SBRB RUB[Strategy] vs MCFTR RUB[Benchmark]

12 Sep, 2019 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	97.0%	100.0%
Cumulative Return	33.24%	67.08%
CAGR﹪	6.41%	11.75%
Sharpe	-24.04	-6.57
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-15.46	-4.22
Sortino	-13.69	-6.75
Smart Sortino	-8.8	-4.34
Sortino/√2	-9.68	-4.77
Smart Sortino/√2	-6.22	-3.07
Omega	0.01	0.01
Max Drawdown	-14.75%	-53.53%
Longest DD Days	193	916
Volatility (ann.)	8.41%	29.34%
R^2	0.34	0.34
Information Ratio	-0.02	-0.02
Calmar	0.43	0.22
Skew	-4.61	-4.4
Kurtosis	245.43	108.28
Expected Daily	0.03%	0.05%
Expected Monthly	0.52%	0.94%
Expected Yearly	4.9%	8.93%
Kelly Criterion	7.64%	-2.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.84%	-2.98%
Expected Shortfall (cVaR)	-0.84%	-2.98%
Max Consecutive Wins	8	11
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.27	0.14
Gain/Pain (1M)	1.91	0.73
Payoff Ratio	0.91	0.74
Profit Factor	1.27	1.14
Common Sense Ratio	1.49	1.14
CPC Index	0.65	0.48
Tail Ratio	1.17	1.0
Outlier Win Ratio	9.84	2.3
Outlier Loss Ratio	12.53	2.72
MTD	1.02%	2.9%
3M	2.55%	8.14%
6M	5.08%	7.52%
YTD	4.15%	11.49%
1Y	4.3%	39.41%
3Y (ann.)	6.2%	5.23%
5Y (ann.)	6.41%	11.75%
10Y (ann.)	6.41%	11.75%
All-time (ann.)	6.41%	11.75%
Best Day	8.83%	20.04%
Worst Day	-11.2%	-33.28%
Best Month	4.76%	15.56%
Worst Month	-6.05%	-30.02%
Best Year	10.37%	53.84%
Worst Year	1.48%	-37.26%
Avg. Drawdown	-0.47%	-3.59%
Avg. Drawdown Days	10	39
Recovery Factor	2.25	1.25
Ulcer Index	0.01	0.24
Serenity Index	-91.72	-1.1
Avg. Up Month	1.06%	5.05%
Avg. Down Month	-1.6%	-10.44%
Win Days	55.95%	56.5%
Win Month	72.73%	67.27%
Win Quarter	85.0%	70.0%
Win Year	100.0%	83.33%
Beta	0.17	-
Alpha	0.04	-
Correlation	58.59%	-
Treynor Ratio	-3971.91%	-