SBMX[Strategy] vs RUB Inflation[Benchmark]

17 Sep, 2018 - 2 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	20.66%	34.66%
CAGR﹪	4.38%	7.03%
Sharpe	0.31	1.9
Prob. Sharpe Ratio	73.22%	100.0%
Smart Sharpe	0.3	1.9
Sortino	0.39	85.09
Smart Sortino	0.39	84.8
Sortino/√2	0.28	60.17
Smart Sortino/√2	0.28	59.96
Omega	1.06	1.06
Max Drawdown	-54.18%	-1.25%
Longest DD Days	469	209
Volatility (ann.)	23.98%	3.68%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.08	5.6
Skew	-1.89	32.49
Kurtosis	16.24	1063.74
Expected Daily	0.02%	0.03%
Expected Monthly	0.35%	0.55%
Expected Yearly	3.18%	5.09%
Kelly Criterion	9.26%	82.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.46%	-0.35%
Expected Shortfall (cVaR)	-2.46%	-0.35%
Max Consecutive Wins	9	393
Max Consecutive Losses	7	65
Gain/Pain Ratio	0.06	16.94
Gain/Pain (1M)	0.28	16.94
Payoff Ratio	1.01	3.68
Profit Factor	1.06	17.94
Common Sense Ratio	1.05	56.51
CPC Index	0.58	56.73
Tail Ratio	0.99	3.15
Outlier Win Ratio	1.84	48.56
Outlier Loss Ratio	2.38	210.04
MTD	0.86%	0.07%
3M	6.17%	1.96%
6M	9.42%	1.7%
YTD	4.52%	0.82%
1Y	-32.51%	11.66%
3Y (ann.)	-1.47%	8.63%
5Y (ann.)	4.38%	7.03%
10Y (ann.)	4.38%	7.03%
All-time (ann.)	4.38%	7.03%
Best Day	7.45%	7.61%
Worst Day	-14.14%	-0.02%
Best Month	15.26%	7.61%
Worst Month	-26.92%	-0.52%
Best Year	37.44%	11.92%
Worst Year	-38.96%	0.82%
Avg. Drawdown	-2.9%	-0.59%
Avg. Drawdown Days	24	132
Recovery Factor	0.38	27.62
Ulcer Index	0.22	0.0
Serenity Index	0.03	39.95
Avg. Up Month	3.99%	0.69%
Avg. Down Month	-2.44%	-0.22%
Win Days	54.36%	86.01%
Win Month	68.52%	87.04%
Win Quarter	68.42%	89.47%
Win Year	83.33%	100.0%
Beta	0.29	-
Alpha	0.05	-
Correlation	4.41%	-
Treynor Ratio	71.94%	-