SBGB RUB[Strategy] vs SBRB RUB[Benchmark]

18 Sep, 2019 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	98.0%
Cumulative Return	39.98%	88.32%
CAGR﹪	4.99%	9.61%
Sharpe	-0.11	0.35
Prob. Sharpe Ratio	4.04%	61.6%
Smart Sharpe	-0.09	0.27
Sortino	-0.17	0.46
Smart Sortino	-0.13	0.36
Sortino/√2	-0.12	0.33
Smart Sortino/√2	-0.09	0.26
Omega	0.97	0.97
Max Drawdown	-27.13%	-14.75%
Longest DD Days	1546	193
Volatility (ann.)	11.72%	7.41%
R^2	0.57	0.57
Information Ratio	-0.03	-0.03
Calmar	0.18	0.65
Skew	3.73	-4.13
Kurtosis	267.61	264.43
Expected Daily	0.02%	0.04%
Expected Monthly	0.41%	0.77%
Expected Yearly	4.29%	8.23%
Kelly Criterion	3.51%	16.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-0.73%
Expected Shortfall (cVaR)	-1.19%	-0.73%
Max Consecutive Wins	9	16
Max Consecutive Losses	10	8
Gain/Pain Ratio	0.14	0.4
Gain/Pain (1M)	0.66	3.27
Payoff Ratio	1.04	1.04
Profit Factor	1.14	1.4
Common Sense Ratio	1.33	1.69
CPC Index	0.6	0.84
Tail Ratio	1.16	1.2
Outlier Win Ratio	3.24	4.99
Outlier Loss Ratio	3.1	4.38
MTD	0.77%	0.62%
3M	-0.82%	1.14%
6M	5.1%	7.06%
YTD	4.16%	8.64%
1Y	7.44%	14.72%
3Y (ann.)	9.52%	14.3%
5Y (ann.)	4.77%	11.14%
10Y (ann.)	4.99%	9.61%
All-time (ann.)	4.99%	9.61%
Best Day	17.61%	8.83%
Worst Day	-14.34%	-11.2%
Best Month	12.23%	4.85%
Worst Month	-5.81%	-6.05%
Best Year	21.68%	26.32%
Worst Year	-5.45%	1.48%
Avg. Drawdown	-1.4%	-0.45%
Avg. Drawdown Days	41	9
Recovery Factor	1.47	5.99
Ulcer Index	0.05	0.01
Serenity Index	0.48	11.69
Avg. Up Month	2.23%	1.73%
Avg. Down Month	-2.56%	-1.15%
Win Days	50.78%	57.47%
Win Month	54.22%	74.7%
Win Quarter	62.07%	86.21%
Win Year	75.0%	100.0%
Beta	1.19	-
Alpha	-0.06	-
Correlation	75.24%	-
Treynor Ratio	27.73%	-