SBGB RUB[Strategy] vs [Benchmark] RGBITR RUB

5 Feb, 2019 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	42.16%	45.34%
CAGR﹪	5.39%	5.74%
Sharpe	-0.06	-0.08
Prob. Sharpe Ratio	5.09%	15.67%
Smart Sharpe	-0.05	-0.06
Sortino	-0.09	-0.1
Smart Sortino	-0.07	-0.08
Sortino/√2	-0.06	-0.07
Smart Sortino/√2	-0.05	-0.06
Omega	0.98	0.98
Max Drawdown	-27.13%	-26.91%
Longest DD Days	1546	837
Volatility (ann.)	12.49%	9.25%
R^2	0.56	0.56
Information Ratio	0.0	0.0
Calmar	0.2	0.21
Skew	2.29	-7.25
Kurtosis	228.75	200.09
Expected Daily	0.02%	0.02%
Expected Monthly	0.44%	0.46%
Expected Yearly	5.15%	5.49%
Kelly Criterion	5.61%	10.31%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.27%	-0.93%
Expected Shortfall (cVaR)	-1.27%	-0.93%
Max Consecutive Wins	9	16
Max Consecutive Losses	10	15
Gain/Pain Ratio	0.16	0.2
Gain/Pain (1M)	0.7	0.63
Payoff Ratio	1.04	1.01
Profit Factor	1.16	1.2
Common Sense Ratio	1.32	1.46
CPC Index	0.62	0.67
Tail Ratio	1.14	1.21
Outlier Win Ratio	4.08	5.26
Outlier Loss Ratio	3.63	4.45
MTD	2.05%	1.51%
3M	1.86%	1.51%
6M	12.66%	12.8%
YTD	16.96%	18.06%
1Y	31.38%	28.42%
3Y (ann.)	6.08%	5.85%
5Y (ann.)	2.69%	2.83%
10Y (ann.)	5.39%	5.74%
All-time (ann.)	5.39%	5.74%
Best Day	17.61%	4.82%
Worst Day	-14.34%	-13.8%
Best Month	12.23%	8.98%
Worst Month	-5.81%	-15.17%
Best Year	16.96%	18.06%
Worst Year	-5.45%	-4.94%
Avg. Drawdown	-1.38%	-1.13%
Avg. Drawdown Days	41	31
Recovery Factor	1.55	1.68
Ulcer Index	0.05	0.05
Serenity Index	0.5	0.47
Avg. Up Month	2.3%	2.24%
Avg. Down Month	-1.7%	-1.92%
Win Days	51.83%	54.95%
Win Month	54.32%	58.02%
Win Quarter	64.29%	64.29%
Win Year	71.43%	71.43%
Beta	1.01	-
Alpha	-0.0	-
Correlation	74.55%	-
Treynor Ratio	34.91%	-