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

7 Feb, 2019 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	15.94%	155.33%
CAGR﹪	2.33%	15.72%
Sharpe	-2.65	-2.49
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.49	-2.34
Sortino	-3.34	-3.11
Smart Sortino	-3.13	-2.92
Sortino/√2	-2.36	-2.2
Smart Sortino/√2	-2.22	-2.07
Omega	0.56	0.56
Max Drawdown	-57.2%	-33.79%
Longest DD Days	1105	708
Volatility (ann.)	24.16%	20.81%
R^2	0.03	0.03
Information Ratio	-0.03	-0.03
Calmar	0.04	0.47
Skew	-0.54	-0.25
Kurtosis	52.38	13.85
Expected Daily	0.01%	0.06%
Expected Monthly	0.19%	1.21%
Expected Yearly	2.13%	14.33%
Kelly Criterion	-3.13%	7.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-2.09%
Expected Shortfall (cVaR)	-2.48%	-2.09%
Max Consecutive Wins	8	8
Max Consecutive Losses	11	6
Gain/Pain Ratio	0.05	0.18
Gain/Pain (1M)	0.19	1.0
Payoff Ratio	0.94	0.94
Profit Factor	1.05	1.18
Common Sense Ratio	1.13	1.16
CPC Index	0.49	0.61
Tail Ratio	1.08	0.99
Outlier Win Ratio	4.02	4.29
Outlier Loss Ratio	4.22	4.08
MTD	0.9%	0.35%
3M	22.63%	23.39%
6M	47.15%	4.89%
YTD	47.01%	6.13%
1Y	39.71%	13.33%
3Y (ann.)	-4.8%	16.72%
5Y (ann.)	0.99%	15.17%
10Y (ann.)	2.33%	15.72%
All-time (ann.)	2.33%	15.72%
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	47.01%	29.88%
Worst Year	-22.76%	-18.32%
Avg. Drawdown	-5.54%	-1.8%
Avg. Drawdown Days	86	16
Recovery Factor	0.28	4.6
Ulcer Index	0.29	0.08
Serenity Index	-0.09	0.53
Avg. Up Month	4.15%	4.19%
Avg. Down Month	-5.92%	-4.19%
Win Days	49.97%	55.23%
Win Month	44.87%	66.67%
Win Quarter	55.56%	77.78%
Win Year	42.86%	85.71%
Beta	0.2	-
Alpha	0.02	-
Correlation	17.36%	-
Treynor Ratio	-417.3%	-