SBRB RUB[Strategy] vs [Benchmark] RUCBTR3YNS RUB

18 Sep, 2019 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	96.0%
Cumulative Return	71.28%	69.11%
CAGR﹪	9.05%	8.82%
Sharpe	0.29	0.44
Prob. Sharpe Ratio	53.45%	94.66%
Smart Sharpe	0.21	0.32
Sortino	0.39	0.55
Smart Sortino	0.29	0.41
Sortino/√2	0.28	0.39
Smart Sortino/√2	0.2	0.29
Omega	1.08	1.08
Max Drawdown	-14.75%	-10.92%
Longest DD Days	193	226
Volatility (ann.)	7.82%	4.19%
R^2	0.35	0.35
Information Ratio	0.0	0.0
Calmar	0.61	0.81
Skew	-3.99	-5.39
Kurtosis	242.21	96.17
Expected Daily	0.03%	0.03%
Expected Monthly	0.71%	0.69%
Expected Yearly	7.99%	7.79%
Kelly Criterion	7.95%	24.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.77%	-0.4%
Expected Shortfall (cVaR)	-0.77%	-0.4%
Max Consecutive Wins	11	29
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.37	0.76
Gain/Pain (1M)	2.9	2.52
Payoff Ratio	0.89	0.96
Profit Factor	1.37	1.76
Common Sense Ratio	1.68	2.64
CPC Index	0.69	1.06
Tail Ratio	1.23	1.5
Outlier Win Ratio	3.5	6.57
Outlier Loss Ratio	2.86	5.23
MTD	0.24%	0.4%
3M	3.59%	2.91%
6M	11.01%	12.32%
YTD	24.81%	25.19%
1Y	30.58%	32.38%
3Y (ann.)	11.65%	11.18%
5Y (ann.)	9.25%	8.97%
10Y (ann.)	9.05%	8.82%
All-time (ann.)	9.05%	8.82%
Best Day	8.83%	2.37%
Worst Day	-11.2%	-4.52%
Best Month	4.85%	5.98%
Worst Month	-6.05%	-5.69%
Best Year	24.81%	25.19%
Worst Year	1.48%	1.67%
Avg. Drawdown	-0.48%	-0.34%
Avg. Drawdown Days	10	12
Recovery Factor	4.83	6.33
Ulcer Index	0.01	0.01
Serenity Index	8.25	4.56
Avg. Up Month	1.46%	1.42%
Avg. Down Month	-1.2%	-1.27%
Win Days	56.65%	63.06%
Win Month	73.33%	73.68%
Win Quarter	84.62%	76.92%
Win Year	100.0%	100.0%
Beta	1.11	-
Alpha	-0.0	-
Correlation	59.38%	-
Treynor Ratio	58.09%	-