SPBC RUB[Strategy] vs [Benchmark] SPBCI RUB

16 Jul, 2021 - 9 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	76.0%	100.0%
Cumulative Return	11.48%	16.06%
CAGR﹪	4.06%	5.6%
Sharpe	-0.16	-0.05
Prob. Sharpe Ratio	12.72%	21.51%
Smart Sharpe	-0.13	-0.04
Sortino	-0.22	-0.05
Smart Sortino	-0.17	-0.04
Sortino/√2	-0.15	-0.04
Smart Sortino/√2	-0.12	-0.03
Omega	0.96	0.96
Max Drawdown	-14.73%	-21.33%
Longest DD Days	287	250
Volatility (ann.)	12.02%	11.34%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.28	0.26
Skew	-1.54	-8.8
Kurtosis	19.72	134.69
Expected Daily	0.02%	0.02%
Expected Monthly	0.32%	0.44%
Expected Yearly	2.75%	3.79%
Kelly Criterion	6.58%	14.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-1.15%
Expected Shortfall (cVaR)	-1.23%	-1.15%
Max Consecutive Wins	8	13
Max Consecutive Losses	6	12
Gain/Pain Ratio	0.09	0.24
Gain/Pain (1M)	0.42	0.67
Payoff Ratio	0.92	0.89
Profit Factor	1.09	1.24
Common Sense Ratio	1.19	2.08
CPC Index	0.56	0.66
Tail Ratio	1.09	1.68
Outlier Win Ratio	5.21	8.12
Outlier Loss Ratio	2.35	5.49
MTD	-3.82%	0.49%
3M	-2.58%	0.54%
6M	0.98%	4.33%
YTD	-2.99%	1.25%
1Y	0.09%	2.78%
3Y (ann.)	4.06%	5.6%
5Y (ann.)	4.06%	5.6%
10Y (ann.)	4.06%	5.6%
All-time (ann.)	4.06%	5.6%
Best Day	4.07%	4.57%
Worst Day	-7.71%	-10.45%
Best Month	10.12%	11.85%
Worst Month	-11.7%	-10.05%
Best Year	11.65%	9.1%
Worst Year	-2.99%	1.25%
Avg. Drawdown	-1.22%	-0.91%
Avg. Drawdown Days	16	17
Recovery Factor	0.78	0.75
Ulcer Index	0.03	0.03
Serenity Index	0.16	0.35
Avg. Up Month	2.11%	2.16%
Avg. Down Month	-2.78%	-2.29%
Win Days	55.14%	59.55%
Win Month	63.64%	64.71%
Win Quarter	50.0%	83.33%
Win Year	50.0%	100.0%
Beta	0.08	-
Alpha	0.04	-
Correlation	7.38%	-
Treynor Ratio	57.33%	-