SBRI[Strategy] vs RUB Inflation[Benchmark]

24 Sep, 2020 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	28.0%	28.47%
CAGR﹪	8.59%	8.73%
Sharpe	0.47	3.43
Prob. Sharpe Ratio	78.07%	100.0%
Smart Sharpe	0.41	3.0
Sortino	0.59	91.57
Smart Sortino	0.52	80.13
Sortino/√2	0.42	64.75
Smart Sortino/√2	0.37	56.66
Omega	1.1	1.1
Max Drawdown	-46.65%	-1.25%
Longest DD Days	702	209
Volatility (ann.)	24.07%	2.5%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	0.18	6.96
Skew	-3.02	15.22
Kurtosis	32.42	234.39
Expected Daily	0.03%	0.03%
Expected Monthly	0.67%	0.68%
Expected Yearly	6.37%	6.46%
Kelly Criterion	8.07%	86.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-0.22%
Expected Shortfall (cVaR)	-2.45%	-0.22%
Max Consecutive Wins	10	399
Max Consecutive Losses	5	65
Gain/Pain Ratio	0.1	19.07
Gain/Pain (1M)	0.49	19.07
Payoff Ratio	0.94	2.19
Profit Factor	1.1	20.07
Common Sense Ratio	1.12	69.74
CPC Index	0.57	39.94
Tail Ratio	1.02	3.47
Outlier Win Ratio	1.75	37.73
Outlier Loss Ratio	2.39	124.29
MTD	-5.49%	0.19%
3M	7.11%	1.23%
6M	26.56%	2.32%
YTD	35.54%	3.9%
1Y	44.89%	5.3%
3Y (ann.)	9.02%	8.88%
5Y (ann.)	8.59%	8.73%
10Y (ann.)	8.59%	8.73%
All-time (ann.)	8.59%	8.73%
Best Day	8.06%	2.47%
Worst Day	-17.25%	-0.02%
Best Month	17.87%	7.61%
Worst Month	-20.75%	-0.52%
Best Year	35.54%	11.92%
Worst Year	-28.61%	1.93%
Avg. Drawdown	-2.95%	-0.66%
Avg. Drawdown Days	36	110
Recovery Factor	0.6	22.69
Ulcer Index	0.23	0.0
Serenity Index	0.04	16.02
Avg. Up Month	4.04%	0.57%
Avg. Down Month	-1.4%	-0.37%
Win Days	55.57%	90.65%
Win Month	70.27%	89.19%
Win Quarter	69.23%	84.62%
Win Year	75.0%	100.0%
Beta	-0.85	-
Alpha	0.19	-
Correlation	-8.85%	-
Treynor Ratio	-32.83%	-