SBRS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 3 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	20.0%	21.6%
CAGR﹪	4.89%	5.25%
Sharpe	0.66	23.26
Prob. Sharpe Ratio	82.62%	100.0%
Smart Sharpe	0.53	18.46
Sortino	1.05	-
Smart Sortino	0.83	-
Sortino/√2	0.74	-
Smart Sortino/√2	0.59	-
Omega	1.24	1.24
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	15.51%	0.42%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	0.35	-
Skew	1.12	7.41
Kurtosis	104.43	90.4
Expected Daily	0.04%	0.04%
Expected Monthly	0.7%	0.76%
Expected Yearly	3.71%	3.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.57%	-0.0%
Expected Shortfall (cVaR)	-1.57%	-0.0%
Max Consecutive Wins	6	505
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.24	-
Gain/Pain (1M)	1.38	-
Payoff Ratio	-	-
Profit Factor	1.24	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.16	7.12
Outlier Win Ratio	3.21	33.7
Outlier Loss Ratio	1.29	-
MTD	0.63%	0.12%
3M	4.74%	3.04%
6M	11.88%	6.62%
YTD	4.74%	3.04%
1Y	5.33%	10.65%
3Y (ann.)	15.92%	10.65%
5Y (ann.)	4.89%	5.25%
10Y (ann.)	4.89%	5.25%
All-time (ann.)	4.89%	5.25%
Best Day	12.35%	0.36%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.43%
Worst Month	-4.32%	0.12%
Best Year	11.59%	9.51%
Worst Year	-2.54%	0.73%
Avg. Drawdown	-1.0%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.44	-
Ulcer Index	0.03	0.0
Serenity Index	0.86	-
Avg. Up Month	2.1%	0.72%
Avg. Down Month	-	-
Win Days	50.62%	100.0%
Win Month	65.38%	100.0%
Win Quarter	72.73%	100.0%
Win Year	80.0%	100.0%
Beta	3.27	-
Alpha	-0.22	-
Correlation	8.82%	-
Treynor Ratio	6.12%	-