SBGB USD[Strategy] vs ^SP500TR USD[Benchmark]

7 Feb, 2019 - 26 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	21.96%	180.71%
CAGR﹪	2.96%	16.38%
Sharpe	-2.68	-2.52
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.53	-2.38
Sortino	-3.37	-3.15
Smart Sortino	-3.18	-2.96
Sortino/√2	-2.39	-2.23
Smart Sortino/√2	-2.25	-2.09
Omega	0.56	0.56
Max Drawdown	-57.2%	-33.79%
Longest DD Days	1246	708
Volatility (ann.)	23.66%	20.36%
R^2	0.03	0.03
Information Ratio	-0.03	-0.03
Calmar	0.05	0.48
Skew	-0.54	-0.26
Kurtosis	53.55	14.31
Expected Daily	0.01%	0.06%
Expected Monthly	0.24%	1.27%
Expected Yearly	2.88%	15.89%
Kelly Criterion	-3.1%	8.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.43%	-2.04%
Expected Shortfall (cVaR)	-2.43%	-2.04%
Max Consecutive Wins	8	8
Max Consecutive Losses	11	6
Gain/Pain Ratio	0.06	0.19
Gain/Pain (1M)	0.22	1.09
Payoff Ratio	0.94	0.94
Profit Factor	1.06	1.19
Common Sense Ratio	1.12	1.15
CPC Index	0.5	0.62
Tail Ratio	1.06	0.97
Outlier Win Ratio	4.05	4.36
Outlier Loss Ratio	4.21	4.08
MTD	5.78%	-0.29%
3M	3.42%	6.13%
6M	14.52%	18.14%
YTD	54.65%	16.68%
1Y	76.83%	15.27%
3Y (ann.)	2.43%	23.43%
5Y (ann.)	1.96%	14.89%
10Y (ann.)	2.96%	16.38%
All-time (ann.)	2.96%	16.38%
Best Day	20.8%	9.52%
Worst Day	-20.82%	-11.98%
Best Month	27.99%	12.82%
Worst Month	-15.69%	-12.35%
Best Year	54.65%	29.88%
Worst Year	-22.76%	-18.32%
Avg. Drawdown	-5.54%	-1.74%
Avg. Drawdown Days	92	15
Recovery Factor	0.38	5.35
Ulcer Index	0.29	0.08
Serenity Index	-0.08	0.8
Avg. Up Month	4.03%	4.12%
Avg. Down Month	-5.92%	-4.19%
Win Days	50.0%	55.49%
Win Month	46.34%	67.07%
Win Quarter	53.57%	78.57%
Win Year	42.86%	85.71%
Beta	0.2	-
Alpha	0.02	-
Correlation	16.95%	-
Treynor Ratio	-396.12%	-