SBHI[Strategy] vs RUB Inflation[Benchmark]

18 Nov, 2021 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	0.97%	25.08%
CAGR﹪	0.4%	9.62%
Sharpe	0.15	1.94
Prob. Sharpe Ratio	58.83%	100.0%
Smart Sharpe	0.14	1.84
Sortino	0.19	93.45
Smart Sortino	0.18	88.88
Sortino/√2	0.13	66.08
Smart Sortino/√2	0.13	62.85
Omega	1.03	1.03
Max Drawdown	-53.65%	-1.25%
Longest DD Days	865	209
Volatility (ann.)	25.71%	4.96%
R^2	0.02	0.02
Information Ratio	-0.01	-0.01
Calmar	0.01	7.67
Skew	-1.57	24.15
Kurtosis	9.33	586.8
Expected Daily	0.0%	0.04%
Expected Monthly	0.03%	0.75%
Expected Yearly	0.24%	5.75%
Kelly Criterion	-3.04%	81.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-0.48%
Expected Shortfall (cVaR)	-2.65%	-0.48%
Max Consecutive Wins	8	420
Max Consecutive Losses	5	65
Gain/Pain Ratio	0.03	17.94
Gain/Pain (1M)	0.1	17.94
Payoff Ratio	0.78	1.52
Profit Factor	1.03	18.94
Common Sense Ratio	0.93	69.06
CPC Index	0.44	25.63
Tail Ratio	0.91	3.65
Outlier Win Ratio	1.85	40.29
Outlier Loss Ratio	2.23	136.53
MTD	1.83%	0.37%
3M	11.97%	1.65%
6M	13.05%	4.41%
YTD	17.7%	2.32%
1Y	51.86%	7.77%
3Y (ann.)	0.4%	9.62%
5Y (ann.)	0.4%	9.62%
10Y (ann.)	0.4%	9.62%
All-time (ann.)	0.4%	9.62%
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	51.32%	11.92%
Worst Year	-39.14%	1.68%
Avg. Drawdown	-11.31%	-1.25%
Avg. Drawdown Days	175	209
Recovery Factor	0.02	19.99
Ulcer Index	0.31	0.0
Serenity Index	0.0	22.37
Avg. Up Month	5.95%	0.52%
Avg. Down Month	-2.31%	-0.35%
Win Days	54.7%	89.04%
Win Month	56.67%	90.0%
Win Quarter	54.55%	90.91%
Win Year	50.0%	100.0%
Beta	-0.8	-
Alpha	0.12	-
Correlation	-15.51%	-
Treynor Ratio	-1.2%	-