SBRB RUB[Strategy] vs [Benchmark] RUCBTR3YNS RUB

18 Sep, 2019 - 31 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	96.0%
Cumulative Return	82.18%	78.44%
CAGR﹪	9.61%	9.26%
Sharpe	0.36	0.53
Prob. Sharpe Ratio	60.17%	96.7%
Smart Sharpe	0.26	0.39
Sortino	0.48	0.67
Smart Sortino	0.35	0.5
Sortino/√2	0.34	0.47
Smart Sortino/√2	0.25	0.35
Omega	1.1	1.1
Max Drawdown	-14.75%	-10.92%
Longest DD Days	193	226
Volatility (ann.)	7.62%	4.1%
R^2	0.35	0.35
Information Ratio	0.01	0.01
Calmar	0.65	0.85
Skew	-4.07	-5.47
Kurtosis	253.07	100.0
Expected Daily	0.04%	0.04%
Expected Monthly	0.76%	0.74%
Expected Yearly	7.79%	7.51%
Kelly Criterion	8.74%	26.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.75%	-0.39%
Expected Shortfall (cVaR)	-0.75%	-0.39%
Max Consecutive Wins	16	29
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.4	0.82
Gain/Pain (1M)	3.23	2.77
Payoff Ratio	0.87	0.95
Profit Factor	1.4	1.82
Common Sense Ratio	1.73	2.69
CPC Index	0.7	1.11
Tail Ratio	1.23	1.48
Outlier Win Ratio	3.51	6.55
Outlier Loss Ratio	2.8	5.07
MTD	1.84%	1.88%
3M	5.1%	4.4%
6M	10.23%	8.83%
YTD	5.1%	4.4%
1Y	23.08%	23.93%
3Y (ann.)	13.05%	12.23%
5Y (ann.)	10.51%	10.14%
10Y (ann.)	9.61%	9.26%
All-time (ann.)	9.61%	9.26%
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	26.32%	26.53%
Worst Year	1.48%	1.67%
Avg. Drawdown	-0.46%	-0.33%
Avg. Drawdown Days	10	11
Recovery Factor	5.57	7.18
Ulcer Index	0.01	0.01
Serenity Index	9.96	5.43
Avg. Up Month	1.49%	1.44%
Avg. Down Month	-1.2%	-1.27%
Win Days	57.47%	64.07%
Win Month	74.36%	74.68%
Win Quarter	85.19%	77.78%
Win Year	100.0%	100.0%
Beta	1.11	-
Alpha	-0.0	-
Correlation	59.41%	-
Treynor Ratio	68.02%	-