SPBF RUB[Strategy] vs MCFTR RUB[Benchmark]

15 Jul, 2021 - 9 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	90.0%	100.0%
Cumulative Return	20.03%	8.94%
CAGR﹪	6.9%	3.18%
Sharpe	-6.0	-5.37
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-3.65	-3.27
Sortino	-7.56	-5.67
Smart Sortino	-4.59	-3.45
Sortino/√2	-5.34	-4.01
Smart Sortino/√2	-3.25	-2.44
Omega	0.16	0.16
Max Drawdown	-33.93%	-53.53%
Longest DD Days	278	901
Volatility (ann.)	32.59%	36.76%
R^2	0.38	0.38
Information Ratio	0.0	0.0
Calmar	0.2	0.06
Skew	2.68	-4.56
Kurtosis	164.34	85.95
Expected Daily	0.03%	0.02%
Expected Monthly	0.54%	0.25%
Expected Yearly	4.67%	2.16%
Kelly Criterion	1.76%	-2.5%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.32%	-3.76%
Expected Shortfall (cVaR)	-3.32%	-3.76%
Max Consecutive Wins	7	11
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.19	0.08
Gain/Pain (1M)	1.81	0.31
Payoff Ratio	0.93	0.72
Profit Factor	1.19	1.08
Common Sense Ratio	1.31	0.99
CPC Index	0.59	0.44
Tail Ratio	1.09	0.91
Outlier Win Ratio	5.83	3.12
Outlier Loss Ratio	6.23	3.09
MTD	7.19%	3.33%
3M	9.01%	8.89%
6M	11.5%	11.94%
YTD	8.82%	11.01%
1Y	10.89%	46.08%
3Y (ann.)	6.9%	3.18%
5Y (ann.)	6.9%	3.18%
10Y (ann.)	6.9%	3.18%
All-time (ann.)	6.9%	3.18%
Best Day	31.45%	20.04%
Worst Day	-27.99%	-33.28%
Best Month	7.19%	16.08%
Worst Month	-8.07%	-30.02%
Best Year	11.16%	53.84%
Worst Year	-2.27%	-37.26%
Avg. Drawdown	-2.35%	-5.59%
Avg. Drawdown Days	27	81
Recovery Factor	0.59	0.17
Ulcer Index	0.03	0.3
Serenity Index	-71.68	-1.02
Avg. Up Month	1.81%	4.79%
Avg. Down Month	-4.56%	-18.3%
Win Days	52.56%	57.12%
Win Month	70.59%	64.71%
Win Quarter	58.33%	66.67%
Win Year	75.0%	75.0%
Beta	0.55	-
Alpha	0.07	-
Correlation	61.88%	-
Treynor Ratio	-1239.58%	-