SBLB[Strategy] vs RUB Inflation[Benchmark]

5 Apr, 2024 - 26 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	22.09%	13.53%
CAGR﹪	12.26%	7.63%
Sharpe	0.99	23.57
Prob. Sharpe Ratio	91.28%	100.0%
Smart Sharpe	0.78	18.65
Sortino	1.64	109.44
Smart Sortino	1.3	86.6
Sortino/√2	1.16	77.39
Smart Sortino/√2	0.92	61.23
Omega	1.19	1.19
Max Drawdown	-14.73%	-0.4%
Longest DD Days	320	63
Volatility (ann.)	12.22%	0.31%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.83	19.07
Skew	1.17	0.04
Kurtosis	5.7	0.49
Expected Daily	0.05%	0.03%
Expected Monthly	0.96%	0.61%
Expected Yearly	10.5%	6.55%
Kelly Criterion	23.14%	92.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.22%	-0.0%
Expected Shortfall (cVaR)	-1.22%	-0.0%
Max Consecutive Wins	9	336
Max Consecutive Losses	10	21
Gain/Pain Ratio	0.19	31.67
Gain/Pain (1M)	0.79	31.67
Payoff Ratio	1.68	1.58
Profit Factor	1.19	32.67
Common Sense Ratio	1.36	219.91
CPC Index	1.03	49.15
Tail Ratio	1.14	6.73
Outlier Win Ratio	2.12	39.19
Outlier Loss Ratio	1.5	42.26
MTD	1.87%	0.42%
3M	5.5%	1.39%
6M	9.58%	1.89%
YTD	18.91%	5.71%
1Y	21.14%	5.96%
3Y (ann.)	12.26%	7.63%
5Y (ann.)	12.26%	7.63%
10Y (ann.)	12.26%	7.63%
All-time (ann.)	12.26%	7.63%
Best Day	4.91%	0.07%
Worst Day	-1.8%	-0.02%
Best Month	11.99%	1.43%
Worst Month	-7.1%	-0.4%
Best Year	18.91%	7.4%
Worst Year	2.68%	5.71%
Avg. Drawdown	-2.46%	-0.4%
Avg. Drawdown Days	38	63
Recovery Factor	1.5	33.82
Ulcer Index	0.07	0.0
Serenity Index	0.21	24.73
Avg. Up Month	3.38%	0.61%
Avg. Down Month	-	-
Win Days	51.83%	95.25%
Win Month	71.43%	95.24%
Win Quarter	71.43%	100.0%
Win Year	100.0%	100.0%
Beta	0.15	-
Alpha	0.11	-
Correlation	0.37%	-
Treynor Ratio	150.4%	-