SBHI[Strategy] vs RUB Inflation[Benchmark]

18 Nov, 2021 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-15.18%	18.24%
CAGR﹪	-8.54%	9.51%
Sharpe	-0.18	1.69
Prob. Sharpe Ratio	40.72%	100.0%
Smart Sharpe	-0.17	1.61
Sortino	-0.22	81.26
Smart Sortino	-0.21	77.6
Sortino/√2	-0.16	57.46
Smart Sortino/√2	-0.15	54.87
Omega	0.97	0.97
Max Drawdown	-53.65%	-1.25%
Longest DD Days	672	209
Volatility (ann.)	28.93%	5.73%
R^2	0.03	0.03
Information Ratio	-0.03	-0.03
Calmar	-0.16	7.58
Skew	-1.43	20.9
Kurtosis	7.16	439.17
Expected Daily	-0.04%	0.04%
Expected Monthly	-0.71%	0.73%
Expected Yearly	-5.34%	5.74%
Kelly Criterion	2.44%	74.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.02%	-0.56%
Expected Shortfall (cVaR)	-3.02%	-0.56%
Max Consecutive Wins	7	270
Max Consecutive Losses	5	65
Gain/Pain Ratio	-0.03	13.49
Gain/Pain (1M)	-0.11	13.49
Payoff Ratio	0.92	1.37
Profit Factor	0.97	14.49
Common Sense Ratio	0.85	48.44
CPC Index	0.47	16.97
Tail Ratio	0.88	3.34
Outlier Win Ratio	1.77	41.72
Outlier Loss Ratio	2.27	159.94
MTD	-5.34%	0.19%
3M	12.55%	1.23%
6M	37.84%	2.32%
YTD	49.63%	3.9%
1Y	60.42%	5.3%
3Y (ann.)	-8.54%	9.51%
5Y (ann.)	-8.54%	9.51%
10Y (ann.)	-8.54%	9.51%
All-time (ann.)	-8.54%	9.51%
Best Day	6.59%	7.61%
Worst Day	-12.25%	-0.02%
Best Month	19.98%	7.61%
Worst Month	-20.25%	-0.52%
Best Year	49.63%	11.92%
Worst Year	-39.14%	1.68%
Avg. Drawdown	-53.65%	-1.25%
Avg. Drawdown Days	672	209
Recovery Factor	-0.28	14.54
Ulcer Index	0.36	0.0
Serenity Index	-0.01	14.01
Avg. Up Month	6.9%	0.46%
Avg. Down Month	-2.31%	-0.35%
Win Days	53.3%	85.33%
Win Month	52.17%	86.96%
Win Quarter	50.0%	87.5%
Win Year	33.33%	100.0%
Beta	-0.8	-
Alpha	0.03	-
Correlation	-15.83%	-
Treynor Ratio	19.0%	-