SBMX[Strategy] vs RUB Inflation[Benchmark]

17 Sep, 2018 - 20 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	56.51%	53.59%
CAGR﹪	7.52%	7.19%
Sharpe	0.45	2.29
Prob. Sharpe Ratio	85.84%	99.91%
Smart Sharpe	0.43	2.24
Sortino	0.58	102.53
Smart Sortino	0.57	99.97
Sortino/√2	0.41	72.5
Smart Sortino/√2	0.4	70.69
Omega	1.09	1.09
Max Drawdown	-54.18%	-1.25%
Longest DD Days	1126	209
Volatility (ann.)	21.96%	3.08%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.14	5.73
Skew	-1.77	38.69
Kurtosis	16.62	1510.49
Expected Daily	0.03%	0.03%
Expected Monthly	0.6%	0.57%
Expected Yearly	6.61%	6.32%
Kelly Criterion	7.48%	87.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.24%	-0.29%
Expected Shortfall (cVaR)	-2.24%	-0.29%
Max Consecutive Wins	11	567
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.09	24.36
Gain/Pain (1M)	0.41	24.36
Payoff Ratio	0.92	3.29
Profit Factor	1.09	25.36
Common Sense Ratio	1.03	116.72
CPC Index	0.56	75.34
Tail Ratio	0.95	4.6
Outlier Win Ratio	1.95	50.3
Outlier Loss Ratio	2.09	174.0
MTD	1.17%	0.46%
3M	-6.07%	1.78%
6M	-22.45%	4.08%
YTD	-10.82%	7.05%
1Y	-12.72%	8.32%
3Y (ann.)	-5.59%	9.15%
5Y (ann.)	2.87%	8.07%
10Y (ann.)	7.52%	7.19%
All-time (ann.)	7.52%	7.19%
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	52.03%	11.92%
Worst Year	-38.96%	1.85%
Avg. Drawdown	-2.9%	-0.59%
Avg. Drawdown Days	35	132
Recovery Factor	1.04	42.71
Ulcer Index	0.22	0.0
Serenity Index	0.08	74.68
Avg. Up Month	4.28%	0.64%
Avg. Down Month	-2.44%	-0.22%
Win Days	55.64%	90.18%
Win Month	66.67%	90.67%
Win Quarter	65.38%	92.31%
Win Year	71.43%	100.0%
Beta	0.28	-
Alpha	0.08	-
Correlation	3.94%	-
Treynor Ratio	201.47%	-