SBMM[Strategy] vs RUB Inflation[Benchmark]

5 Oct, 2021 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	58.31%	40.34%
CAGR﹪	13.37%	9.7%
Sharpe	4.91	4.17
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.29	3.65
Sortino	7.87	113.07
Smart Sortino	6.88	98.84
Sortino/√2	5.56	79.95
Smart Sortino/√2	4.86	69.89
Omega	7.11	7.11
Max Drawdown	-2.86%	-1.25%
Longest DD Days	33	209
Volatility (ann.)	2.59%	2.25%
R^2	0.06	0.06
Information Ratio	0.07	0.07
Calmar	4.68	7.73
Skew	-0.01	16.77
Kurtosis	197.46	286.84
Expected Daily	0.05%	0.04%
Expected Monthly	1.03%	0.76%
Expected Yearly	9.62%	7.01%
Kelly Criterion	83.58%	89.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.22%	-0.2%
Expected Shortfall (cVaR)	-0.22%	-0.2%
Max Consecutive Wins	361	706
Max Consecutive Losses	3	65
Gain/Pain Ratio	6.11	26.92
Gain/Pain (1M)	-	26.92
Payoff Ratio	1.14	2.06
Profit Factor	7.11	27.92
Common Sense Ratio	62.94	108.1
CPC Index	7.41	53.49
Tail Ratio	8.85	3.87
Outlier Win Ratio	2.34	3.61
Outlier Loss Ratio	0.66	3.35
MTD	0.05%	0.02%
3M	5.4%	1.55%
6M	10.84%	5.0%
YTD	8.89%	3.63%
1Y	20.88%	9.96%
3Y (ann.)	13.88%	7.21%
5Y (ann.)	13.37%	9.7%
10Y (ann.)	13.37%	9.7%
All-time (ann.)	13.37%	9.7%
Best Day	2.57%	2.47%
Worst Day	-2.86%	-0.02%
Best Month	2.16%	7.61%
Worst Month	0.05%	-0.52%
Best Year	18.25%	11.92%
Worst Year	1.71%	2.86%
Avg. Drawdown	-0.11%	-1.25%
Avg. Drawdown Days	3	209
Recovery Factor	20.42	32.15
Ulcer Index	0.0	0.0
Serenity Index	302.75	25.44
Avg. Up Month	1.05%	0.85%
Avg. Down Month	-	-
Win Days	91.24%	92.87%
Win Month	100.0%	93.33%
Win Quarter	100.0%	93.33%
Win Year	100.0%	100.0%
Beta	0.28	-
Alpha	0.1	-
Correlation	23.95%	-
Treynor Ratio	211.6%	-