SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 17 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	3.09%	15.75%
CAGR﹪	3.79%	19.54%
Sharpe	0.28	29.57
Prob. Sharpe Ratio	59.92%	100.0%
Smart Sharpe	0.28	29.14
Sortino	0.4	-
Smart Sortino	0.39	-
Sortino/√2	0.28	-
Smart Sortino/√2	0.28	-
Omega	1.05	1.05
Max Drawdown	-16.59%	-
Longest DD Days	-	-
Volatility (ann.)	22.18%	0.61%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.23	-
Skew	0.01	5.9
Kurtosis	0.85	37.51
Expected Daily	0.01%	0.07%
Expected Monthly	0.28%	1.34%
Expected Yearly	1.53%	7.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.27%	-0.01%
Expected Shortfall (cVaR)	-2.27%	-0.01%
Max Consecutive Wins	8	204
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.29	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	0.98	1.81
Outlier Win Ratio	1.97	28.34
Outlier Loss Ratio	1.62	-
MTD	-1.73%	1.21%
3M	12.27%	4.42%
6M	-4.0%	8.49%
YTD	1.9%	2.44%
1Y	3.09%	15.75%
3Y (ann.)	3.79%	19.54%
5Y (ann.)	3.79%	19.54%
10Y (ann.)	3.79%	19.54%
All-time (ann.)	3.79%	19.54%
Best Day	4.27%	0.33%
Worst Day	-4.2%	0.0%
Best Month	6.77%	1.62%
Worst Month	-6.42%	1.21%
Best Year	1.9%	12.99%
Worst Year	1.17%	2.44%
Avg. Drawdown	-9.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.19	-
Ulcer Index	0.08	0.0
Serenity Index	0.04	-
Avg. Up Month	4.49%	1.33%
Avg. Down Month	-	-
Win Days	51.96%	100.0%
Win Month	45.45%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.34	-
Alpha	0.12	-
Correlation	-0.94%	-
Treynor Ratio	-8.99%	-