SBRS[Strategy] vs RUB Inflation[Benchmark]

9 Jun, 2021 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	6.81%	13.7%
CAGR﹪	2.0%	3.93%
Sharpe	0.34	18.41
Prob. Sharpe Ratio	66.37%	100.0%
Smart Sharpe	0.26	13.91
Sortino	0.53	-
Smart Sortino	0.4	-
Sortino/√2	0.37	-
Smart Sortino/√2	0.28	-
Omega	1.14	1.14
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	16.88%	0.46%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.14	-
Skew	1.09	7.72
Kurtosis	98.82	86.59
Expected Daily	0.02%	0.03%
Expected Monthly	0.33%	0.64%
Expected Yearly	1.66%	3.26%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-0.01%
Expected Shortfall (cVaR)	-1.73%	-0.01%
Max Consecutive Wins	6	380
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.14	-
Gain/Pain (1M)	0.82	-
Payoff Ratio	-	-
Profit Factor	1.14	-
Common Sense Ratio	1.2	-
CPC Index	-	-
Tail Ratio	1.06	8.37
Outlier Win Ratio	1.98	21.98
Outlier Loss Ratio	1.51	-
MTD	-1.33%	0.05%
3M	-2.59%	1.33%
6M	-6.37%	3.39%
YTD	4.02%	5.51%
1Y	7.31%	6.28%
3Y (ann.)	1.46%	3.43%
5Y (ann.)	2.0%	3.93%
10Y (ann.)	2.0%	3.93%
All-time (ann.)	2.0%	3.93%
Best Day	12.35%	0.36%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.17%
Worst Month	-3.83%	0.05%
Best Year	4.02%	5.51%
Worst Year	-2.54%	0.73%
Avg. Drawdown	-0.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.49	-
Ulcer Index	0.03	0.0
Serenity Index	0.51	-
Avg. Up Month	1.6%	0.61%
Avg. Down Month	-	-
Win Days	49.04%	100.0%
Win Month	60.0%	100.0%
Win Quarter	55.56%	100.0%
Win Year	75.0%	100.0%
Beta	3.05	-
Alpha	-0.2	-
Correlation	8.34%	-
Treynor Ratio	2.23%	-