SBFR[Strategy] vs RUB Inflation[Benchmark]

31 Jan, 2024 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	54.86%	20.89%
CAGR﹪	18.22%	7.53%
Sharpe	7.15	21.94
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.25	19.16
Sortino	14.76	128.09
Smart Sortino	12.89	111.86
Sortino/√2	10.44	90.58
Smart Sortino/√2	9.11	79.1
Omega	3.62	3.62
Max Drawdown	-1.14%	-0.4%
Longest DD Days	33	63
Volatility (ann.)	2.13%	0.3%
R^2	0.0	0.0
Information Ratio	0.25	0.25
Calmar	15.96	18.82
Skew	0.39	0.67
Kurtosis	4.42	0.92
Expected Daily	0.06%	0.03%
Expected Monthly	1.33%	0.58%
Expected Yearly	15.7%	6.53%
Kelly Criterion	57.25%	95.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.16%	-0.0%
Expected Shortfall (cVaR)	-0.16%	-0.0%
Max Consecutive Wins	13	381
Max Consecutive Losses	5	21
Gain/Pain Ratio	2.62	47.35
Gain/Pain (1M)	-	47.35
Payoff Ratio	1.57	1.41
Profit Factor	3.62	48.35
Common Sense Ratio	7.36	701.18
CPC Index	4.21	66.23
Tail Ratio	2.03	14.5
Outlier Win Ratio	2.29	9.22
Outlier Loss Ratio	1.64	8.03
MTD	0.56%	0.17%
3M	3.5%	1.75%
6M	7.65%	2.82%
YTD	11.12%	5.43%
1Y	16.71%	6.98%
3Y (ann.)	18.22%	7.53%
5Y (ann.)	18.22%	7.53%
10Y (ann.)	18.22%	7.53%
All-time (ann.)	18.22%	7.53%
Best Day	0.86%	0.08%
Worst Day	-0.54%	-0.02%
Best Month	2.82%	1.62%
Worst Month	0.0%	-0.4%
Best Year	22.23%	8.58%
Worst Year	11.12%	5.43%
Avg. Drawdown	-0.12%	-0.4%
Avg. Drawdown Days	3	63
Recovery Factor	48.07	52.22
Ulcer Index	0.0	0.0
Serenity Index	151.87	62.57
Avg. Up Month	1.37%	0.63%
Avg. Down Month	-	-
Win Days	73.87%	97.09%
Win Month	100.0%	96.88%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.06	-
Alpha	0.16	-
Correlation	-0.88%	-
Treynor Ratio	-884.78%	-