SBRS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 22 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	40.3%	28.9%
CAGR﹪	6.95%	5.17%
Sharpe	0.9	18.59
Prob. Sharpe Ratio	94.29%	100.0%
Smart Sharpe	0.72	14.86
Sortino	1.42	160.89
Smart Sortino	1.13	128.61
Sortino/√2	1.0	113.76
Smart Sortino/√2	0.8	90.94
Omega	1.33	1.33
Max Drawdown	-13.87%	-0.4%
Longest DD Days	735	63
Volatility (ann.)	12.46%	0.42%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.5	12.92
Skew	1.32	5.12
Kurtosis	155.13	60.77
Expected Daily	0.04%	0.03%
Expected Monthly	0.85%	0.64%
Expected Yearly	5.81%	4.32%
Kelly Criterion	28.98%	95.97%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.25%	-0.01%
Expected Shortfall (cVaR)	-1.25%	-0.01%
Max Consecutive Wins	8	587
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.33	63.37
Gain/Pain (1M)	2.19	63.37
Payoff Ratio	1.89	1.74
Profit Factor	1.33	64.37
Common Sense Ratio	1.37	654.32
CPC Index	1.35	109.06
Tail Ratio	1.03	10.17
Outlier Win Ratio	2.0	19.56
Outlier Loss Ratio	1.5	24.2
MTD	-1.71%	0.14%
3M	-0.91%	0.64%
6M	2.85%	3.54%
YTD	2.4%	3.44%
1Y	11.91%	5.32%
3Y (ann.)	14.82%	7.79%
5Y (ann.)	7.1%	5.11%
10Y (ann.)	6.95%	5.17%
All-time (ann.)	6.95%	5.17%
Best Day	12.35%	0.36%
Worst Day	-12.19%	-0.02%
Best Month	7.85%	1.62%
Worst Month	-4.32%	-0.4%
Best Year	19.59%	9.51%
Worst Year	-2.54%	0.73%
Avg. Drawdown	-0.69%	-0.4%
Avg. Drawdown Days	18	63
Recovery Factor	2.91	72.26
Ulcer Index	0.03	0.0
Serenity Index	2.21	137.42
Avg. Up Month	1.8%	0.63%
Avg. Down Month	-	-
Win Days	53.57%	97.44%
Win Month	75.0%	97.5%
Win Quarter	73.33%	100.0%
Win Year	83.33%	100.0%
Beta	2.03	-
Alpha	-0.05	-
Correlation	6.84%	-
Treynor Ratio	19.83%	-