SBLB[Strategy] vs RUB Inflation[Benchmark]

5 Apr, 2024 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	2.68%	7.59%
CAGR﹪	3.65%	10.43%
Sharpe	0.32	31.89
Prob. Sharpe Ratio	61.12%	-
Smart Sharpe	0.23	23.14
Sortino	0.54	-
Smart Sortino	0.39	-
Sortino/√2	0.38	-
Smart Sortino/√2	0.28	-
Omega	1.06	1.06
Max Drawdown	-14.73%	-
Longest DD Days	-	-
Volatility (ann.)	13.8%	0.3%
R^2	0.02	0.02
Information Ratio	-0.02	-0.02
Calmar	0.25	-
Skew	1.39	0.3
Kurtosis	5.26	-0.91
Expected Daily	0.01%	0.04%
Expected Monthly	0.29%	0.82%
Expected Yearly	2.68%	7.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.41%	-0.01%
Expected Shortfall (cVaR)	-1.41%	-0.01%
Max Consecutive Wins	6	190
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.22	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.31	-
CPC Index	-	-
Tail Ratio	1.23	7.45
Outlier Win Ratio	2.02	34.68
Outlier Loss Ratio	1.36	-
MTD	11.99%	1.5%
3M	10.49%	3.75%
6M	8.26%	5.62%
YTD	2.68%	7.59%
1Y	2.68%	7.59%
3Y (ann.)	3.65%	10.43%
5Y (ann.)	3.65%	10.43%
10Y (ann.)	3.65%	10.43%
All-time (ann.)	3.65%	10.43%
Best Day	4.91%	0.07%
Worst Day	-1.69%	0.0%
Best Month	11.99%	1.5%
Worst Month	-7.0%	0.2%
Best Year	2.68%	7.59%
Worst Year	2.68%	7.59%
Avg. Drawdown	-3.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.18	-
Ulcer Index	0.09	0.0
Serenity Index	0.02	-
Avg. Up Month	3.1%	0.79%
Avg. Down Month	-	-
Win Days	46.77%	100.0%
Win Month	66.67%	100.0%
Win Quarter	33.33%	100.0%
Win Year	100.0%	100.0%
Beta	6.33	-
Alpha	-0.57	-
Correlation	13.88%	-
Treynor Ratio	0.42%	-