SBMX RUB[Strategy] vs IMOEX RUB[Benchmark]

26 Sep, 2018 - 3 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	100.0%	100.0%
Cumulative Return	48.33%	4.63%
CAGR﹪	6.57%	0.73%
Sharpe	-9.09	-7.69
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.82	-7.47
Sortino	-8.39	-7.57
Smart Sortino	-8.15	-7.35
Sortino/√2	-5.93	-5.35
Smart Sortino/√2	-5.76	-5.19
Omega	0.17	0.17
Max Drawdown	-54.18%	-55.29%
Longest DD Days	1139	1139
Volatility (ann.)	22.0%	26.56%
R^2	0.69	0.69
Information Ratio	0.02	0.02
Calmar	0.12	0.01
Skew	-1.77	-4.46
Kurtosis	16.47	118.26
Expected Daily	0.03%	0.0%
Expected Monthly	0.52%	0.06%
Expected Yearly	5.79%	0.65%
Kelly Criterion	3.73%	-1.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.24%	-2.73%
Expected Shortfall (cVaR)	-2.24%	-2.73%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.08	0.04
Gain/Pain (1M)	0.36	0.17
Payoff Ratio	0.85	0.81
Profit Factor	1.08	1.04
Common Sense Ratio	1.0	0.93
CPC Index	0.51	0.46
Tail Ratio	0.93	0.9
Outlier Win Ratio	3.82	3.69
Outlier Loss Ratio	4.1	4.01
MTD	-2.61%	-1.49%
3M	-0.76%	-0.21%
6M	-18.09%	-21.06%
YTD	-13.41%	-18.05%
1Y	-13.56%	-19.18%
3Y (ann.)	-7.22%	-12.8%
5Y (ann.)	1.8%	-3.63%
10Y (ann.)	6.57%	0.73%
All-time (ann.)	6.57%	0.73%
Best Day	7.45%	20.04%
Worst Day	-14.14%	-33.28%
Best Month	15.26%	15.5%
Worst Month	-26.92%	-30.02%
Best Year	52.03%	43.87%
Worst Year	-38.96%	-43.12%
Avg. Drawdown	-2.96%	-3.89%
Avg. Drawdown Days	36	49
Recovery Factor	0.89	0.08
Ulcer Index	0.22	0.26
Serenity Index	-0.96	-0.93
Avg. Up Month	4.31%	4.05%
Avg. Down Month	-5.97%	-6.57%
Win Days	55.64%	54.71%
Win Month	65.79%	63.16%
Win Quarter	65.38%	57.69%
Win Year	57.14%	57.14%
Beta	0.69	-
Alpha	0.06	-
Correlation	83.0%	-
Treynor Ratio	-947.79%	-