SBGB RUB[Strategy] vs SBRB RUB[Benchmark]

18 Sep, 2019 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	98.0%
Cumulative Return	16.49%	51.78%
CAGR﹪	2.74%	7.66%
Sharpe	-0.25	0.13
Prob. Sharpe Ratio	2.23%	38.64%
Smart Sharpe	-0.19	0.1
Sortino	-0.38	0.18
Smart Sortino	-0.29	0.13
Sortino/√2	-0.27	0.12
Smart Sortino/√2	-0.21	0.1
Omega	0.93	0.93
Max Drawdown	-27.13%	-14.75%
Longest DD Days	1546	193
Volatility (ann.)	12.72%	8.14%
R^2	0.59	0.59
Information Ratio	-0.03	-0.03
Calmar	0.1	0.52
Skew	3.67	-3.91
Kurtosis	242.8	228.91
Expected Daily	0.01%	0.03%
Expected Monthly	0.22%	0.62%
Expected Yearly	2.2%	6.14%
Kelly Criterion	1.5%	12.82%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.3%	-0.81%
Expected Shortfall (cVaR)	-1.3%	-0.81%
Max Consecutive Wins	9	9
Max Consecutive Losses	10	8
Gain/Pain Ratio	0.09	0.3
Gain/Pain (1M)	0.38	2.35
Payoff Ratio	1.03	1.03
Profit Factor	1.09	1.3
Common Sense Ratio	1.17	1.57
CPC Index	0.56	0.75
Tail Ratio	1.08	1.2
Outlier Win Ratio	3.32	4.86
Outlier Loss Ratio	3.47	4.75
MTD	0.92%	0.61%
3M	7.95%	8.44%
6M	17.22%	15.56%
YTD	5.48%	10.6%
1Y	9.62%	13.83%
3Y (ann.)	2.54%	9.52%
5Y (ann.)	0.77%	7.24%
10Y (ann.)	2.74%	7.66%
All-time (ann.)	2.74%	7.66%
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	7.29%	10.6%
Worst Year	-5.45%	1.48%
Avg. Drawdown	-1.73%	-0.51%
Avg. Drawdown Days	61	11
Recovery Factor	0.61	3.51
Ulcer Index	0.06	0.01
Serenity Index	0.12	5.85
Avg. Up Month	2.21%	1.67%
Avg. Down Month	-2.5%	-1.21%
Win Days	50.04%	55.74%
Win Month	50.0%	72.06%
Win Quarter	58.33%	83.33%
Win Year	71.43%	100.0%
Beta	1.2	-
Alpha	-0.06	-
Correlation	76.67%	-
Treynor Ratio	7.92%	-