SBRI RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

2 Oct, 2020 - 7 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	43.94%	16.5%
CAGR﹪	10.66%	4.34%
Sharpe	0.58	0.32
Prob. Sharpe Ratio	84.64%	72.62%
Smart Sharpe	0.51	0.28
Sortino	0.73	0.48
Smart Sortino	0.64	0.42
Sortino/√2	0.51	0.34
Smart Sortino/√2	0.45	0.3
Omega	1.13	1.13
Max Drawdown	-46.65%	-39.65%
Longest DD Days	908	488
Volatility (ann.)	22.34%	19.75%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	0.23	0.11
Skew	-3.14	1.14
Kurtosis	36.66	15.91
Expected Daily	0.04%	0.02%
Expected Monthly	0.83%	0.35%
Expected Yearly	7.56%	3.1%
Kelly Criterion	14.43%	-5.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.26%	-2.02%
Expected Shortfall (cVaR)	-2.26%	-2.02%
Max Consecutive Wins	11	9
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.13	0.07
Gain/Pain (1M)	0.65	0.29
Payoff Ratio	1.08	0.89
Profit Factor	1.13	1.07
Common Sense Ratio	1.09	1.03
CPC Index	0.68	0.48
Tail Ratio	0.97	0.97
Outlier Win Ratio	4.0	4.06
Outlier Loss Ratio	4.31	5.2
MTD	-0.55%	-2.09%
3M	6.87%	-0.12%
6M	9.05%	-1.39%
YTD	13.4%	0.83%
1Y	35.28%	17.74%
3Y (ann.)	2.39%	7.99%
5Y (ann.)	10.66%	4.34%
10Y (ann.)	10.66%	4.34%
All-time (ann.)	10.66%	4.34%
Best Day	8.06%	10.7%
Worst Day	-17.25%	-6.67%
Best Month	17.87%	19.77%
Worst Month	-20.75%	-16.34%
Best Year	34.84%	29.27%
Worst Year	-28.61%	-6.4%
Avg. Drawdown	-2.98%	-7.22%
Avg. Drawdown Days	42	116
Recovery Factor	0.94	0.42
Ulcer Index	0.21	0.15
Serenity Index	0.08	0.05
Avg. Up Month	4.41%	3.68%
Avg. Down Month	-5.67%	-8.94%
Win Days	55.63%	50.28%
Win Month	65.91%	56.82%
Win Quarter	66.67%	60.0%
Win Year	80.0%	60.0%
Beta	-0.15	-
Alpha	0.14	-
Correlation	-13.67%	-
Treynor Ratio	-284.28%	-