SBSC RUB[Strategy] vs [Benchmark] MESMTR RUB

23 Oct, 2023 - 29 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	99.0%
Cumulative Return	-30.58%	-28.06%
CAGR﹪	-13.49%	-12.26%
Sharpe	-0.8	-0.77
Prob. Sharpe Ratio	0.48%	0.6%
Smart Sharpe	-0.75	-0.72
Sortino	-1.09	-1.06
Smart Sortino	-1.02	-0.99
Sortino/√2	-0.77	-0.75
Smart Sortino/√2	-0.72	-0.7
Omega	0.87	0.87
Max Drawdown	-39.78%	-38.42%
Longest DD Days	741	709
Volatility (ann.)	22.8%	22.27%
R^2	0.92	0.92
Information Ratio	-0.01	-0.01
Calmar	-0.34	-0.32
Skew	0.2	0.38
Kurtosis	3.52	3.7
Expected Daily	-0.06%	-0.05%
Expected Monthly	-1.17%	-1.06%
Expected Yearly	-8.72%	-7.9%
Kelly Criterion	-6.11%	-2.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.41%	-2.35%
Expected Shortfall (cVaR)	-2.41%	-2.35%
Max Consecutive Wins	10	10
Max Consecutive Losses	9	9
Gain/Pain Ratio	-0.08	-0.08
Gain/Pain (1M)	-0.29	-0.27
Payoff Ratio	0.92	0.95
Profit Factor	0.92	0.92
Common Sense Ratio	0.8	0.82
CPC Index	0.41	0.44
Tail Ratio	0.87	0.89
Outlier Win Ratio	3.69	3.93
Outlier Loss Ratio	3.41	3.44
MTD	-4.07%	-4.21%
3M	-10.92%	-10.54%
6M	2.3%	2.82%
YTD	-5.66%	-5.41%
1Y	-12.64%	-11.48%
3Y (ann.)	-13.49%	-12.26%
5Y (ann.)	-13.49%	-12.26%
10Y (ann.)	-13.49%	-12.26%
All-time (ann.)	-13.49%	-12.26%
Best Day	8.73%	9.02%
Worst Day	-5.58%	-5.41%
Best Month	13.07%	13.29%
Worst Month	-14.0%	-13.87%
Best Year	-5.66%	-5.41%
Worst Year	-12.78%	-11.37%
Avg. Drawdown	-11.15%	-7.99%
Avg. Drawdown Days	181	113
Recovery Factor	-0.77	-0.73
Ulcer Index	0.26	0.24
Serenity Index	-0.05	-0.05
Avg. Up Month	5.18%	5.1%
Avg. Down Month	-6.28%	-6.14%
Win Days	49.07%	50.0%
Win Month	45.16%	48.39%
Win Quarter	27.27%	27.27%
Win Year	0.0%	0.0%
Beta	0.98	-
Alpha	-0.01	-
Correlation	96.01%	-
Treynor Ratio	-38.22%	-