SBSC[Strategy] vs RUB Inflation[Benchmark]

10 Oct, 2023 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-12.98%	17.05%
CAGR﹪	-7.24%	8.88%
Sharpe	-0.18	31.2
Prob. Sharpe Ratio	40.37%	-
Smart Sharpe	-0.17	29.07
Sortino	-0.25	-
Smart Sortino	-0.23	-
Sortino/√2	-0.18	-
Smart Sortino/√2	-0.16	-
Omega	0.97	0.97
Max Drawdown	-39.78%	-
Longest DD Days	-	-
Volatility (ann.)	24.63%	0.27%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.18	-
Skew	0.17	0.31
Kurtosis	3.0	-0.83
Expected Daily	-0.03%	0.03%
Expected Monthly	-0.6%	0.69%
Expected Yearly	-4.53%	5.39%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.57%	-0.01%
Expected Shortfall (cVaR)	-2.57%	-0.01%
Max Consecutive Wins	10	471
Max Consecutive Losses	9	0
Gain/Pain Ratio	-0.03	-
Gain/Pain (1M)	-0.12	-
Payoff Ratio	-	-
Profit Factor	0.97	-
Common Sense Ratio	0.86	-
CPC Index	-	-
Tail Ratio	0.89	6.12
Outlier Win Ratio	1.76	58.44
Outlier Loss Ratio	1.75	-
MTD	9.18%	0.11%
3M	8.85%	0.8%
6M	-2.66%	2.45%
YTD	4.11%	4.13%
1Y	-3.26%	8.45%
3Y (ann.)	-7.24%	8.88%
5Y (ann.)	-7.24%	8.88%
10Y (ann.)	-7.24%	8.88%
All-time (ann.)	-7.24%	8.88%
Best Day	8.73%	0.07%
Worst Day	-5.58%	0.0%
Best Month	13.07%	1.43%
Worst Month	-14.0%	0.11%
Best Year	4.11%	9.51%
Worst Year	-12.78%	2.64%
Avg. Drawdown	-8.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.33	-
Ulcer Index	0.23	0.0
Serenity Index	-0.02	-
Avg. Up Month	5.15%	0.63%
Avg. Down Month	-	-
Win Days	50.32%	100.0%
Win Month	52.17%	100.0%
Win Quarter	37.5%	100.0%
Win Year	33.33%	100.0%
Beta	2.05	-
Alpha	-0.22	-
Correlation	2.24%	-
Treynor Ratio	-6.34%	-