SBMM[Strategy] vs RUB Inflation[Benchmark]

5 Oct, 2021 - 19 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	76.63%	43.2%
CAGR﹪	14.17%	8.72%
Sharpe	5.57	4.06
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.88	3.56
Sortino	8.99	96.69
Smart Sortino	7.87	84.63
Sortino/√2	6.36	68.37
Smart Sortino/√2	5.56	59.84
Omega	8.56	8.56
Max Drawdown	-2.86%	-1.25%
Longest DD Days	33	209
Volatility (ann.)	2.4%	2.08%
R^2	0.05	0.05
Information Ratio	0.11	0.11
Calmar	4.96	6.95
Skew	-0.05	18.09
Kurtosis	226.11	335.03
Expected Daily	0.05%	0.03%
Expected Monthly	1.1%	0.69%
Expected Yearly	9.95%	6.17%
Kelly Criterion	86.13%	87.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.18%
Expected Shortfall (cVaR)	-0.2%	-0.18%
Max Consecutive Wins	361	748
Max Consecutive Losses	3	65
Gain/Pain Ratio	7.56	21.64
Gain/Pain (1M)	-	21.64
Payoff Ratio	1.15	1.89
Profit Factor	8.56	22.64
Common Sense Ratio	81.43	78.67
CPC Index	9.11	39.27
Tail Ratio	9.51	3.47
Outlier Win Ratio	2.24	3.81
Outlier Loss Ratio	0.58	2.94
MTD	0.66%	0.13%
3M	4.17%	1.09%
6M	8.74%	1.54%
YTD	0.66%	0.13%
1Y	20.37%	5.09%
3Y (ann.)	16.42%	7.35%
5Y (ann.)	14.17%	8.72%
10Y (ann.)	14.17%	8.72%
All-time (ann.)	14.17%	8.72%
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	20.7%	11.92%
Worst Year	0.66%	0.13%
Avg. Drawdown	-0.11%	-0.83%
Avg. Drawdown Days	3	136
Recovery Factor	26.84	34.42
Ulcer Index	0.0	0.0
Serenity Index	436.32	28.97
Avg. Up Month	1.12%	0.79%
Avg. Down Month	-	-
Win Days	92.58%	91.97%
Win Month	100.0%	92.31%
Win Quarter	100.0%	94.44%
Win Year	100.0%	100.0%
Beta	0.27	-
Alpha	0.11	-
Correlation	23.42%	-
Treynor Ratio	283.37%	-