SPBC[Strategy] vs RUB Inflation[Benchmark]

7 Jul, 2021 - 9 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	13.07%	19.05%
CAGR﹪	4.55%	6.53%
Sharpe	0.48	17.62
Prob. Sharpe Ratio	75.94%	100.0%
Smart Sharpe	0.38	13.92
Sortino	0.65	65.14
Smart Sortino	0.52	51.46
Sortino/√2	0.46	46.06
Smart Sortino/√2	0.37	36.39
Omega	1.1	1.1
Max Drawdown	-14.73%	-1.25%
Longest DD Days	287	210
Volatility (ann.)	13.23%	0.44%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.31	5.2
Skew	-1.38	0.12
Kurtosis	15.67	0.87
Expected Daily	0.02%	0.03%
Expected Monthly	0.37%	0.53%
Expected Yearly	3.12%	4.46%
Kelly Criterion	17.78%	83.97%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.35%	-0.01%
Expected Shortfall (cVaR)	-1.35%	-0.01%
Max Consecutive Wins	11	331
Max Consecutive Losses	6	53
Gain/Pain Ratio	0.1	13.82
Gain/Pain (1M)	0.46	13.82
Payoff Ratio	1.22	1.43
Profit Factor	1.1	14.82
Common Sense Ratio	1.14	46.89
CPC Index	0.74	19.18
Tail Ratio	1.03	3.16
Outlier Win Ratio	2.36	29.32
Outlier Loss Ratio	1.65	41.1
MTD	-3.82%	0.5%
3M	-2.58%	2.29%
6M	0.98%	4.96%
YTD	-2.99%	2.45%
1Y	0.09%	8.13%
3Y (ann.)	4.55%	6.53%
5Y (ann.)	4.55%	6.53%
10Y (ann.)	4.55%	6.53%
All-time (ann.)	4.55%	6.53%
Best Day	4.07%	0.11%
Worst Day	-7.71%	-0.03%
Best Month	10.12%	1.56%
Worst Month	-11.7%	-0.52%
Best Year	11.65%	7.42%
Worst Year	-2.99%	2.45%
Avg. Drawdown	-1.21%	-1.25%
Avg. Drawdown Days	16	210
Recovery Factor	0.89	15.19
Ulcer Index	0.03	0.0
Serenity Index	0.65	1.96
Avg. Up Month	1.89%	0.54%
Avg. Down Month	-	-
Win Days	54.88%	90.57%
Win Month	63.64%	90.91%
Win Quarter	58.33%	91.67%
Win Year	75.0%	100.0%
Beta	-1.45	-
Alpha	0.18	-
Correlation	-4.86%	-
Treynor Ratio	-9.01%	-