SBSC RUB[Strategy] vs [Benchmark] MESMTR RUB

23 Oct, 2023 - 14 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	100.0%	100.0%
Cumulative Return	6.15%	7.41%
CAGR﹪	11.27%	13.65%
Sharpe	-12.27	-12.86
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-10.69	-11.21
Sortino	-10.09	-10.37
Smart Sortino	-8.79	-9.03
Sortino/√2	-7.13	-7.33
Smart Sortino/√2	-6.21	-6.39
Omega	0.1	0.1
Max Drawdown	-14.07%	-13.79%
Longest DD Days	155	112
Volatility (ann.)	16.05%	15.16%
R^2	0.83	0.83
Information Ratio	-0.02	-0.02
Calmar	0.8	0.99
Skew	-0.74	-0.69
Kurtosis	3.16	3.49
Expected Daily	0.04%	0.05%
Expected Monthly	0.75%	0.9%
Expected Yearly	3.03%	3.64%
Kelly Criterion	-0.92%	11.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.62%	-1.52%
Expected Shortfall (cVaR)	-1.62%	-1.52%
Max Consecutive Wins	7	9
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.14	0.18
Gain/Pain (1M)	0.68	0.84
Payoff Ratio	0.87	0.93
Profit Factor	1.14	1.18
Common Sense Ratio	0.81	0.97
CPC Index	0.52	0.63
Tail Ratio	0.71	0.82
Outlier Win Ratio	3.57	4.12
Outlier Loss Ratio	3.78	3.82
MTD	0.15%	0.27%
3M	7.26%	7.5%
6M	7.9%	9.09%
YTD	15.74%	16.58%
1Y	6.15%	7.41%
3Y (ann.)	11.27%	13.65%
5Y (ann.)	11.27%	13.65%
10Y (ann.)	11.27%	13.65%
All-time (ann.)	11.27%	13.65%
Best Day	2.74%	3.07%
Worst Day	-4.35%	-4.27%
Best Month	6.63%	7.0%
Worst Month	-3.75%	-3.74%
Best Year	15.74%	16.58%
Worst Year	-8.28%	-7.86%
Avg. Drawdown	-4.04%	-3.65%
Avg. Drawdown Days	38	27
Recovery Factor	0.44	0.54
Ulcer Index	0.05	0.05
Serenity Index	-16.05	-16.43
Avg. Up Month	4.16%	4.33%
Avg. Down Month	-2.52%	-2.39%
Win Days	53.19%	57.45%
Win Month	50.0%	50.0%
Win Quarter	66.67%	66.67%
Win Year	50.0%	50.0%
Beta	0.97	-
Alpha	-0.01	-
Correlation	91.18%	-
Treynor Ratio	-718.74%	-