SBRI[Strategy] vs RUB Inflation[Benchmark]

24 Sep, 2020 - 14 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	9.74%	51.62%
CAGR﹪	1.95%	9.05%
Sharpe	0.2	4.46
Prob. Sharpe Ratio	66.91%	100.0%
Smart Sharpe	0.19	4.23
Sortino	0.27	119.3
Smart Sortino	0.25	113.07
Sortino/√2	0.19	84.36
Smart Sortino/√2	0.18	79.95
Omega	1.04	1.04
Max Drawdown	-46.65%	-1.25%
Longest DD Days	908	209
Volatility (ann.)	23.55%	1.97%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.04	7.21
Skew	-1.75	19.19
Kurtosis	23.17	376.33
Expected Daily	0.01%	0.03%
Expected Monthly	0.16%	0.71%
Expected Yearly	1.56%	7.18%
Kelly Criterion	6.49%	91.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.42%	-0.17%
Expected Shortfall (cVaR)	-2.42%	-0.17%
Max Consecutive Wins	11	729
Max Consecutive Losses	14	65
Gain/Pain Ratio	0.04	31.64
Gain/Pain (1M)	0.17	31.64
Payoff Ratio	0.99	2.1
Profit Factor	1.04	32.64
Common Sense Ratio	0.91	126.38
CPC Index	0.55	64.58
Tail Ratio	0.88	3.87
Outlier Win Ratio	1.84	43.96
Outlier Loss Ratio	1.91	102.29
MTD	-6.03%	0.21%
3M	-6.72%	1.32%
6M	-9.83%	3.85%
YTD	-8.47%	4.24%
1Y	-13.41%	9.36%
3Y (ann.)	6.5%	7.64%
5Y (ann.)	1.95%	9.05%
10Y (ann.)	1.95%	9.05%
All-time (ann.)	1.95%	9.05%
Best Day	9.46%	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	-3.97%	-0.66%
Avg. Drawdown Days	55	110
Recovery Factor	0.21	41.14
Ulcer Index	0.21	0.0
Serenity Index	0.02	37.72
Avg. Up Month	4.39%	0.64%
Avg. Down Month	-1.4%	-0.37%
Win Days	53.42%	94.24%
Win Month	61.02%	93.22%
Win Quarter	57.14%	90.48%
Win Year	50.0%	100.0%
Beta	-0.81	-
Alpha	0.12	-
Correlation	-6.8%	-
Treynor Ratio	-11.95%	-