SBMM[Strategy] vs RUB Inflation[Benchmark]

5 Oct, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	69.56%	41.53%
CAGR﹪	13.98%	8.99%
Sharpe	5.34	4.05
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.68	3.55
Sortino	8.59	96.34
Smart Sortino	7.52	84.32
Sortino/√2	6.08	68.12
Smart Sortino/√2	5.32	59.62
Omega	8.02	8.02
Max Drawdown	-2.86%	-1.25%
Longest DD Days	33	209
Volatility (ann.)	2.47%	2.14%
R^2	0.06	0.06
Information Ratio	0.1	0.1
Calmar	4.9	7.16
Skew	-0.04	17.57
Kurtosis	215.37	315.92
Expected Daily	0.05%	0.03%
Expected Monthly	1.08%	0.71%
Expected Yearly	11.14%	7.19%
Kelly Criterion	85.26%	87.12%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.19%
Expected Shortfall (cVaR)	-0.2%	-0.19%
Max Consecutive Wins	361	748
Max Consecutive Losses	3	65
Gain/Pain Ratio	7.02	20.94
Gain/Pain (1M)	-	20.94
Payoff Ratio	1.15	1.95
Profit Factor	8.02	21.94
Common Sense Ratio	73.77	76.23
CPC Index	8.49	39.16
Tail Ratio	9.2	3.47
Outlier Win Ratio	2.21	3.63
Outlier Loss Ratio	0.58	2.95
MTD	0.86%	0.2%
3M	4.6%	0.41%
6M	9.96%	1.53%
YTD	16.63%	4.51%
1Y	21.78%	7.79%
3Y (ann.)	15.49%	7.69%
5Y (ann.)	13.98%	8.99%
10Y (ann.)	13.98%	8.99%
All-time (ann.)	13.98%	8.99%
Best Day	2.57%	2.47%
Worst Day	-2.86%	-0.02%
Best Month	2.16%	7.61%
Worst Month	0.16%	-0.52%
Best Year	18.25%	11.92%
Worst Year	1.71%	2.86%
Avg. Drawdown	-0.11%	-0.83%
Avg. Drawdown Days	3	138
Recovery Factor	24.36	33.1
Ulcer Index	0.0	0.0
Serenity Index	382.89	26.98
Avg. Up Month	1.1%	0.82%
Avg. Down Month	-	-
Win Days	92.12%	91.49%
Win Month	100.0%	91.84%
Win Quarter	100.0%	94.12%
Win Year	100.0%	100.0%
Beta	0.27	-
Alpha	0.11	-
Correlation	23.55%	-
Treynor Ratio	256.3%	-