SBGB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

7 Feb, 2019 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	78.0%
Cumulative Return	51.77%	-100.0%
CAGR﹪	5.62%	-100.0%
Sharpe	0.52	-0.37
Prob. Sharpe Ratio	92.5%	7.33%
Smart Sharpe	0.37	-0.26
Sortino	0.77	-0.38
Smart Sortino	0.54	-0.27
Sortino/√2	0.55	-0.27
Smart Sortino/√2	0.39	-0.19
Omega	1.16	1.16
Max Drawdown	-27.13%	-100.0%
Longest DD Days	1546	1082
Volatility (ann.)	11.96%	53.78%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.21	-1.0
Skew	2.31	-26.9
Kurtosis	240.43	793.52
Expected Daily	0.02%	-100.0%
Expected Monthly	0.45%	-100.0%
Expected Yearly	5.35%	-100.0%
Kelly Criterion	4.26%	-0.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-5.65%
Expected Shortfall (cVaR)	-1.21%	-5.65%
Max Consecutive Wins	9	12
Max Consecutive Losses	10	12
Gain/Pain Ratio	0.16	-0.21
Gain/Pain (1M)	0.76	-0.47
Payoff Ratio	1.02	0.99
Profit Factor	1.16	0.79
Common Sense Ratio	1.33	0.83
CPC Index	0.61	0.39
Tail Ratio	1.15	1.05
Outlier Win Ratio	6.12	4.34
Outlier Loss Ratio	6.46	2.15
MTD	-0.67%	-1.33%
3M	-0.63%	12.86%
6M	-1.01%	-100.0%
YTD	2.52%	-100.0%
1Y	7.2%	-100.0%
3Y (ann.)	9.29%	-100.0%
5Y (ann.)	4.97%	-100.0%
10Y (ann.)	5.62%	-100.0%
All-time (ann.)	5.62%	-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	21.68%	29.27%
Worst Year	-5.45%	-100.0%
Avg. Drawdown	-1.3%	-14.28%
Avg. Drawdown Days	37	211
Recovery Factor	1.91	-1.0
Ulcer Index	0.05	0.56
Serenity Index	0.81	-0.06
Avg. Up Month	1.4%	3.98%
Avg. Down Month	-1.72%	-2.03%
Win Days	51.6%	50.0%
Win Month	55.43%	54.79%
Win Quarter	64.52%	56.0%
Win Year	75.0%	42.86%
Beta	-0.01	-
Alpha	0.06	-
Correlation	-6.74%	-
Treynor Ratio	-3451.95%	-