SBLB[Strategy] vs RUB Inflation[Benchmark]

5 Apr, 2024 - 18 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	3.12%	10.79%
CAGR﹪	3.01%	10.4%
Sharpe	0.28	36.95
Prob. Sharpe Ratio	61.35%	-
Smart Sharpe	0.21	28.23
Sortino	0.46	-
Smart Sortino	0.35	-
Sortino/√2	0.33	-
Smart Sortino/√2	0.25	-
Omega	1.05	1.05
Max Drawdown	-14.73%	-
Longest DD Days	-	-
Volatility (ann.)	13.92%	0.26%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.2	-
Skew	1.37	0.19
Kurtosis	5.45	-0.69
Expected Daily	0.01%	0.04%
Expected Monthly	0.24%	0.79%
Expected Yearly	1.55%	5.26%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.43%	-0.01%
Expected Shortfall (cVaR)	-1.43%	-0.01%
Max Consecutive Wins	6	265
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.18	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.25	-
CPC Index	-	-
Tail Ratio	1.19	7.45
Outlier Win Ratio	2.07	34.92
Outlier Loss Ratio	1.38	-
MTD	-0.6%	0.43%
3M	5.22%	2.53%
6M	13.15%	6.36%
YTD	0.43%	3.16%
1Y	2.44%	10.56%
3Y (ann.)	3.01%	10.4%
5Y (ann.)	3.01%	10.4%
10Y (ann.)	3.01%	10.4%
All-time (ann.)	3.01%	10.4%
Best Day	4.91%	0.07%
Worst Day	-1.8%	0.0%
Best Month	11.99%	1.43%
Worst Month	-7.1%	0.2%
Best Year	2.68%	7.4%
Worst Year	0.43%	3.16%
Avg. Drawdown	-3.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.21	-
Ulcer Index	0.08	0.0
Serenity Index	0.02	-
Avg. Up Month	3.41%	0.75%
Avg. Down Month	-	-
Win Days	47.89%	100.0%
Win Month	61.54%	100.0%
Win Quarter	40.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.54	-
Alpha	-0.21	-
Correlation	4.79%	-
Treynor Ratio	1.23%	-