SPBF[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	90.0%	100.0%
Cumulative Return	21.85%	28.12%
CAGR﹪	7.42%	9.4%
Sharpe	0.43	3.85
Prob. Sharpe Ratio	74.55%	100.0%
Smart Sharpe	0.26	2.34
Sortino	0.67	95.45
Smart Sortino	0.41	57.98
Sortino/√2	0.48	67.49
Smart Sortino/√2	0.29	41.0
Omega	1.2	1.2
Max Drawdown	-33.93%	-1.25%
Longest DD Days	278	210
Volatility (ann.)	32.43%	2.82%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.22	7.49
Skew	2.68	13.39
Kurtosis	165.13	181.65
Expected Daily	0.03%	0.04%
Expected Monthly	0.58%	0.73%
Expected Yearly	5.06%	6.39%
Kelly Criterion	33.9%	86.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.31%	-0.25%
Expected Shortfall (cVaR)	-3.31%	-0.25%
Max Consecutive Wins	7	321
Max Consecutive Losses	5	56
Gain/Pain Ratio	0.2	19.7
Gain/Pain (1M)	1.91	19.7
Payoff Ratio	2.48	2.71
Profit Factor	1.2	20.7
Common Sense Ratio	1.3	71.74
CPC Index	1.57	50.62
Tail Ratio	1.09	3.47
Outlier Win Ratio	1.9	21.71
Outlier Loss Ratio	1.54	44.87
MTD	7.19%	0.5%
3M	9.01%	2.28%
6M	11.5%	5.05%
YTD	8.82%	2.45%
1Y	10.89%	8.14%
3Y (ann.)	7.42%	9.4%
5Y (ann.)	7.42%	9.4%
10Y (ann.)	7.42%	9.4%
All-time (ann.)	7.42%	9.4%
Best Day	31.45%	2.47%
Worst Day	-27.99%	-0.03%
Best Month	7.19%	7.61%
Worst Month	-8.07%	-0.52%
Best Year	11.16%	11.92%
Worst Year	-0.79%	2.45%
Avg. Drawdown	-2.15%	-1.25%
Avg. Drawdown Days	24	210
Recovery Factor	0.64	22.41
Ulcer Index	0.03	0.0
Serenity Index	2.32	18.87
Avg. Up Month	1.78%	0.9%
Avg. Down Month	-0.51%	-0.52%
Win Days	52.91%	90.29%
Win Month	70.59%	91.18%
Win Quarter	58.33%	91.67%
Win Year	75.0%	100.0%
Beta	0.69	-
Alpha	0.06	-
Correlation	6.01%	-
Treynor Ratio	31.61%	-