SBRI[Strategy] vs RUB Inflation[Benchmark]

24 Sep, 2020 - 6 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	8.4%	41.41%
CAGR﹪	2.06%	9.16%
Sharpe	0.21	4.11
Prob. Sharpe Ratio	65.63%	100.0%
Smart Sharpe	0.19	3.72
Sortino	0.26	109.68
Smart Sortino	0.24	99.19
Sortino/√2	0.18	77.56
Smart Sortino/√2	0.17	70.13
Omega	1.04	1.04
Max Drawdown	-46.65%	-1.25%
Longest DD Days	908	209
Volatility (ann.)	22.51%	2.17%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.04	7.3
Skew	-2.8	17.48
Kurtosis	32.02	310.94
Expected Daily	0.01%	0.04%
Expected Monthly	0.16%	0.71%
Expected Yearly	1.63%	7.18%
Kelly Criterion	2.57%	89.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.31%	-0.19%
Expected Shortfall (cVaR)	-2.31%	-0.19%
Max Consecutive Wins	11	514
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.04	26.35
Gain/Pain (1M)	0.19	26.35
Payoff Ratio	0.88	2.14
Profit Factor	1.04	27.35
Common Sense Ratio	0.98	86.13
CPC Index	0.5	54.48
Tail Ratio	0.94	3.15
Outlier Win Ratio	1.82	37.48
Outlier Loss Ratio	2.4	118.86
MTD	-1.67%	0.25%
3M	-20.29%	3.05%
6M	-20.32%	4.78%
YTD	-14.87%	6.46%
1Y	-21.83%	10.14%
3Y (ann.)	-8.34%	9.84%
5Y (ann.)	2.06%	9.16%
10Y (ann.)	2.06%	9.16%
All-time (ann.)	2.06%	9.16%
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	34.84%	11.92%
Worst Year	-28.61%	1.93%
Avg. Drawdown	-3.82%	-0.66%
Avg. Drawdown Days	45	110
Recovery Factor	0.18	33.0
Ulcer Index	0.21	0.0
Serenity Index	0.02	27.14
Avg. Up Month	3.99%	0.58%
Avg. Down Month	-1.4%	-0.37%
Win Days	54.38%	92.97%
Win Month	61.22%	91.84%
Win Quarter	58.82%	88.24%
Win Year	60.0%	100.0%
Beta	-0.88	-
Alpha	0.13	-
Correlation	-8.51%	-
Treynor Ratio	-9.49%	-