SBHI[Strategy] vs RUB Inflation[Benchmark]

18 Nov, 2021 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-22.08%	38.58%
CAGR﹪	-6.81%	9.66%
Sharpe	-0.15	2.32
Prob. Sharpe Ratio	39.15%	99.99%
Smart Sharpe	-0.14	2.17
Sortino	-0.19	111.91
Smart Sortino	-0.18	104.66
Sortino/√2	-0.14	79.13
Smart Sortino/√2	-0.13	74.0
Omega	0.97	0.97
Max Drawdown	-53.65%	-1.25%
Longest DD Days	865	209
Volatility (ann.)	25.87%	4.09%
R^2	0.02	0.02
Information Ratio	-0.03	-0.03
Calmar	-0.13	7.7
Skew	-0.81	29.21
Kurtosis	7.12	860.19
Expected Daily	-0.03%	0.04%
Expected Monthly	-0.57%	0.74%
Expected Yearly	-4.87%	6.74%
Kelly Criterion	-4.01%	88.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-0.39%
Expected Shortfall (cVaR)	-2.7%	-0.39%
Max Consecutive Wins	8	700
Max Consecutive Losses	14	65
Gain/Pain Ratio	-0.03	26.07
Gain/Pain (1M)	-0.09	26.07
Payoff Ratio	0.85	1.7
Profit Factor	0.97	27.07
Common Sense Ratio	0.9	105.43
CPC Index	0.43	42.56
Tail Ratio	0.93	3.9
Outlier Win Ratio	1.89	47.44
Outlier Loss Ratio	1.86	116.24
MTD	0.96%	0.02%
3M	-15.4%	1.44%
6M	2.76%	4.88%
YTD	-9.63%	3.52%
1Y	-19.55%	9.84%
3Y (ann.)	12.85%	7.17%
5Y (ann.)	-6.81%	9.66%
10Y (ann.)	-6.81%	9.66%
All-time (ann.)	-6.81%	9.66%
Best Day	9.26%	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	-11.21%	-1.25%
Avg. Drawdown Days	158	209
Recovery Factor	-0.41	30.75
Ulcer Index	0.28	0.0
Serenity Index	-0.03	42.25
Avg. Up Month	5.91%	0.63%
Avg. Down Month	-2.31%	-0.35%
Win Days	52.14%	92.55%
Win Month	52.27%	93.18%
Win Quarter	40.0%	93.33%
Win Year	40.0%	100.0%
Beta	-0.79	-
Alpha	0.04	-
Correlation	-12.43%	-
Treynor Ratio	28.06%	-