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

7 Feb, 2019 - 30 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	24.51%	162.49%
CAGR﹪	3.12%	14.46%
Sharpe	-2.72	-2.65
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.57	-2.5
Sortino	-3.41	-3.29
Smart Sortino	-3.22	-3.11
Sortino/√2	-2.41	-2.32
Smart Sortino/√2	-2.28	-2.2
Omega	0.56	0.56
Max Drawdown	-57.2%	-33.79%
Longest DD Days	1370	708
Volatility (ann.)	23.33%	20.07%
R^2	0.03	0.03
Information Ratio	-0.02	-0.02
Calmar	0.05	0.43
Skew	-0.54	-0.25
Kurtosis	54.12	14.52
Expected Daily	0.01%	0.06%
Expected Monthly	0.26%	1.13%
Expected Yearly	2.78%	12.82%
Kelly Criterion	-2.34%	7.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.39%	-2.02%
Expected Shortfall (cVaR)	-2.39%	-2.02%
Max Consecutive Wins	8	8
Max Consecutive Losses	11	6
Gain/Pain Ratio	0.06	0.17
Gain/Pain (1M)	0.23	0.95
Payoff Ratio	0.96	0.94
Profit Factor	1.06	1.17
Common Sense Ratio	1.13	1.13
CPC Index	0.51	0.61
Tail Ratio	1.07	0.96
Outlier Win Ratio	4.03	4.38
Outlier Loss Ratio	4.18	4.08
MTD	-3.06%	-7.68%
3M	-0.61%	-7.85%
6M	11.95%	-4.18%
YTD	-0.18%	-7.73%
1Y	24.47%	15.1%
3Y (ann.)	7.36%	17.12%
5Y (ann.)	3.12%	10.29%
10Y (ann.)	3.12%	14.46%
All-time (ann.)	3.12%	14.46%
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	58.17%	29.88%
Worst Year	-22.76%	-18.32%
Avg. Drawdown	-5.54%	-1.78%
Avg. Drawdown Days	96	15
Recovery Factor	0.43	4.81
Ulcer Index	0.28	0.08
Serenity Index	-0.08	0.64
Avg. Up Month	3.96%	3.79%
Avg. Down Month	-5.76%	-4.39%
Win Days	49.94%	55.13%
Win Month	47.67%	67.44%
Win Quarter	51.72%	75.86%
Win Year	37.5%	75.0%
Beta	0.19	-
Alpha	0.03	-
Correlation	16.74%	-
Treynor Ratio	-387.79%	-