SBLB RUB[Strategy] vs [Benchmark] RUGBITR5+ RUB

19 Apr, 2024 - 13 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	94.0%
Cumulative Return	18.75%	20.07%
CAGR﹪	8.0%	8.54%
Sharpe	0.09	0.14
Prob. Sharpe Ratio	26.0%	33.35%
Smart Sharpe	0.07	0.11
Sortino	0.14	0.22
Smart Sortino	0.11	0.17
Sortino/√2	0.1	0.16
Smart Sortino/√2	0.08	0.12
Omega	1.02	1.02
Max Drawdown	-14.39%	-13.66%
Longest DD Days	315	315
Volatility (ann.)	10.99%	9.57%
R^2	0.82	0.82
Information Ratio	-0.0	-0.0
Calmar	0.56	0.63
Skew	1.19	1.53
Kurtosis	6.97	10.0
Expected Daily	0.03%	0.03%
Expected Monthly	0.62%	0.66%
Expected Yearly	5.9%	6.29%
Kelly Criterion	7.64%	8.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.11%	-0.96%
Expected Shortfall (cVaR)	-1.11%	-0.96%
Max Consecutive Wins	9	9
Max Consecutive Losses	10	10
Gain/Pain Ratio	0.14	0.18
Gain/Pain (1M)	0.54	0.65
Payoff Ratio	1.12	1.19
Profit Factor	1.14	1.18
Common Sense Ratio	1.21	1.32
CPC Index	0.65	0.7
Tail Ratio	1.06	1.12
Outlier Win Ratio	3.61	4.5
Outlier Loss Ratio	3.0	3.71
MTD	-0.46%	0.38%
3M	-4.92%	-3.49%
6M	-1.39%	-0.42%
YTD	-1.44%	-0.37%
1Y	6.92%	7.85%
3Y (ann.)	8.0%	8.54%
5Y (ann.)	8.0%	8.54%
10Y (ann.)	8.0%	8.54%
All-time (ann.)	8.0%	8.54%
Best Day	4.91%	4.32%
Worst Day	-1.8%	-2.13%
Best Month	11.99%	8.93%
Worst Month	-7.1%	-6.34%
Best Year	19.62%	22.63%
Worst Year	-1.44%	-1.72%
Avg. Drawdown	-2.65%	-2.22%
Avg. Drawdown Days	41	37
Recovery Factor	1.3	1.47
Ulcer Index	0.06	0.05
Serenity Index	0.14	0.16
Avg. Up Month	3.3%	3.07%
Avg. Down Month	-3.65%	-3.25%
Win Days	51.18%	50.09%
Win Month	60.71%	64.29%
Win Quarter	60.0%	70.0%
Win Year	66.67%	33.33%
Beta	1.04	-
Alpha	-0.01	-
Correlation	90.51%	-
Treynor Ratio	11.3%	-