SBGB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

7 Feb, 2019 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	83.0%
Cumulative Return	37.5%	-100.0%
CAGR﹪	5.09%	-100.0%
Sharpe	0.46	-0.23
Prob. Sharpe Ratio	87.77%	23.36%
Smart Sharpe	0.31	-0.15
Sortino	0.68	-0.24
Smart Sortino	0.47	-0.16
Sortino/√2	0.48	-0.17
Smart Sortino/√2	0.33	-0.11
Omega	1.15	1.15
Max Drawdown	-27.13%	-100.0%
Longest DD Days	1546	707
Volatility (ann.)	12.73%	42.93%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	0.19	-1.0
Skew	2.27	-31.55
Kurtosis	223.49	1169.8
Expected Daily	0.02%	-100.0%
Expected Monthly	0.41%	-100.0%
Expected Yearly	4.65%	-100.0%
Kelly Criterion	4.26%	-0.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.3%	-4.49%
Expected Shortfall (cVaR)	-1.3%	-4.49%
Max Consecutive Wins	9	9
Max Consecutive Losses	10	12
Gain/Pain Ratio	0.15	-0.11
Gain/Pain (1M)	0.67	-0.3
Payoff Ratio	1.01	1.0
Profit Factor	1.15	0.89
Common Sense Ratio	1.31	0.93
CPC Index	0.6	0.44
Tail Ratio	1.14	1.05
Outlier Win Ratio	6.48	4.23
Outlier Loss Ratio	6.39	2.55
MTD	0.44%	0.0%
3M	11.21%	0.0%
6M	13.13%	0.0%
YTD	13.02%	0.0%
1Y	23.91%	0.0%
3Y (ann.)	3.89%	-100.0%
5Y (ann.)	2.2%	-100.0%
10Y (ann.)	5.09%	-100.0%
All-time (ann.)	5.09%	-100.0%
Best Day	17.61%	10.7%
Worst Day	-14.34%	-100.0%
Best Month	12.23%	19.77%
Worst Month	-5.81%	-100.0%
Best Year	15.9%	29.27%
Worst Year	-5.45%	-100.0%
Avg. Drawdown	-1.33%	-14.28%
Avg. Drawdown Days	43	177
Recovery Factor	1.38	-1.0
Ulcer Index	0.05	0.43
Serenity Index	0.54	-0.08
Avg. Up Month	1.29%	4.37%
Avg. Down Month	-1.81%	-2.1%
Win Days	51.82%	49.73%
Win Month	53.85%	53.85%
Win Quarter	62.96%	54.55%
Win Year	71.43%	50.0%
Beta	-0.02	-
Alpha	0.06	-
Correlation	-8.09%	-
Treynor Ratio	-1563.08%	-