SBRS RUB[Strategy] vs MCFTR RUB[Benchmark]

16 Jun, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	95.0%	100.0%
Cumulative Return	14.12%	10.32%
CAGR﹪	4.73%	3.5%
Sharpe	-10.0	-2.79
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.44	-2.08
Sortino	-10.38	-4.28
Smart Sortino	-7.73	-3.19
Sortino/√2	-7.34	-3.03
Smart Sortino/√2	-5.46	-2.26
Omega	0.09	0.09
Max Drawdown	-13.87%	-51.26%
Longest DD Days	735	916
Volatility (ann.)	19.42%	64.43%
R^2	0.39	0.39
Information Ratio	-0.02	-0.02
Calmar	0.34	0.07
Skew	0.95	4.3
Kurtosis	82.56	89.97
Expected Daily	0.05%	0.04%
Expected Monthly	0.95%	0.7%
Expected Yearly	3.36%	2.49%
Kelly Criterion	14.62%	8.66%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.95%	-6.56%
Expected Shortfall (cVaR)	-1.95%	-6.56%
Max Consecutive Wins	6	9
Max Consecutive Losses	6	4
Gain/Pain Ratio	0.42	0.2
Gain/Pain (1M)	9.58	0.77
Payoff Ratio	1.2	0.84
Profit Factor	1.42	1.2
Common Sense Ratio	1.66	1.0
CPC Index	0.91	0.59
Tail Ratio	1.18	0.83
Outlier Win Ratio	7.38	2.22
Outlier Loss Ratio	10.91	2.53
MTD	0.13%	2.9%
3M	4.04%	8.14%
6M	14.61%	64.1%
YTD	11.1%	11.49%
1Y	14.61%	64.1%
3Y (ann.)	4.73%	3.5%
5Y (ann.)	4.73%	3.5%
10Y (ann.)	4.73%	3.5%
All-time (ann.)	4.73%	3.5%
Best Day	12.35%	47.32%
Worst Day	-12.19%	-33.28%
Best Month	7.85%	47.19%
Worst Month	-2.44%	-30.02%
Best Year	11.1%	47.19%
Worst Year	-2.54%	-34.42%
Avg. Drawdown	-0.83%	-5.55%
Avg. Drawdown Days	27	84
Recovery Factor	1.02	0.2
Ulcer Index	0.01	0.1
Serenity Index	-429.62	-15.24
Avg. Up Month	1.81%	7.69%
Avg. Down Month	-0.77%	-10.67%
Win Days	53.47%	58.3%
Win Month	71.43%	64.29%
Win Quarter	85.71%	71.43%
Win Year	75.0%	75.0%
Beta	0.19	-
Alpha	0.09	-
Correlation	62.73%	-
Treynor Ratio	-3628.19%	-