SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	29.05%	59.52%
CAGR﹪	4.13%	7.7%
Sharpe	0.38	4.34
Prob. Sharpe Ratio	83.35%	100.0%
Smart Sharpe	0.26	2.96
Sortino	0.57	110.02
Smart Sortino	0.39	75.15
Sortino/√2	0.4	77.8
Smart Sortino/√2	0.27	53.14
Omega	1.12	1.12
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1546	209
Volatility (ann.)	12.8%	1.73%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.15	6.13
Skew	2.29	21.51
Kurtosis	222.78	479.58
Expected Daily	0.02%	0.03%
Expected Monthly	0.33%	0.61%
Expected Yearly	3.71%	6.9%
Kelly Criterion	19.87%	87.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.31%	-0.15%
Expected Shortfall (cVaR)	-1.31%	-0.15%
Max Consecutive Wins	9	685
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.12	26.4
Gain/Pain (1M)	0.56	26.4
Payoff Ratio	1.53	3.12
Profit Factor	1.12	27.4
Common Sense Ratio	1.27	153.37
CPC Index	0.89	77.21
Tail Ratio	1.13	5.6
Outlier Win Ratio	2.44	23.79
Outlier Loss Ratio	1.98	55.39
MTD	0.92%	0.19%
3M	7.95%	2.06%
6M	17.22%	5.97%
YTD	5.48%	3.6%
1Y	9.62%	10.51%
3Y (ann.)	2.54%	7.12%
5Y (ann.)	0.77%	8.8%
10Y (ann.)	4.13%	7.7%
All-time (ann.)	4.13%	7.7%
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	-1.46%	-0.59%
Avg. Drawdown Days	48	132
Recovery Factor	1.07	47.44
Ulcer Index	0.06	0.0
Serenity Index	0.41	47.57
Avg. Up Month	2.04%	0.56%
Avg. Down Month	-0.58%	-0.21%
Win Days	51.53%	90.36%
Win Month	54.55%	90.91%
Win Quarter	61.54%	92.31%
Win Year	71.43%	100.0%
Beta	-0.47	-
Alpha	0.08	-
Correlation	-6.35%	-
Treynor Ratio	-61.99%	-