SBMX[Strategy] vs RUB Inflation[Benchmark]

17 Sep, 2018 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	80.88%	62.79%
CAGR﹪	9.31%	7.6%
Sharpe	0.51	2.51
Prob. Sharpe Ratio	90.12%	99.84%
Smart Sharpe	0.5	2.42
Sortino	0.69	112.12
Smart Sortino	0.66	108.28
Sortino/√2	0.49	79.28
Smart Sortino/√2	0.47	76.57
Omega	1.1	1.1
Max Drawdown	-54.18%	-1.25%
Longest DD Days	1299	209
Volatility (ann.)	22.54%	2.97%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.17	6.05
Skew	-1.33	40.04
Kurtosis	14.88	1620.68
Expected Daily	0.04%	0.03%
Expected Monthly	0.73%	0.6%
Expected Yearly	7.69%	6.28%
Kelly Criterion	9.03%	88.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-0.28%
Expected Shortfall (cVaR)	-2.29%	-0.28%
Max Consecutive Wins	11	685
Max Consecutive Losses	16	65
Gain/Pain Ratio	0.1	27.64
Gain/Pain (1M)	0.49	27.64
Payoff Ratio	0.97	3.4
Profit Factor	1.1	28.64
Common Sense Ratio	1.07	156.38
CPC Index	0.59	88.52
Tail Ratio	0.97	5.46
Outlier Win Ratio	1.89	49.34
Outlier Loss Ratio	1.92	162.71
MTD	0.22%	0.19%
3M	-2.71%	2.06%
6M	7.3%	5.97%
YTD	1.99%	3.6%
1Y	-8.92%	10.51%
3Y (ann.)	17.28%	7.12%
5Y (ann.)	7.82%	8.8%
10Y (ann.)	9.31%	7.6%
All-time (ann.)	9.31%	7.6%
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%	-0.59%
Avg. Drawdown Days	38	132
Recovery Factor	1.49	50.04
Ulcer Index	0.22	0.0
Serenity Index	0.13	91.12
Avg. Up Month	4.43%	0.68%
Avg. Down Month	-2.44%	-0.22%
Win Days	55.18%	90.88%
Win Month	66.67%	91.36%
Win Quarter	67.86%	92.86%
Win Year	87.5%	100.0%
Beta	0.29	-
Alpha	0.09	-
Correlation	3.82%	-
Treynor Ratio	279.76%	-