SBGD[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2022 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	142.13%	23.56%
CAGR﹪	39.05%	8.21%
Sharpe	1.81	31.9
Prob. Sharpe Ratio	99.86%	-
Smart Sharpe	1.67	29.52
Sortino	2.79	-
Smart Sortino	2.59	-
Sortino/√2	1.98	-
Smart Sortino/√2	1.83	-
Omega	1.35	1.35
Max Drawdown	-12.87%	-
Longest DD Days	-	-
Volatility (ann.)	19.07%	0.25%
R^2	0.0	0.0
Information Ratio	0.09	0.09
Calmar	3.03	-
Skew	0.06	0.42
Kurtosis	2.01	-0.25
Expected Daily	0.13%	0.03%
Expected Monthly	2.72%	0.64%
Expected Yearly	24.74%	5.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.84%	-0.01%
Expected Shortfall (cVaR)	-1.84%	-0.01%
Max Consecutive Wins	11	681
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.35	-
Gain/Pain (1M)	3.5	-
Payoff Ratio	-	-
Profit Factor	1.35	-
Common Sense Ratio	1.6	-
CPC Index	-	-
Tail Ratio	1.18	7.14
Outlier Win Ratio	1.78	52.7
Outlier Loss Ratio	1.91	-
MTD	-1.52%	0.19%
3M	-5.54%	2.06%
6M	4.17%	5.97%
YTD	-3.36%	3.6%
1Y	18.62%	10.51%
3Y (ann.)	39.05%	8.21%
5Y (ann.)	39.05%	8.21%
10Y (ann.)	39.05%	8.21%
All-time (ann.)	39.05%	8.21%
Best Day	5.4%	0.07%
Worst Day	-4.36%	0.0%
Best Month	16.43%	1.43%
Worst Month	-6.2%	0.05%
Best Year	45.34%	9.51%
Worst Year	-3.36%	1.38%
Avg. Drawdown	-2.47%	-
Avg. Drawdown Days	-	-
Recovery Factor	11.04	-
Ulcer Index	0.04	0.0
Serenity Index	4.81	-
Avg. Up Month	5.27%	0.62%
Avg. Down Month	-	-
Win Days	56.7%	100.0%
Win Month	69.7%	100.0%
Win Quarter	66.67%	100.0%
Win Year	75.0%	100.0%
Beta	-3.23	-
Alpha	0.6	-
Correlation	-4.14%	-
Treynor Ratio	-44.06%	-