SBPS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-70.71%	24.8%
CAGR﹪	-23.6%	4.98%
Sharpe	-0.65	19.69
Prob. Sharpe Ratio	6.03%	100.0%
Smart Sharpe	-0.46	13.84
Sortino	-0.67	152.46
Smart Sortino	-0.47	107.21
Sortino/√2	-0.47	107.81
Smart Sortino/√2	-0.33	75.81
Omega	0.75	0.75
Max Drawdown	-79.84%	-0.4%
Longest DD Days	1539	63
Volatility (ann.)	45.09%	0.41%
R^2	0.41	0.41
Information Ratio	-0.05	-0.05
Calmar	-0.3	12.44
Skew	-15.65	6.19
Kurtosis	284.44	79.52
Expected Daily	-0.18%	0.03%
Expected Monthly	-3.55%	0.65%
Expected Yearly	-21.78%	4.53%
Kelly Criterion	20.77%	95.23%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.79%	-0.01%
Expected Shortfall (cVaR)	-4.79%	-0.01%
Max Consecutive Wins	8	587
Max Consecutive Losses	8	21
Gain/Pain Ratio	-0.25	55.29
Gain/Pain (1M)	-0.6	55.29
Payoff Ratio	1.53	1.73
Profit Factor	0.75	56.29
Common Sense Ratio	0.73	471.29
CPC Index	0.59	94.44
Tail Ratio	0.98	8.37
Outlier Win Ratio	2.02	36.79
Outlier Loss Ratio	1.06	57.32
MTD	4.61%	0.46%
3M	7.27%	1.4%
6M	9.67%	1.91%
YTD	14.34%	5.75%
1Y	16.37%	5.81%
3Y (ann.)	-47.11%	7.97%
5Y (ann.)	-23.6%	4.98%
10Y (ann.)	-23.6%	4.98%
All-time (ann.)	-23.6%	4.98%
Best Day	9.28%	0.36%
Worst Day	-55.92%	-0.02%
Best Month	10.02%	1.43%
Worst Month	-74.58%	-0.4%
Best Year	14.34%	9.51%
Worst Year	-74.58%	0.73%
Avg. Drawdown	-6.97%	-0.4%
Avg. Drawdown Days	126	63
Recovery Factor	-0.89	62.0
Ulcer Index	0.66	0.0
Serenity Index	-0.03	96.53
Avg. Up Month	2.91%	0.69%
Avg. Down Month	-	-
Win Days	52.1%	96.98%
Win Month	52.94%	97.06%
Win Quarter	46.15%	100.0%
Win Year	40.0%	100.0%
Beta	-71.11	-
Alpha	5.41	-
Correlation	-64.28%	-
Treynor Ratio	0.99%	-