SBSP[Strategy] vs RUB Inflation[Benchmark]

9 Apr, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	71.73%	17.61%
CAGR﹪	20.62%	5.78%
Sharpe	0.97	20.5
Prob. Sharpe Ratio	93.89%	100.0%
Smart Sharpe	0.76	16.21
Sortino	1.35	148.19
Smart Sortino	1.07	117.17
Sortino/√2	0.96	104.78
Smart Sortino/√2	0.76	82.85
Omega	1.23	1.23
Max Drawdown	-22.08%	-0.4%
Longest DD Days	108	120
Volatility (ann.)	21.83%	0.27%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.93	14.47
Skew	-1.36	0.17
Kurtosis	53.82	-0.39
Expected Daily	0.07%	0.02%
Expected Monthly	1.56%	0.46%
Expected Yearly	14.48%	4.14%
Kelly Criterion	13.67%	85.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.18%	-0.01%
Expected Shortfall (cVaR)	-2.18%	-0.01%
Max Consecutive Wins	11	357
Max Consecutive Losses	6	43
Gain/Pain Ratio	0.23	31.79
Gain/Pain (1M)	1.97	31.79
Payoff Ratio	1.07	4.02
Profit Factor	1.23	32.79
Common Sense Ratio	1.44	226.1
CPC Index	0.73	116.27
Tail Ratio	1.17	6.9
Outlier Win Ratio	2.05	63.21
Outlier Loss Ratio	1.71	236.16
MTD	-5.99%	1.17%
3M	-7.25%	3.2%
6M	-2.29%	5.82%
YTD	-9.67%	2.17%
1Y	12.89%	9.24%
3Y (ann.)	20.62%	5.78%
5Y (ann.)	20.62%	5.78%
10Y (ann.)	20.62%	5.78%
All-time (ann.)	20.62%	5.78%
Best Day	14.69%	0.06%
Worst Day	-17.35%	-0.01%
Best Month	10.45%	1.17%
Worst Month	-6.59%	-0.24%
Best Year	39.15%	8.39%
Worst Year	-9.67%	1.23%
Avg. Drawdown	-2.67%	-0.25%
Avg. Drawdown Days	18	93
Recovery Factor	3.25	44.07
Ulcer Index	0.03	0.0
Serenity Index	4.57	19.98
Avg. Up Month	3.69%	0.53%
Avg. Down Month	-1.21%	-0.16%
Win Days	55.45%	88.19%
Win Month	71.43%	88.57%
Win Quarter	83.33%	91.67%
Win Year	75.0%	100.0%
Beta	-0.76	-
Alpha	0.25	-
Correlation	-0.95%	-
Treynor Ratio	-94.4%	-