SBRI RUB[Strategy] vs [Benchmark] MRSVRT RUB

2 Apr, 2021 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	97.0%
Cumulative Return	-26.32%	-22.43%
CAGR﹪	-5.5%	-4.6%
Sharpe	-0.39	-0.3
Prob. Sharpe Ratio	0.2%	0.33%
Smart Sharpe	-0.39	-0.3
Sortino	-0.51	-0.39
Smart Sortino	-0.5	-0.39
Sortino/√2	-0.36	-0.28
Smart Sortino/√2	-0.36	-0.27
Omega	0.93	0.93
Max Drawdown	-46.65%	-46.09%
Longest DD Days	908	895
Volatility (ann.)	23.83%	26.11%
R^2	0.74	0.74
Information Ratio	-0.01	-0.01
Calmar	-0.12	-0.1
Skew	-1.44	-2.23
Kurtosis	19.09	65.79
Expected Daily	-0.02%	-0.02%
Expected Monthly	-0.47%	-0.39%
Expected Yearly	-4.96%	-4.15%
Kelly Criterion	-2.69%	0.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-2.71%
Expected Shortfall (cVaR)	-2.48%	-2.71%
Max Consecutive Wins	11	10
Max Consecutive Losses	14	14
Gain/Pain Ratio	-0.02	-0.01
Gain/Pain (1M)	-0.09	-0.04
Payoff Ratio	0.9	0.92
Profit Factor	0.98	0.99
Common Sense Ratio	0.83	0.89
CPC Index	0.45	0.48
Tail Ratio	0.85	0.9
Outlier Win Ratio	4.21	4.31
Outlier Loss Ratio	3.89	3.8
MTD	-5.05%	-5.72%
3M	-13.68%	-13.69%
6M	-21.36%	-21.37%
YTD	-18.91%	-18.61%
1Y	-24.01%	-23.62%
3Y (ann.)	-9.8%	-9.15%
5Y (ann.)	-7.32%	-6.46%
10Y (ann.)	-5.5%	-4.6%
All-time (ann.)	-5.5%	-4.6%
Best Day	9.46%	18.75%
Worst Day	-17.25%	-27.0%
Best Month	17.87%	17.01%
Worst Month	-20.75%	-21.99%
Best Year	34.84%	36.84%
Worst Year	-28.61%	-27.5%
Avg. Drawdown	-6.8%	-6.4%
Avg. Drawdown Days	120	112
Recovery Factor	-0.56	-0.49
Ulcer Index	0.23	0.22
Serenity Index	-0.05	-0.06
Avg. Up Month	4.24%	4.22%
Avg. Down Month	-5.76%	-6.11%
Win Days	51.49%	52.07%
Win Month	53.85%	58.46%
Win Quarter	45.45%	45.45%
Win Year	33.33%	33.33%
Beta	0.79	-
Alpha	-0.02	-
Correlation	86.11%	-
Treynor Ratio	-42.39%	-