SBRS RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

16 Jun, 2021 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	14.42%	26.4%
CAGR﹪	4.82%	8.53%
Sharpe	0.77	1.5
Prob. Sharpe Ratio	78.2%	96.58%
Smart Sharpe	0.57	1.11
Sortino	1.2	3.28
Smart Sortino	0.89	2.44
Sortino/√2	0.85	2.32
Smart Sortino/√2	0.63	1.73
Omega	1.42	1.42
Max Drawdown	-13.87%	-7.0%
Longest DD Days	735	671
Volatility (ann.)	19.34%	15.88%
R^2	0.14	0.14
Information Ratio	-0.02	-0.02
Calmar	0.35	1.22
Skew	0.95	3.84
Kurtosis	83.17	28.09
Expected Daily	0.05%	0.09%
Expected Monthly	0.97%	1.69%
Expected Yearly	3.42%	6.03%
Kelly Criterion	23.75%	5.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.95%	-1.55%
Expected Shortfall (cVaR)	-1.95%	-1.55%
Max Consecutive Wins	6	5
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.42	0.38
Gain/Pain (1M)	9.74	5.9
Payoff Ratio	1.57	1.19
Profit Factor	1.42	1.38
Common Sense Ratio	1.66	1.89
CPC Index	1.19	0.8
Tail Ratio	1.17	1.37
Outlier Win Ratio	6.66	3.36
Outlier Loss Ratio	4.06	2.62
MTD	0.39%	-0.82%
3M	3.98%	3.18%
6M	14.91%	10.51%
YTD	11.39%	1.51%
1Y	14.91%	10.51%
3Y (ann.)	4.82%	8.53%
5Y (ann.)	4.82%	8.53%
10Y (ann.)	4.82%	8.53%
All-time (ann.)	4.82%	8.53%
Best Day	12.35%	8.19%
Worst Day	-12.19%	-2.64%
Best Month	7.85%	8.87%
Worst Month	-2.44%	-2.45%
Best Year	11.39%	11.14%
Worst Year	-2.54%	1.51%
Avg. Drawdown	-0.83%	-2.03%
Avg. Drawdown Days	27	53
Recovery Factor	1.04	3.77
Ulcer Index	0.01	0.03
Serenity Index	9.05	2.29
Avg. Up Month	1.32%	2.21%
Avg. Down Month	-	-
Win Days	53.44%	48.85%
Win Month	71.43%	71.43%
Win Quarter	85.71%	71.43%
Win Year	75.0%	100.0%
Beta	-0.46	-
Alpha	0.26	-
Correlation	-37.69%	-
Treynor Ratio	-31.41%	-