SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 20 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	20.34%	54.99%
CAGR﹪	3.14%	7.59%
Sharpe	0.31	4.18
Prob. Sharpe Ratio	77.46%	100.0%
Smart Sharpe	0.21	2.8
Sortino	0.45	105.9
Smart Sortino	0.3	70.97
Sortino/√2	0.32	74.88
Smart Sortino/√2	0.21	50.18
Omega	1.1	1.1
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1503	209
Volatility (ann.)	12.93%	1.78%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.12	6.05
Skew	2.33	21.0
Kurtosis	225.46	456.54
Expected Daily	0.01%	0.03%
Expected Monthly	0.25%	0.6%
Expected Yearly	2.68%	6.46%
Kelly Criterion	18.89%	86.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.32%	-0.15%
Expected Shortfall (cVaR)	-1.32%	-0.15%
Max Consecutive Wins	9	607
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.1	24.77
Gain/Pain (1M)	0.43	24.77
Payoff Ratio	1.47	3.12
Profit Factor	1.1	25.77
Common Sense Ratio	1.2	140.68
CPC Index	0.84	72.13
Tail Ratio	1.09	5.46
Outlier Win Ratio	2.53	23.84
Outlier Loss Ratio	1.95	54.06
MTD	-1.64%	0.66%
3M	10.59%	3.75%
6M	8.45%	5.35%
YTD	-1.64%	0.66%
1Y	-2.22%	9.65%
3Y (ann.)	2.57%	9.43%
5Y (ann.)	0.09%	8.56%
10Y (ann.)	3.14%	7.59%
All-time (ann.)	3.14%	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%	0.66%
Avg. Drawdown	-1.41%	-0.59%
Avg. Drawdown Days	49	132
Recovery Factor	0.75	43.82
Ulcer Index	0.06	0.0
Serenity Index	0.28	42.74
Avg. Up Month	2.05%	0.55%
Avg. Down Month	-0.58%	-0.21%
Win Days	51.68%	89.86%
Win Month	52.05%	90.41%
Win Quarter	56.0%	92.0%
Win Year	57.14%	100.0%
Beta	-0.47	-
Alpha	0.07	-
Correlation	-6.46%	-
Treynor Ratio	-43.29%	-