SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 10 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	38.32%	60.43%
CAGR﹪	5.15%	7.59%
Sharpe	0.46	4.33
Prob. Sharpe Ratio	88.13%	100.0%
Smart Sharpe	0.32	2.97
Sortino	0.69	109.89
Smart Sortino	0.47	75.41
Sortino/√2	0.49	77.7
Smart Sortino/√2	0.33	53.32
Omega	1.15	1.15
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1546	209
Volatility (ann.)	12.69%	1.71%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.19	6.05
Skew	2.28	21.79
Kurtosis	224.71	492.49
Expected Daily	0.02%	0.03%
Expected Monthly	0.41%	0.6%
Expected Yearly	4.74%	6.99%
Kelly Criterion	20.58%	87.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.29%	-0.15%
Expected Shortfall (cVaR)	-1.29%	-0.15%
Max Consecutive Wins	9	727
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.15	26.71
Gain/Pain (1M)	0.68	26.71
Payoff Ratio	1.54	3.06
Profit Factor	1.15	27.71
Common Sense Ratio	1.31	155.16
CPC Index	0.92	76.73
Tail Ratio	1.14	5.6
Outlier Win Ratio	2.38	23.85
Outlier Loss Ratio	1.91	53.31
MTD	0.48%	0.17%
3M	11.08%	1.31%
6M	14.11%	3.94%
YTD	13.06%	4.19%
1Y	23.79%	9.47%
3Y (ann.)	3.85%	7.6%
5Y (ann.)	2.2%	8.81%
10Y (ann.)	5.15%	7.59%
All-time (ann.)	5.15%	7.59%
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	16.54%	11.92%
Worst Year	-5.45%	2.84%
Avg. Drawdown	-1.37%	-0.59%
Avg. Drawdown Days	44	132
Recovery Factor	1.41	48.16
Ulcer Index	0.05	0.0
Serenity Index	0.55	48.99
Avg. Up Month	2.11%	0.54%
Avg. Down Month	-0.58%	-0.21%
Win Days	51.81%	90.62%
Win Month	55.7%	91.14%
Win Quarter	62.96%	92.59%
Win Year	71.43%	100.0%
Beta	-0.47	-
Alpha	0.09	-
Correlation	-6.36%	-
Treynor Ratio	-81.24%	-