SBSC[Strategy] vs RUB Inflation[Benchmark]

10 Oct, 2023 - 13 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-32.11%	25.3%
CAGR﹪	-12.73%	8.25%
Sharpe	-0.44	23.75
Prob. Sharpe Ratio	22.13%	100.0%
Smart Sharpe	-0.41	21.91
Sortino	-0.61	148.81
Smart Sortino	-0.56	137.26
Sortino/√2	-0.43	105.23
Smart Sortino/√2	-0.4	97.06
Omega	0.93	0.93
Max Drawdown	-53.06%	-0.4%
Longest DD Days	847	63
Volatility (ann.)	23.05%	0.32%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.24	20.63
Skew	0.08	0.6
Kurtosis	3.25	1.58
Expected Daily	-0.05%	0.03%
Expected Monthly	-1.1%	0.65%
Expected Yearly	-9.23%	5.8%
Kelly Criterion	5.34%	95.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.43%	-0.0%
Expected Shortfall (cVaR)	-2.43%	-0.0%
Max Consecutive Wins	10	460
Max Consecutive Losses	9	21
Gain/Pain Ratio	-0.07	56.28
Gain/Pain (1M)	-0.27	56.28
Payoff Ratio	1.16	1.7
Profit Factor	0.93	57.28
Common Sense Ratio	0.8	767.0
CPC Index	0.53	94.79
Tail Ratio	0.86	13.39
Outlier Win Ratio	1.84	60.18
Outlier Loss Ratio	1.81	101.75
MTD	3.46%	0.34%
3M	-8.13%	2.3%
6M	-14.98%	3.52%
YTD	-11.71%	5.56%
1Y	-21.54%	6.97%
3Y (ann.)	-12.73%	8.25%
5Y (ann.)	-12.73%	8.25%
10Y (ann.)	-12.73%	8.25%
All-time (ann.)	-12.73%	8.25%
Best Day	8.73%	0.09%
Worst Day	-5.88%	-0.02%
Best Month	13.07%	1.62%
Worst Month	-14.0%	-0.4%
Best Year	-4.17%	9.51%
Worst Year	-12.78%	2.64%
Avg. Drawdown	-10.05%	-0.4%
Avg. Drawdown Days	145	63
Recovery Factor	-0.61	63.24
Ulcer Index	0.28	0.0
Serenity Index	-0.03	83.35
Avg. Up Month	4.62%	0.72%
Avg. Down Month	-	-
Win Days	49.14%	97.22%
Win Month	48.57%	97.14%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	2.94	-
Alpha	-0.32	-
Correlation	4.03%	-
Treynor Ratio	-10.92%	-