SBGB[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2019 - 17 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	16.71%	44.39%
CAGR﹪	2.95%	7.16%
Sharpe	0.29	3.73
Prob. Sharpe Ratio	74.92%	100.0%
Smart Sharpe	0.18	2.25
Sortino	0.42	94.44
Smart Sortino	0.25	56.93
Sortino/√2	0.3	66.78
Smart Sortino/√2	0.18	40.25
Omega	1.1	1.1
Max Drawdown	-27.13%	-1.25%
Longest DD Days	1255	209
Volatility (ann.)	13.08%	1.89%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.11	5.71
Skew	2.17	19.92
Kurtosis	241.46	408.34
Expected Daily	0.01%	0.03%
Expected Monthly	0.24%	0.57%
Expected Yearly	2.61%	6.31%
Kelly Criterion	18.37%	84.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.34%	-0.17%
Expected Shortfall (cVaR)	-1.34%	-0.17%
Max Consecutive Wins	9	435
Max Consecutive Losses	10	65
Gain/Pain Ratio	0.1	20.77
Gain/Pain (1M)	0.47	20.77
Payoff Ratio	1.37	3.02
Profit Factor	1.1	21.77
Common Sense Ratio	1.25	104.82
CPC Index	0.8	58.3
Tail Ratio	1.13	4.81
Outlier Win Ratio	2.36	21.47
Outlier Loss Ratio	2.4	65.26
MTD	-1.31%	0.24%
3M	-4.21%	1.41%
6M	-3.87%	3.97%
YTD	-4.3%	2.7%
1Y	-6.29%	7.92%
3Y (ann.)	-1.39%	9.1%
5Y (ann.)	2.02%	7.27%
10Y (ann.)	2.95%	7.16%
All-time (ann.)	2.95%	7.16%
Best Day	17.61%	2.47%
Worst Day	-14.34%	-0.02%
Best Month	9.16%	7.61%
Worst Month	-5.81%	-0.52%
Best Year	16.54%	11.92%
Worst Year	-5.45%	2.7%
Avg. Drawdown	-1.41%	-0.59%
Avg. Drawdown Days	43	132
Recovery Factor	0.62	35.38
Ulcer Index	0.04	0.0
Serenity Index	0.4	32.23
Avg. Up Month	1.74%	0.5%
Avg. Down Month	-0.58%	-0.21%
Win Days	52.87%	88.53%
Win Month	53.85%	89.23%
Win Quarter	59.09%	90.91%
Win Year	50.0%	100.0%
Beta	-0.49	-
Alpha	0.07	-
Correlation	-7.06%	-
Treynor Ratio	-34.17%	-