SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 21 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-2.19%	10.15%
CAGR﹪	-4.39%	21.65%
Sharpe	-0.07	25.84
Prob. Sharpe Ratio	48.09%	100.0%
Smart Sharpe	-0.06	24.66
Sortino	-0.1	-
Smart Sortino	-0.09	-
Sortino/√2	-0.07	-
Smart Sortino/√2	-0.07	-
Omega	0.99	0.99
Max Drawdown	-14.02%	-
Longest DD Days	-	-
Volatility (ann.)	23.81%	0.75%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.31	-
Skew	0.18	4.84
Kurtosis	0.4	23.94
Expected Daily	-0.02%	0.08%
Expected Monthly	-0.32%	1.39%
Expected Yearly	-2.19%	10.15%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.47%	-0.0%
Expected Shortfall (cVaR)	-2.47%	-0.0%
Max Consecutive Wins	8	125
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.01	-
Gain/Pain (1M)	-0.07	-
Payoff Ratio	-	-
Profit Factor	0.99	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.1	1.46
Outlier Win Ratio	1.95	27.81
Outlier Loss Ratio	1.38	-
MTD	1.22%	1.29%
3M	-0.76%	4.5%
6M	-2.19%	10.15%
YTD	-2.19%	10.15%
1Y	-2.19%	10.15%
3Y (ann.)	-4.39%	21.65%
5Y (ann.)	-4.39%	21.65%
10Y (ann.)	-4.39%	21.65%
All-time (ann.)	-4.39%	21.65%
Best Day	4.27%	0.33%
Worst Day	-3.74%	0.0%
Best Month	6.77%	1.62%
Worst Month	-6.42%	1.29%
Best Year	-2.19%	10.15%
Worst Year	-2.19%	10.15%
Avg. Drawdown	-8.93%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.16	-
Ulcer Index	0.07	0.0
Serenity Index	-0.04	-
Avg. Up Month	3.28%	1.37%
Avg. Down Month	-	-
Win Days	52.0%	100.0%
Win Month	42.86%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	0.01	-
Alpha	-0.02	-
Correlation	0.02%	-
Treynor Ratio	-364.83%	-