SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 2 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	17.82%	36.09%
CAGR﹪	3.56%	6.79%
Sharpe	0.33	3.34
Prob. Sharpe Ratio	76.11%	100.0%
Smart Sharpe	0.19	1.98
Sortino	0.47	84.52
Smart Sortino	0.28	50.15
Sortino/√2	0.33	59.77
Smart Sortino/√2	0.2	35.46
Omega	1.12	1.12
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1027	209
Volatility (ann.)	13.75%	2.01%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.13	5.42
Skew	2.11	18.75
Kurtosis	224.81	360.48
Expected Daily	0.01%	0.03%
Expected Monthly	0.28%	0.53%
Expected Yearly	3.33%	6.36%
Kelly Criterion	19.42%	82.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.41%	-0.18%
Expected Shortfall (cVaR)	-1.41%	-0.18%
Max Consecutive Wins	9	395
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.12	17.43
Gain/Pain (1M)	0.57	17.43
Payoff Ratio	1.38	2.98
Profit Factor	1.12	18.43
Common Sense Ratio	1.34	58.06
CPC Index	0.83	47.76
Tail Ratio	1.2	3.15
Outlier Win Ratio	2.49	23.25
Outlier Loss Ratio	2.61	71.16
MTD	-0.4%	0.01%
3M	-5.14%	1.18%
6M	-4.35%	2.26%
YTD	-3.53%	3.97%
1Y	1.65%	5.36%
3Y (ann.)	-1.75%	8.86%
5Y (ann.)	3.56%	6.79%
10Y (ann.)	3.56%	6.79%
All-time (ann.)	3.56%	6.79%
Best Day	17.61%	2.47%
Worst Day	-14.34%	-0.02%
Best Month	9.16%	7.61%
Worst Month	-5.81%	-0.52%
Best Year	16.54%	11.92%
Worst Year	-5.45%	2.84%
Avg. Drawdown	-1.41%	-0.59%
Avg. Drawdown Days	38	132
Recovery Factor	0.66	28.76
Ulcer Index	0.04	0.0
Serenity Index	0.46	24.45
Avg. Up Month	1.67%	0.47%
Avg. Down Month	-0.58%	-0.21%
Win Days	53.27%	86.96%
Win Month	56.9%	87.93%
Win Quarter	60.0%	90.0%
Win Year	60.0%	100.0%
Beta	-0.49	-
Alpha	0.08	-
Correlation	-7.17%	-
Treynor Ratio	-36.37%	-