SBPS RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

16 Jun, 2021 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-72.76%	29.24%
CAGR﹪	-36.73%	9.45%
Sharpe	-1.23	1.66
Prob. Sharpe Ratio	2.0%	97.88%
Smart Sharpe	-0.85	1.14
Sortino	-1.25	3.67
Smart Sortino	-0.86	2.53
Sortino/√2	-0.88	2.59
Smart Sortino/√2	-0.61	1.79
Omega	0.47	0.47
Max Drawdown	-76.99%	-7.0%
Longest DD Days	918	671
Volatility (ann.)	71.78%	16.0%
R^2	0.16	0.16
Information Ratio	-0.09	-0.09
Calmar	-0.48	1.35
Skew	-10.49	3.82
Kurtosis	118.55	27.75
Expected Daily	-0.51%	0.1%
Expected Monthly	-8.87%	1.85%
Expected Yearly	-27.76%	6.62%
Kelly Criterion	4.43%	6.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.79%	-1.55%
Expected Shortfall (cVaR)	-7.79%	-1.55%
Max Consecutive Wins	8	5
Max Consecutive Losses	5	6
Gain/Pain Ratio	-0.53	0.43
Gain/Pain (1M)	-0.87	7.95
Payoff Ratio	0.87	1.16
Profit Factor	0.47	1.43
Common Sense Ratio	0.41	1.97
CPC Index	0.23	0.82
Tail Ratio	0.87	1.38
Outlier Win Ratio	4.98	3.82
Outlier Loss Ratio	2.46	8.04
MTD	3.4%	1.41%
3M	4.98%	5.43%
6M	-74.15%	12.99%
YTD	1.67%	3.78%
1Y	-74.15%	12.99%
3Y (ann.)	-36.73%	9.45%
5Y (ann.)	-36.73%	9.45%
10Y (ann.)	-36.73%	9.45%
All-time (ann.)	-36.73%	9.45%
Best Day	9.28%	8.19%
Worst Day	-55.92%	-2.64%
Best Month	3.4%	8.87%
Worst Month	-74.58%	-2.45%
Best Year	6.03%	11.14%
Worst Year	-74.58%	2.92%
Avg. Drawdown	-6.76%	-1.91%
Avg. Drawdown Days	77	52
Recovery Factor	-0.95	4.17
Ulcer Index	0.42	0.03
Serenity Index	-0.1	2.53
Avg. Up Month	1.35%	1.16%
Avg. Down Month	-2.41%	-0.38%
Win Days	55.65%	49.61%
Win Month	64.29%	78.57%
Win Quarter	42.86%	85.71%
Win Year	50.0%	100.0%
Beta	-1.79	-
Alpha	-0.41	-
Correlation	-39.81%	-
Treynor Ratio	40.73%	-