SBHI[Strategy] vs RUB Inflation[Benchmark]

18 Nov, 2021 - 1 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-31.0%	49.07%
CAGR﹪	-7.21%	8.39%
Sharpe	-0.17	2.33
Prob. Sharpe Ratio	35.08%	99.95%
Smart Sharpe	-0.16	2.17
Sortino	-0.23	98.13
Smart Sortino	-0.21	91.44
Sortino/√2	-0.16	69.39
Smart Sortino/√2	-0.15	64.66
Omega	0.97	0.97
Max Drawdown	-53.65%	-1.25%
Longest DD Days	895	209
Volatility (ann.)	24.72%	3.37%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	-0.13	6.69
Skew	-0.63	35.29
Kurtosis	6.18	1259.82
Expected Daily	-0.03%	0.03%
Expected Monthly	-0.61%	0.66%
Expected Yearly	-6.0%	6.88%
Kelly Criterion	-12.28%	86.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.58%	-0.32%
Expected Shortfall (cVaR)	-2.58%	-0.32%
Max Consecutive Wins	8	742
Max Consecutive Losses	14	65
Gain/Pain Ratio	-0.03	23.06
Gain/Pain (1M)	-0.11	23.06
Payoff Ratio	0.75	1.86
Profit Factor	0.97	24.06
Common Sense Ratio	0.9	91.22
CPC Index	0.38	40.84
Tail Ratio	0.93	3.79
Outlier Win Ratio	1.94	55.58
Outlier Loss Ratio	1.86	141.15
MTD	0.0%	0.01%
3M	11.37%	0.66%
6M	-2.15%	2.26%
YTD	-9.52%	5.45%
1Y	-1.82%	6.23%
3Y (ann.)	-6.72%	7.3%
5Y (ann.)	-6.05%	8.27%
10Y (ann.)	-7.21%	8.39%
All-time (ann.)	-7.21%	8.39%
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	-13.67%	-0.58%
Avg. Drawdown Days	223	103
Recovery Factor	-0.58	39.11
Ulcer Index	0.3	0.0
Serenity Index	-0.03	64.44
Avg. Up Month	5.45%	0.63%
Avg. Down Month	-1.42%	-0.21%
Win Days	51.7%	91.23%
Win Month	51.67%	91.8%
Win Quarter	42.86%	95.24%
Win Year	33.33%	100.0%
Beta	-0.78	-
Alpha	0.02	-
Correlation	-10.7%	-
Treynor Ratio	39.53%	-