7.52%
YTD	4.77%	11.49%
1Y	12.34%	39.41%
3Y (ann.)	10.45%	-1.15%
5Y (ann.)	10.45%	-1.15%
10Y (ann.)	10.45%	-1.15%
All-time (ann.)	10.45%	-1.15%
Best Day	2.57%	20.04%
Worst Day	-2.86%	-33.28%
Best Month	2.16%	15.56%
Worst Month	0.16%	-30.02%
Best Year	10.56%	53.84%
Worst Year	1.55%	-37.26%
Avg. Drawdown	-0.12%	-26.87%
Avg. Drawdown Days	3	458
Recovery Factor	10.02	-0.05
Ulcer Index	0.0	0.32
Serenity Index	-2787.64	-0.91
Avg. Up Month	0.83%	5.16%
Avg. Down Month	-	-
Win Days	87.48%	55.9%
Win Month	100.0%	61.29%
Win Quarter	100.0%	63.64%
Win Year	100.0%	50.0%
Beta	0.05	-
Alpha	0.1	-
Correlation	53.03%	-
Treynor Ratio	-14256.11%	-