SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 20 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	53.46%	70.11%
CAGR﹪	5.75%	7.18%
Sharpe	0.52	4.38
Prob. Sharpe Ratio	92.93%	100.0%
Smart Sharpe	0.37	3.09
Sortino	0.78	98.84
Smart Sortino	0.55	69.68
Sortino/√2	0.55	69.89
Smart Sortino/√2	0.39	49.27
Omega	1.16	1.16
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1546	209
Volatility (ann.)	11.79%	1.56%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.21	5.73
Skew	2.34	23.81
Kurtosis	247.05	592.82
Expected Daily	0.02%	0.03%
Expected Monthly	0.46%	0.57%
Expected Yearly	5.5%	6.87%
Kelly Criterion	21.32%	85.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.2%	-0.13%
Expected Shortfall (cVaR)	-1.2%	-0.13%
Max Consecutive Wins	9	742
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.16	23.1
Gain/Pain (1M)	0.78	23.1
Payoff Ratio	1.59	3.11
Profit Factor	1.16	24.1
Common Sense Ratio	1.34	134.92
CPC Index	0.96	66.69
Tail Ratio	1.15	5.6
Outlier Win Ratio	2.15	22.36
Outlier Loss Ratio	1.85	54.54
MTD	-0.12%	-0.05%
3M	-1.09%	0.69%
6M	-0.38%	1.82%
YTD	3.08%	4.62%
1Y	7.92%	6.04%
3Y (ann.)	9.6%	7.52%
5Y (ann.)	4.89%	8.39%
10Y (ann.)	5.75%	7.18%
All-time (ann.)	5.75%	7.18%
Best Day	17.61%	2.47%
Worst Day	-14.34%	-0.02%
Best Month	12.23%	7.61%
Worst Month	-5.81%	-0.52%
Best Year	21.68%	11.92%
Worst Year	-5.45%	2.84%
Avg. Drawdown	-1.29%	-0.46%
Avg. Drawdown Days	37	101
Recovery Factor	1.97	55.87
Ulcer Index	0.05	0.0
Serenity Index	0.84	61.8
Avg. Up Month	2.16%	0.54%
Avg. Down Month	-0.41%	-0.15%
Win Days	51.71%	89.02%
Win Month	55.91%	89.25%
Win Quarter	64.52%	93.55%
Win Year	75.0%	100.0%
Beta	-0.47	-
Alpha	0.09	-
Correlation	-6.23%	-
Treynor Ratio	-113.22%	-