SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 23 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	48.33%	62.66%
CAGR﹪	5.87%	7.29%
Sharpe	0.53	4.3
Prob. Sharpe Ratio	91.7%	100.0%
Smart Sharpe	0.36	2.98
Sortino	0.78	97.13
Smart Sortino	0.54	67.39
Sortino/√2	0.55	68.68
Smart Sortino/√2	0.38	47.65
Omega	1.17	1.17
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1546	209
Volatility (ann.)	12.39%	1.65%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.22	5.81
Skew	2.28	22.5
Kurtosis	230.67	526.26
Expected Daily	0.02%	0.03%
Expected Monthly	0.47%	0.58%
Expected Yearly	5.79%	7.2%
Kelly Criterion	21.72%	86.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.26%	-0.14%
Expected Shortfall (cVaR)	-1.26%	-0.14%
Max Consecutive Wins	9	742
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.17	22.42
Gain/Pain (1M)	0.78	22.42
Payoff Ratio	1.6	2.66
Profit Factor	1.17	23.42
Common Sense Ratio	1.36	130.0
CPC Index	0.97	56.02
Tail Ratio	1.16	5.55
Outlier Win Ratio	2.09	21.68
Outlier Loss Ratio	1.88	48.38
MTD	1.8%	0.36%
3M	4.3%	1.38%
6M	9.52%	1.86%
YTD	21.24%	5.64%
1Y	28.99%	6.08%
3Y (ann.)	6.81%	7.53%
5Y (ann.)	3.7%	8.61%
10Y (ann.)	5.87%	7.29%
All-time (ann.)	5.87%	7.29%
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	21.24%	11.92%
Worst Year	-5.45%	2.84%
Avg. Drawdown	-1.28%	-0.54%
Avg. Drawdown Days	38	114
Recovery Factor	1.78	49.93
Ulcer Index	0.05	0.0
Serenity Index	0.72	51.5
Avg. Up Month	2.18%	0.54%
Avg. Down Month	-0.58%	-0.21%
Win Days	51.8%	90.04%
Win Month	57.14%	90.48%
Win Quarter	64.29%	92.86%
Win Year	71.43%	100.0%
Beta	-0.47	-
Alpha	0.1	-
Correlation	-6.32%	-
Treynor Ratio	-102.18%	-