SBFR[Strategy] vs RUB Inflation[Benchmark]

31 Jan, 2024 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	19.83%	11.93%
CAGR﹪	16.64%	10.06%
Sharpe	6.0	36.0
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	5.43	32.55
Sortino	11.87	-
Smart Sortino	10.73	-
Sortino/√2	8.39	-
Smart Sortino/√2	7.59	-
Omega	2.9	2.9
Max Drawdown	-1.14%	-
Longest DD Days	-	-
Volatility (ann.)	2.53%	0.26%
R^2	0.0	0.0
Information Ratio	0.14	0.14
Calmar	14.58	-
Skew	0.51	0.22
Kurtosis	4.22	-0.73
Expected Daily	0.06%	0.04%
Expected Monthly	1.14%	0.71%
Expected Yearly	9.47%	5.8%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.01%
Expected Shortfall (cVaR)	-0.2%	-0.01%
Max Consecutive Wins	11	300
Max Consecutive Losses	5	0
Gain/Pain Ratio	1.9	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.9	-
Common Sense Ratio	4.42	-
CPC Index	-	-
Tail Ratio	1.53	7.45
Outlier Win Ratio	2.09	7.16
Outlier Loss Ratio	1.31	-
MTD	0.32%	0.16%
3M	4.66%	3.02%
6M	7.64%	6.63%
YTD	5.1%	3.08%
1Y	16.8%	10.67%
3Y (ann.)	16.64%	10.06%
5Y (ann.)	16.64%	10.06%
10Y (ann.)	16.64%	10.06%
All-time (ann.)	16.64%	10.06%
Best Day	0.86%	0.07%
Worst Day	-0.54%	0.0%
Best Month	2.02%	1.43%
Worst Month	0.0%	0.0%
Best Year	14.02%	8.58%
Worst Year	5.1%	3.08%
Avg. Drawdown	-0.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	17.37	-
Ulcer Index	0.0	0.0
Serenity Index	30.96	-
Avg. Up Month	1.21%	0.75%
Avg. Down Month	-	-
Win Days	70.38%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.18	-
Alpha	0.13	-
Correlation	1.88%	-
Treynor Ratio	109.32%	-