SBSP RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

15 Apr, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	72.38%	29.16%
CAGR﹪	20.91%	9.33%
Sharpe	0.98	0.71
Prob. Sharpe Ratio	94.0%	89.48%
Smart Sharpe	0.77	0.56
Sortino	1.37	1.22
Smart Sortino	1.08	0.97
Sortino/√2	0.97	0.87
Smart Sortino/√2	0.76	0.68
Omega	1.23	1.23
Max Drawdown	-22.08%	-15.67%
Longest DD Days	108	707
Volatility (ann.)	21.88%	13.98%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.95	0.6
Skew	-1.36	2.17
Kurtosis	53.57	16.82
Expected Daily	0.08%	0.04%
Expected Monthly	1.57%	0.73%
Expected Yearly	14.58%	6.61%
Kelly Criterion	17.31%	4.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.18%	-1.41%
Expected Shortfall (cVaR)	-2.18%	-1.41%
Max Consecutive Wins	11	7
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.23	0.14
Gain/Pain (1M)	1.98	0.77
Payoff Ratio	1.17	1.19
Profit Factor	1.23	1.14
Common Sense Ratio	1.44	1.4
CPC Index	0.8	0.66
Tail Ratio	1.17	1.22
Outlier Win Ratio	3.55	4.45
Outlier Loss Ratio	2.83	4.38
MTD	-5.99%	7.35%
3M	-7.25%	10.68%
6M	-2.29%	12.57%
YTD	-9.67%	11.14%
1Y	12.89%	12.86%
3Y (ann.)	20.91%	9.33%
5Y (ann.)	20.91%	9.33%
10Y (ann.)	20.91%	9.33%
All-time (ann.)	20.91%	9.33%
Best Day	14.69%	8.19%
Worst Day	-17.35%	-3.01%
Best Month	10.45%	17.19%
Worst Month	-6.59%	-5.72%
Best Year	39.15%	20.05%
Worst Year	-9.67%	-3.54%
Avg. Drawdown	-2.68%	-4.58%
Avg. Drawdown Days	18	128
Recovery Factor	3.28	1.86
Ulcer Index	0.03	0.08
Serenity Index	4.6	0.27
Avg. Up Month	3.85%	3.07%
Avg. Down Month	-2.28%	-3.05%
Win Days	55.48%	48.19%
Win Month	71.43%	57.14%
Win Quarter	83.33%	50.0%
Win Year	75.0%	75.0%
Beta	-0.1	-
Alpha	0.22	-
Correlation	-6.69%	-
Treynor Ratio	-691.02%	-