SBRB RUB[Strategy] vs [Benchmark] RUCBTRNS RUB

18 Sep, 2019 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	96.0%
Cumulative Return	84.55%	83.79%
CAGR﹪	9.36%	9.3%
Sharpe	0.31	0.49
Prob. Sharpe Ratio	59.01%	95.68%
Smart Sharpe	0.23	0.36
Sortino	0.42	0.61
Smart Sortino	0.31	0.45
Sortino/√2	0.3	0.43
Smart Sortino/√2	0.22	0.32
Omega	1.09	1.09
Max Drawdown	-14.75%	-12.71%
Longest DD Days	193	362
Volatility (ann.)	7.42%	4.25%
R^2	0.35	0.35
Information Ratio	0.0	0.0
Calmar	0.63	0.73
Skew	-4.14	-5.77
Kurtosis	265.09	105.67
Expected Daily	0.03%	0.03%
Expected Monthly	0.74%	0.74%
Expected Yearly	7.96%	7.9%
Kelly Criterion	9.69%	23.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.73%	-0.41%
Expected Shortfall (cVaR)	-0.73%	-0.41%
Max Consecutive Wins	16	23
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.39	0.78
Gain/Pain (1M)	3.04	2.31
Payoff Ratio	0.89	0.9
Profit Factor	1.39	1.78
Common Sense Ratio	1.67	2.69
CPC Index	0.71	1.03
Tail Ratio	1.2	1.51
Outlier Win Ratio	3.56	6.38
Outlier Loss Ratio	2.78	4.76
MTD	-0.83%	-0.42%
3M	0.17%	1.17%
6M	5.57%	6.36%
YTD	6.46%	7.13%
1Y	13.94%	13.85%
3Y (ann.)	12.96%	12.32%
5Y (ann.)	10.69%	9.97%
10Y (ann.)	9.36%	9.3%
All-time (ann.)	9.36%	9.3%
Best Day	8.83%	2.45%
Worst Day	-11.2%	-4.85%
Best Month	4.85%	6.71%
Worst Month	-6.05%	-6.91%
Best Year	26.32%	26.5%
Worst Year	1.48%	0.23%
Avg. Drawdown	-0.45%	-0.36%
Avg. Drawdown Days	9	11
Recovery Factor	5.73	6.59
Ulcer Index	0.01	0.02
Serenity Index	10.39	4.31
Avg. Up Month	1.47%	1.51%
Avg. Down Month	-1.16%	-1.44%
Win Days	57.43%	63.91%
Win Month	73.17%	74.7%
Win Quarter	82.76%	75.86%
Win Year	100.0%	100.0%
Beta	1.03	-
Alpha	-0.0	-
Correlation	59.01%	-
Treynor Ratio	75.39%	-