SBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

5 Feb, 2019 - 17 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	15.99%	20.52%
CAGR﹪	2.85%	3.6%
Sharpe	-15.71	-21.78
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-11.76	-16.31
Sortino	-12.31	-13.11
Smart Sortino	-9.22	-9.82
Sortino/√2	-8.71	-9.27
Smart Sortino/√2	-6.52	-6.94
Omega	0.04	0.04
Max Drawdown	-27.13%	-26.91%
Longest DD Days	1255	837
Volatility (ann.)	13.06%	9.4%
R^2	0.51	0.51
Information Ratio	-0.0	-0.0
Calmar	0.1	0.13
Skew	2.18	-9.21
Kurtosis	242.32	236.53
Expected Daily	0.01%	0.01%
Expected Monthly	0.23%	0.29%
Expected Yearly	2.5%	3.16%
Kelly Criterion	2.87%	7.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.34%	-0.96%
Expected Shortfall (cVaR)	-1.34%	-0.96%
Max Consecutive Wins	9	16
Max Consecutive Losses	10	15
Gain/Pain Ratio	0.1	0.15
Gain/Pain (1M)	0.45	0.43
Payoff Ratio	0.94	0.9
Profit Factor	1.1	1.15
Common Sense Ratio	1.24	1.31
CPC Index	0.55	0.58
Tail Ratio	1.13	1.14
Outlier Win Ratio	4.23	5.71
Outlier Loss Ratio	4.19	5.45
MTD	-1.27%	-1.27%
3M	-4.18%	-4.32%
6M	-3.84%	-3.47%
YTD	-4.27%	-4.16%
1Y	-6.26%	-5.65%
3Y (ann.)	-1.38%	-0.69%
5Y (ann.)	2.02%	2.83%
10Y (ann.)	2.85%	3.6%
All-time (ann.)	2.85%	3.6%
Best Day	17.61%	4.82%
Worst Day	-14.34%	-13.8%
Best Month	9.16%	8.42%
Worst Month	-5.81%	-15.17%
Best Year	15.78%	16.62%
Worst Year	-5.45%	-4.94%
Avg. Drawdown	-1.44%	-1.0%
Avg. Drawdown Days	44	31
Recovery Factor	0.59	0.76
Ulcer Index	0.04	0.04
Serenity Index	-15.59	-12.34
Avg. Up Month	1.95%	1.96%
Avg. Down Month	-1.48%	-1.76%
Win Days	52.96%	55.95%
Win Month	51.56%	54.69%
Win Quarter	59.09%	59.09%
Win Year	50.0%	66.67%
Beta	0.99	-
Alpha	-0.0	-
Correlation	71.26%	-
Treynor Ratio	-691.16%	-