SBRS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	31.99%	22.88%
CAGR﹪	6.86%	5.05%
Sharpe	0.88	21.08
Prob. Sharpe Ratio	91.03%	100.0%
Smart Sharpe	0.7	16.82
Sortino	1.4	-
Smart Sortino	1.11	-
Sortino/√2	0.99	-
Smart Sortino/√2	0.79	-
Omega	1.32	1.32
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	14.39%	0.41%
R^2	0.01	0.01
Information Ratio	0.02	0.02
Calmar	0.49	-
Skew	1.16	6.95
Kurtosis	118.96	86.22
Expected Daily	0.05%	0.03%
Expected Monthly	0.93%	0.69%
Expected Yearly	5.71%	4.21%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.44%	-0.01%
Expected Shortfall (cVaR)	-1.44%	-0.01%
Max Consecutive Wins	8	598
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.32	-
Gain/Pain (1M)	2.03	-
Payoff Ratio	-	-
Profit Factor	1.32	-
Common Sense Ratio	1.53	-
CPC Index	-	-
Tail Ratio	1.16	7.12
Outlier Win Ratio	3.4	37.63
Outlier Loss Ratio	1.34	-
MTD	2.0%	0.11%
3M	8.64%	0.8%
6M	12.42%	2.45%
YTD	15.2%	4.13%
1Y	19.03%	8.45%
3Y (ann.)	18.87%	8.86%
5Y (ann.)	6.86%	5.05%
10Y (ann.)	6.86%	5.05%
All-time (ann.)	6.86%	5.05%
Best Day	12.35%	0.36%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.43%
Worst Month	-4.32%	0.11%
Best Year	15.2%	9.51%
Worst Year	-2.54%	0.73%
Avg. Drawdown	-0.83%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.31	-
Ulcer Index	0.03	0.0
Serenity Index	1.5	-
Avg. Up Month	2.16%	0.63%
Avg. Down Month	-	-
Win Days	52.62%	100.0%
Win Month	70.0%	100.0%
Win Quarter	75.0%	100.0%
Win Year	80.0%	100.0%
Beta	2.52	-
Alpha	-0.09	-
Correlation	7.19%	-
Treynor Ratio	12.71%	-