SBLB[Strategy] vs RUB Inflation[Benchmark]

5 Apr, 2024 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	21.83%	13.63%
CAGR﹪	11.58%	7.34%
Sharpe	0.96	22.96
Prob. Sharpe Ratio	90.9%	100.0%
Smart Sharpe	0.76	18.3
Sortino	1.58	108.39
Smart Sortino	1.26	86.4
Sortino/√2	1.11	76.64
Smart Sortino/√2	0.89	61.09
Omega	1.18	1.18
Max Drawdown	-14.73%	-0.4%
Longest DD Days	320	63
Volatility (ann.)	12.1%	0.31%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.79	18.36
Skew	1.16	0.12
Kurtosis	5.79	0.41
Expected Daily	0.04%	0.03%
Expected Monthly	0.9%	0.58%
Expected Yearly	6.8%	4.35%
Kelly Criterion	23.0%	92.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-0.0%
Expected Shortfall (cVaR)	-1.21%	-0.0%
Max Consecutive Wins	9	336
Max Consecutive Losses	10	21
Gain/Pain Ratio	0.18	31.89
Gain/Pain (1M)	0.76	31.89
Payoff Ratio	1.65	1.53
Profit Factor	1.18	32.89
Common Sense Ratio	1.3	221.41
CPC Index	1.01	47.97
Tail Ratio	1.1	6.73
Outlier Win Ratio	2.09	39.14
Outlier Loss Ratio	1.5	42.11
MTD	-0.8%	0.19%
3M	3.79%	1.09%
6M	3.76%	1.55%
YTD	-0.8%	0.19%
1Y	24.36%	4.96%
3Y (ann.)	11.58%	7.34%
5Y (ann.)	11.58%	7.34%
10Y (ann.)	11.58%	7.34%
All-time (ann.)	11.58%	7.34%
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	19.62%	7.4%
Worst Year	-0.8%	0.19%
Avg. Drawdown	-2.48%	-0.4%
Avg. Drawdown Days	40	63
Recovery Factor	1.48	34.07
Ulcer Index	0.07	0.0
Serenity Index	0.22	25.79
Avg. Up Month	3.42%	0.6%
Avg. Down Month	-	-
Win Days	52.11%	95.4%
Win Month	68.18%	95.45%
Win Quarter	62.5%	100.0%
Win Year	66.67%	100.0%
Beta	0.18	-
Alpha	0.1	-
Correlation	0.45%	-
Treynor Ratio	121.52%	-