SBMX RUB[Strategy] vs MCFTR RUB[Benchmark]

26 Sep, 2018 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	100.0%	100.0%
Cumulative Return	91.2%	106.71%
CAGR﹪	12.31%	13.9%
Sharpe	-8.83	-7.09
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.66	-6.95
Sortino	-8.23	-7.13
Smart Sortino	-8.07	-6.99
Sortino/√2	-5.82	-5.04
Smart Sortino/√2	-5.7	-4.94
Omega	0.17	0.17
Max Drawdown	-54.18%	-53.53%
Longest DD Days	916	916
Volatility (ann.)	22.03%	27.03%
R^2	0.68	0.68
Information Ratio	-0.01	-0.01
Calmar	0.23	0.26
Skew	-1.95	-4.74
Kurtosis	18.36	123.33
Expected Daily	0.05%	0.05%
Expected Monthly	0.96%	1.07%
Expected Yearly	9.7%	10.93%
Kelly Criterion	5.74%	5.12%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.23%	-2.73%
Expected Shortfall (cVaR)	-2.23%	-2.73%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	6
Gain/Pain Ratio	0.14	0.16
Gain/Pain (1M)	0.68	0.83
Payoff Ratio	0.86	0.85
Profit Factor	1.14	1.16
Common Sense Ratio	1.17	1.18
CPC Index	0.55	0.56
Tail Ratio	1.03	1.02
Outlier Win Ratio	3.85	3.66
Outlier Loss Ratio	4.67	4.58
MTD	3.39%	2.9%
3M	8.14%	8.14%
6M	7.18%	7.52%
YTD	11.61%	11.49%
1Y	37.76%	39.41%
3Y (ann.)	3.55%	5.23%
5Y (ann.)	11.98%	13.6%
10Y (ann.)	12.31%	13.9%
All-time (ann.)	12.31%	13.9%
Best Day	7.45%	20.04%
Worst Day	-14.14%	-33.28%
Best Month	15.26%	15.56%
Worst Month	-26.92%	-30.02%
Best Year	52.03%	53.84%
Worst Year	-38.96%	-37.26%
Avg. Drawdown	-2.96%	-3.02%
Avg. Drawdown Days	32	33
Recovery Factor	1.68	1.99
Ulcer Index	0.23	0.22
Serenity Index	-0.87	-1.13
Avg. Up Month	4.16%	4.46%
Avg. Down Month	-6.07%	-6.3%
Win Days	56.35%	56.44%
Win Month	70.59%	70.59%
Win Quarter	75.0%	75.0%
Win Year	71.43%	71.43%
Beta	0.67	-
Alpha	0.03	-
Correlation	82.3%	-
Treynor Ratio	-907.63%	-