SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 2 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	84.0%	84.0%
Cumulative Return	-3.22%	1.67%
CAGR﹪	-77.54%	112.87%
Sharpe	-3.97	32.4
Prob. Sharpe Ratio	28.83%	91.36%
Smart Sharpe	-2.89	23.56
Sortino	-4.99	-
Smart Sortino	-3.63	-
Sortino/√2	-3.53	-
Smart Sortino/√2	-2.56	-
Omega	0.53	0.53
Max Drawdown	-6.6%	-
Longest DD Days	-	-
Volatility (ann.)	33.36%	2.15%
R^2	0.02	0.02
Information Ratio	-0.38	-0.38
Calmar	-11.75	-
Skew	0.18	-2.45
Kurtosis	-1.63	6.0
Expected Daily	-0.54%	0.28%
Expected Monthly	-1.62%	0.83%
Expected Yearly	-3.22%	1.67%
Kelly Criterion	-	-
Risk of Ruin	0.01%	0.0%
Daily Value-at-Risk	-3.98%	-0.05%
Expected Shortfall (cVaR)	-3.98%	-0.05%
Max Consecutive Wins	2	5
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.47	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.53	-
Common Sense Ratio	0.38	-
CPC Index	-	-
Tail Ratio	0.71	4.0
Outlier Win Ratio	1.08	4.68
Outlier Loss Ratio	0.67	-
MTD	-3.04%	0.33%
3M	-3.22%	1.67%
6M	-3.22%	1.67%
YTD	-3.22%	1.67%
1Y	-3.22%	1.67%
3Y (ann.)	-77.54%	112.87%
5Y (ann.)	-77.54%	112.87%
10Y (ann.)	-77.54%	112.87%
All-time (ann.)	-77.54%	112.87%
Best Day	2.31%	0.33%
Worst Day	-3.04%	0.0%
Best Month	-0.18%	1.33%
Worst Month	-3.04%	0.33%
Best Year	-3.22%	1.67%
Worst Year	-3.22%	1.67%
Avg. Drawdown	-6.6%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.49	-
Ulcer Index	0.04	0.0
Serenity Index	-0.29	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	40.0%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-1.9	-
Alpha	-0.0	-
Correlation	-12.25%	-
Treynor Ratio	1.69%	-