SBRI RUB[Strategy] vs [Benchmark] MRSVRT RUB

2 Apr, 2021 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	-14.65%	-10.7%
CAGR﹪	-3.43%	-2.47%
Sharpe	-0.3	-0.2
Prob. Sharpe Ratio	0.82%	1.24%
Smart Sharpe	-0.3	-0.2
Sortino	-0.39	-0.26
Smart Sortino	-0.39	-0.26
Sortino/√2	-0.27	-0.19
Smart Sortino/√2	-0.27	-0.19
Omega	0.94	0.94
Max Drawdown	-46.65%	-46.09%
Longest DD Days	908	895
Volatility (ann.)	24.33%	27.04%
R^2	0.72	0.72
Information Ratio	-0.01	-0.01
Calmar	-0.07	-0.05
Skew	-1.64	-2.52
Kurtosis	21.35	70.0
Expected Daily	-0.01%	-0.01%
Expected Monthly	-0.29%	-0.21%
Expected Yearly	-3.12%	-2.24%
Kelly Criterion	-2.26%	1.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.52%	-2.8%
Expected Shortfall (cVaR)	-2.52%	-2.8%
Max Consecutive Wins	11	10
Max Consecutive Losses	14	14
Gain/Pain Ratio	-0.0	0.01
Gain/Pain (1M)	-0.02	0.04
Payoff Ratio	0.87	0.89
Profit Factor	1.0	1.01
Common Sense Ratio	0.85	0.9
CPC Index	0.45	0.48
Tail Ratio	0.86	0.89
Outlier Win Ratio	3.98	3.93
Outlier Loss Ratio	3.85	3.77
MTD	-3.35%	-3.62%
3M	-0.22%	0.37%
6M	-6.72%	-6.15%
YTD	-8.47%	-8.35%
1Y	-3.02%	-2.37%
3Y (ann.)	5.66%	6.76%
5Y (ann.)	-3.43%	-2.47%
10Y (ann.)	-3.43%	-2.47%
All-time (ann.)	-3.43%	-2.47%
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	-6.18%	-5.87%
Avg. Drawdown Days	100	94
Recovery Factor	-0.31	-0.23
Ulcer Index	0.22	0.22
Serenity Index	-0.04	-0.04
Avg. Up Month	4.3%	4.32%
Avg. Down Month	-5.82%	-6.26%
Win Days	52.41%	53.45%
Win Month	56.36%	60.0%
Win Quarter	47.37%	47.37%
Win Year	40.0%	40.0%
Beta	0.77	-
Alpha	-0.01	-
Correlation	85.09%	-
Treynor Ratio	-28.29%	-