SBRB[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2019 - 29 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	67.92%	46.49%
CAGR﹪	8.79%	6.4%
Sharpe	1.12	20.06
Prob. Sharpe Ratio	98.62%	100.0%
Smart Sharpe	0.77	13.77
Sortino	1.54	83.68
Smart Sortino	1.06	57.47
Sortino/√2	1.09	59.17
Smart Sortino/√2	0.75	40.64
Omega	1.35	1.35
Max Drawdown	-14.75%	-1.25%
Longest DD Days	193	209
Volatility (ann.)	7.89%	0.31%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.6	5.1
Skew	-3.93	-0.08
Kurtosis	236.86	0.24
Expected Daily	0.03%	0.02%
Expected Monthly	0.71%	0.52%
Expected Yearly	7.69%	5.61%
Kelly Criterion	25.09%	86.34%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.78%	-0.01%
Expected Shortfall (cVaR)	-0.78%	-0.01%
Max Consecutive Wins	11	742
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.35	19.85
Gain/Pain (1M)	2.8	19.85
Payoff Ratio	1.38	2.27
Profit Factor	1.35	20.85
Common Sense Ratio	1.65	76.35
CPC Index	1.06	42.84
Tail Ratio	1.22	3.66
Outlier Win Ratio	2.16	17.39
Outlier Loss Ratio	1.94	34.51
MTD	1.4%	0.32%
3M	2.84%	0.34%
6M	10.93%	1.51%
YTD	21.55%	4.64%
1Y	26.54%	7.64%
3Y (ann.)	10.98%	7.68%
5Y (ann.)	8.76%	7.08%
10Y (ann.)	8.79%	6.4%
All-time (ann.)	8.79%	6.4%
Best Day	8.83%	0.07%
Worst Day	-11.2%	-0.02%
Best Month	4.85%	1.56%
Worst Month	-6.05%	-0.52%
Best Year	21.55%	9.51%
Worst Year	1.48%	0.62%
Avg. Drawdown	-0.49%	-0.48%
Avg. Drawdown Days	10	100
Recovery Factor	4.61	37.05
Ulcer Index	0.01	0.0
Serenity Index	9.26	6.74
Avg. Up Month	1.38%	0.58%
Avg. Down Month	-	-
Win Days	56.56%	90.52%
Win Month	72.6%	90.41%
Win Quarter	84.62%	92.31%
Win Year	100.0%	100.0%
Beta	-0.36	-
Alpha	0.11	-
Correlation	-1.41%	-
Treynor Ratio	-191.25%	-