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

7 Feb, 2019 - 22 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	44.39%	209.76%
CAGR﹪	5.17%	16.78%
Sharpe	-2.65	-2.56
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.51	-2.42
Sortino	-3.34	-3.19
Smart Sortino	-3.16	-3.02
Sortino/√2	-2.36	-2.26
Smart Sortino/√2	-2.23	-2.13
Omega	0.57	0.57
Max Drawdown	-57.2%	-33.79%
Longest DD Days	1423	708
Volatility (ann.)	23.15%	19.96%
R^2	0.03	0.03
Information Ratio	-0.02	-0.02
Calmar	0.09	0.5
Skew	-0.55	-0.25
Kurtosis	54.7	14.55
Expected Daily	0.02%	0.06%
Expected Monthly	0.42%	1.29%
Expected Yearly	4.7%	15.18%
Kelly Criterion	-1.73%	8.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.37%	-2.0%
Expected Shortfall (cVaR)	-2.37%	-2.0%
Max Consecutive Wins	13	8
Max Consecutive Losses	11	6
Gain/Pain Ratio	0.08	0.2
Gain/Pain (1M)	0.31	1.13
Payoff Ratio	0.95	0.94
Profit Factor	1.08	1.2
Common Sense Ratio	1.16	1.16
CPC Index	0.52	0.62
Tail Ratio	1.08	0.97
Outlier Win Ratio	4.06	4.37
Outlier Loss Ratio	4.19	4.1
MTD	5.29%	3.77%
3M	11.51%	8.49%
6M	18.59%	13.86%
YTD	15.76%	8.89%
1Y	36.44%	29.44%
3Y (ann.)	14.41%	21.87%
5Y (ann.)	5.9%	13.93%
10Y (ann.)	5.17%	16.78%
All-time (ann.)	5.17%	16.78%
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%	-1.73%
Avg. Drawdown Days	98	15
Recovery Factor	0.78	6.21
Ulcer Index	0.28	0.08
Serenity Index	-0.06	1.13
Avg. Up Month	4.19%	3.99%
Avg. Down Month	-5.76%	-4.24%
Win Days	50.57%	55.42%
Win Month	48.86%	68.18%
Win Quarter	53.33%	76.67%
Win Year	50.0%	87.5%
Beta	0.19	-
Alpha	0.04	-
Correlation	16.7%	-
Treynor Ratio	-287.12%	-