SBGB RUB[Strategy] vs TRUR RUB[Benchmark]

20 Jan, 2020 - 8 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	92.0%
Cumulative Return	25.55%	86.21%
CAGR﹪	3.94%	11.14%
Sharpe	-0.16	0.42
Prob. Sharpe Ratio	3.33%	45.07%
Smart Sharpe	-0.12	0.31
Sortino	-0.24	0.56
Smart Sortino	-0.18	0.41
Sortino/√2	-0.17	0.4
Smart Sortino/√2	-0.12	0.29
Omega	0.95	0.95
Max Drawdown	-27.13%	-20.43%
Longest DD Days	1546	521
Volatility (ann.)	12.8%	10.66%
R^2	0.3	0.3
Information Ratio	-0.04	-0.04
Calmar	0.15	0.55
Skew	3.21	-2.64
Kurtosis	227.23	47.87
Expected Daily	0.02%	0.04%
Expected Monthly	0.32%	0.87%
Expected Yearly	3.87%	10.92%
Kelly Criterion	3.2%	7.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.31%	-1.06%
Expected Shortfall (cVaR)	-1.31%	-1.06%
Max Consecutive Wins	9	11
Max Consecutive Losses	10	6
Gain/Pain Ratio	0.11	0.23
Gain/Pain (1M)	0.47	1.39
Payoff Ratio	1.07	0.9
Profit Factor	1.11	1.23
Common Sense Ratio	1.27	1.4
CPC Index	0.6	0.62
Tail Ratio	1.14	1.14
Outlier Win Ratio	4.13	3.79
Outlier Loss Ratio	4.17	2.9
MTD	1.8%	0.83%
3M	1.44%	1.99%
6M	11.79%	11.09%
YTD	21.24%	13.29%
1Y	35.69%	21.5%
3Y (ann.)	6.64%	18.68%
5Y (ann.)	3.42%	10.27%
10Y (ann.)	3.94%	11.14%
All-time (ann.)	3.94%	11.14%
Best Day	17.61%	4.59%
Worst Day	-14.34%	-10.6%
Best Month	12.23%	9.22%
Worst Month	-5.81%	-9.74%
Best Year	21.24%	27.37%
Worst Year	-5.45%	-5.83%
Avg. Drawdown	-2.02%	-1.68%
Avg. Drawdown Days	65	28
Recovery Factor	0.94	4.22
Ulcer Index	0.06	0.05
Serenity Index	0.25	0.94
Avg. Up Month	2.49%	2.79%
Avg. Down Month	-2.66%	-2.63%
Win Days	49.86%	56.11%
Win Month	48.61%	69.01%
Win Quarter	58.33%	70.83%
Win Year	66.67%	83.33%
Beta	0.65	-
Alpha	-0.03	-
Correlation	54.34%	-
Treynor Ratio	28.44%	-