SBMX[Strategy] vs RUB Inflation[Benchmark]

17 Sep, 2018 - 15 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	71.6%	71.56%
CAGR﹪	7.22%	7.21%
Sharpe	0.43	2.55
Prob. Sharpe Ratio	87.94%	99.76%
Smart Sharpe	0.42	2.48
Sortino	0.57	101.49
Smart Sortino	0.56	98.89
Sortino/√2	0.41	71.76
Smart Sortino/√2	0.4	69.92
Omega	1.08	1.08
Max Drawdown	-54.18%	-1.25%
Longest DD Days	1698	209
Volatility (ann.)	21.91%	2.74%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.13	5.75
Skew	-1.21	43.4
Kurtosis	14.23	1908.73
Expected Daily	0.03%	0.03%
Expected Monthly	0.58%	0.58%
Expected Yearly	6.18%	6.18%
Kelly Criterion	8.69%	88.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.23%	-0.26%
Expected Shortfall (cVaR)	-2.23%	-0.26%
Max Consecutive Wins	11	742
Max Consecutive Losses	16	65
Gain/Pain Ratio	0.08	24.96
Gain/Pain (1M)	0.4	24.96
Payoff Ratio	1.0	2.9
Profit Factor	1.08	25.96
Common Sense Ratio	1.04	141.73
CPC Index	0.59	68.57
Tail Ratio	0.96	5.46
Outlier Win Ratio	1.91	52.78
Outlier Loss Ratio	1.94	148.3
MTD	-0.73%	0.09%
3M	-10.21%	0.74%
6M	-3.99%	3.57%
YTD	-5.38%	3.39%
1Y	-1.09%	5.32%
3Y (ann.)	2.15%	7.84%
5Y (ann.)	-1.94%	8.49%
10Y (ann.)	7.22%	7.21%
All-time (ann.)	7.22%	7.21%
Best Day	8.98%	7.61%
Worst Day	-14.14%	-0.02%
Best Month	15.26%	7.61%
Worst Month	-26.92%	-0.52%
Best Year	52.03%	11.92%
Worst Year	-38.96%	1.85%
Avg. Drawdown	-2.9%	-0.54%
Avg. Drawdown Days	44	114
Recovery Factor	1.32	57.03
Ulcer Index	0.21	0.0
Serenity Index	0.12	110.97
Avg. Up Month	4.47%	0.69%
Avg. Down Month	-2.44%	-0.22%
Win Days	54.29%	91.22%
Win Month	61.7%	91.49%
Win Quarter	65.62%	93.75%
Win Year	77.78%	100.0%
Beta	0.29	-
Alpha	0.07	-
Correlation	3.67%	-
Treynor Ratio	243.93%	-