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

19 Apr, 2024 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	20.63%	19.9%
CAGR﹪	12.19%	11.78%
Sharpe	0.43	0.44
Prob. Sharpe Ratio	43.16%	47.47%
Smart Sharpe	0.33	0.34
Sortino	0.69	0.73
Smart Sortino	0.53	0.56
Sortino/√2	0.49	0.52
Smart Sortino/√2	0.37	0.4
Omega	1.08	1.08
Max Drawdown	-14.39%	-13.66%
Longest DD Days	315	315
Volatility (ann.)	12.28%	10.83%
R^2	0.86	0.86
Information Ratio	0.01	0.01
Calmar	0.85	0.86
Skew	1.16	1.52
Kurtosis	5.74	8.08
Expected Daily	0.04%	0.04%
Expected Monthly	0.9%	0.87%
Expected Yearly	9.83%	9.5%
Kelly Criterion	8.98%	8.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.22%	-1.08%
Expected Shortfall (cVaR)	-1.22%	-1.08%
Max Consecutive Wins	9	9
Max Consecutive Losses	10	10
Gain/Pain Ratio	0.19	0.22
Gain/Pain (1M)	0.72	0.78
Payoff Ratio	1.14	1.19
Profit Factor	1.19	1.22
Common Sense Ratio	1.39	1.5
CPC Index	0.7	0.73
Tail Ratio	1.17	1.24
Outlier Win Ratio	3.42	3.95
Outlier Loss Ratio	2.7	3.43
MTD	2.59%	1.19%
3M	0.3%	-0.26%
6M	12.56%	12.31%
YTD	19.75%	22.0%
1Y	31.97%	31.99%
3Y (ann.)	12.19%	11.78%
5Y (ann.)	12.19%	11.78%
10Y (ann.)	12.19%	11.78%
All-time (ann.)	12.19%	11.78%
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	19.75%	22.0%
Worst Year	0.73%	-1.72%
Avg. Drawdown	-3.36%	-2.51%
Avg. Drawdown Days	54	41
Recovery Factor	1.43	1.46
Ulcer Index	0.07	0.06
Serenity Index	0.14	0.14
Avg. Up Month	3.67%	3.38%
Avg. Down Month	-3.9%	-3.42%
Win Days	51.58%	50.48%
Win Month	66.67%	61.9%
Win Quarter	71.43%	71.43%
Win Year	100.0%	50.0%
Beta	1.05	-
Alpha	-0.0	-
Correlation	92.95%	-
Treynor Ratio	12.93%	-