SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1.17%	13.0%
CAGR﹪	1.71%	19.54%
Sharpe	0.19	27.16
Prob. Sharpe Ratio	56.2%	100.0%
Smart Sharpe	0.19	27.14
Sortino	0.27	-
Smart Sortino	0.27	-
Sortino/√2	0.19	-
Smart Sortino/√2	0.19	-
Omega	1.03	1.03
Max Drawdown	-16.59%	-
Longest DD Days	-	-
Volatility (ann.)	23.3%	0.64%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.1	-
Skew	0.04	5.9
Kurtosis	0.6	35.63
Expected Daily	0.01%	0.07%
Expected Monthly	0.13%	1.37%
Expected Yearly	1.17%	13.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.4%	-0.0%
Expected Shortfall (cVaR)	-2.4%	-0.0%
Max Consecutive Wins	8	175
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.19	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.06	-
CPC Index	-	-
Tail Ratio	1.02	1.45
Outlier Win Ratio	1.92	30.07
Outlier Loss Ratio	1.53	-
MTD	5.68%	1.28%
3M	4.92%	3.98%
6M	4.51%	8.19%
YTD	1.17%	13.0%
1Y	1.17%	13.0%
3Y (ann.)	1.71%	19.54%
5Y (ann.)	1.71%	19.54%
10Y (ann.)	1.71%	19.54%
All-time (ann.)	1.71%	19.54%
Best Day	4.27%	0.33%
Worst Day	-4.2%	0.0%
Best Month	6.77%	1.62%
Worst Month	-6.42%	1.28%
Best Year	1.17%	13.0%
Worst Year	1.17%	13.0%
Avg. Drawdown	-9.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.07	-
Ulcer Index	0.09	0.0
Serenity Index	0.01	-
Avg. Up Month	4.68%	1.35%
Avg. Down Month	-	-
Win Days	52.0%	100.0%
Win Month	44.44%	100.0%
Win Quarter	33.33%	100.0%
Win Year	100.0%	100.0%
Beta	-0.16	-
Alpha	0.07	-
Correlation	-0.44%	-
Treynor Ratio	-7.29%	-