SBCB USD[Strategy] vs [Benchmark] RUEU10 USD

23 Sep, 2019 - 10 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	38.0%	97.0%
Cumulative Return	-26.36%	-51.5%
CAGR﹪	-4.4%	-10.09%
Sharpe	-0.49	-0.67
Prob. Sharpe Ratio	0.16%	0.0%
Smart Sharpe	-0.44	-0.6
Sortino	-0.66	-0.7
Smart Sortino	-0.58	-0.62
Sortino/√2	-0.46	-0.49
Smart Sortino/√2	-0.41	-0.44
Omega	0.79	0.79
Max Drawdown	-34.64%	-63.89%
Longest DD Days	2360	1754
Volatility (ann.)	21.16%	24.56%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	-0.13	-0.16
Skew	-2.11	-26.38
Kurtosis	74.73	847.16
Expected Daily	-0.02%	-0.06%
Expected Monthly	-0.47%	-1.11%
Expected Yearly	-3.75%	-8.65%
Kelly Criterion	-11.45%	-80.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.21%	-2.58%
Expected Shortfall (cVaR)	-2.21%	-2.58%
Max Consecutive Wins	6	11
Max Consecutive Losses	5	12
Gain/Pain Ratio	-0.08	-0.19
Gain/Pain (1M)	-0.39	-0.51
Payoff Ratio	0.88	0.35
Profit Factor	0.92	0.81
Common Sense Ratio	0.81	0.88
CPC Index	0.39	0.15
Tail Ratio	0.89	1.08
Outlier Win Ratio	14.92	9.84
Outlier Loss Ratio	3.45	6.86
MTD	0.0%	-1.11%
3M	0.0%	3.3%
6M	0.0%	1.26%
YTD	0.0%	1.55%
1Y	0.0%	5.72%
3Y (ann.)	0.0%	5.85%
5Y (ann.)	-5.78%	-14.83%
10Y (ann.)	-4.4%	-10.09%
All-time (ann.)	-4.4%	-10.09%
Best Day	14.52%	6.62%
Worst Day	-20.11%	-50.05%
Best Month	7.45%	7.5%
Worst Month	-21.37%	-48.47%
Best Year	5.48%	11.08%
Worst Year	-23.86%	-60.53%
Avg. Drawdown	-13.05%	-1.56%
Avg. Drawdown Days	491	45
Recovery Factor	-0.76	-0.81
Ulcer Index	0.22	0.43
Serenity Index	-0.05	-0.03
Avg. Up Month	1.97%	1.13%
Avg. Down Month	-3.12%	-2.58%
Win Days	47.93%	53.2%
Win Month	43.33%	56.92%
Win Quarter	45.45%	58.33%
Win Year	25.0%	75.0%
Beta	0.07	-
Alpha	-0.03	-
Correlation	7.79%	-
Treynor Ratio	-497.32%	-