SBRS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	37.97%	25.06%
CAGR﹪	7.12%	4.9%
Sharpe	0.92	19.31
Prob. Sharpe Ratio	93.52%	100.0%
Smart Sharpe	0.73	15.39
Sortino	1.45	151.3
Smart Sortino	1.16	120.58
Sortino/√2	1.03	106.98
Smart Sortino/√2	0.82	85.26
Omega	1.33	1.33
Max Drawdown	-13.87%	-0.4%
Longest DD Days	735	63
Volatility (ann.)	13.25%	0.41%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.51	12.24
Skew	1.24	6.15
Kurtosis	138.1	79.23
Expected Daily	0.04%	0.03%
Expected Monthly	0.9%	0.62%
Expected Yearly	5.51%	3.8%
Kelly Criterion	30.39%	95.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.32%	-0.01%
Expected Shortfall (cVaR)	-1.32%	-0.01%
Max Consecutive Wins	8	587
Max Consecutive Losses	7	21
Gain/Pain Ratio	0.33	55.81
Gain/Pain (1M)	2.3	55.81
Payoff Ratio	2.06	1.74
Profit Factor	1.33	56.81
Common Sense Ratio	1.44	475.62
CPC Index	1.46	95.84
Tail Ratio	1.08	8.37
Outlier Win Ratio	2.0	21.35
Outlier Loss Ratio	1.41	24.2
MTD	-0.14%	0.1%
3M	3.32%	0.99%
6M	5.44%	1.65%
YTD	0.69%	0.35%
1Y	21.69%	4.47%
3Y (ann.)	16.62%	7.63%
5Y (ann.)	7.12%	4.9%
10Y (ann.)	7.12%	4.9%
All-time (ann.)	7.12%	4.9%
Best Day	12.35%	0.36%
Worst Day	-12.19%	-0.02%
Best Month	7.85%	1.43%
Worst Month	-4.32%	-0.4%
Best Year	19.59%	9.51%
Worst Year	-2.54%	0.35%
Avg. Drawdown	-0.75%	-0.4%
Avg. Drawdown Days	20	63
Recovery Factor	2.74	62.64
Ulcer Index	0.03	0.0
Serenity Index	1.95	100.49
Avg. Up Month	1.95%	0.61%
Avg. Down Month	-	-
Win Days	53.16%	97.08%
Win Month	72.22%	97.22%
Win Quarter	78.57%	100.0%
Win Year	83.33%	100.0%
Beta	2.27	-
Alpha	-0.06	-
Correlation	6.93%	-
Treynor Ratio	16.75%	-