SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-19.85%	23.45%
CAGR﹪	-15.26%	17.06%
Sharpe	-0.58	28.32
Prob. Sharpe Ratio	23.88%	100.0%
Smart Sharpe	-0.54	26.5
Sortino	-0.77	-
Smart Sortino	-0.72	-
Sortino/√2	-0.54	-
Smart Sortino/√2	-0.51	-
Omega	0.9	0.9
Max Drawdown	-31.19%	-
Longest DD Days	-	-
Volatility (ann.)	21.64%	0.5%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-0.49	-
Skew	-0.32	6.79
Kurtosis	1.33	56.52
Expected Daily	-0.06%	0.06%
Expected Monthly	-1.29%	1.25%
Expected Yearly	-10.48%	11.11%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-0.0%
Expected Shortfall (cVaR)	-2.29%	-0.0%
Max Consecutive Wins	8	373
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.1	-
Gain/Pain (1M)	-0.45	-
Payoff Ratio	-	-
Profit Factor	0.9	-
Common Sense Ratio	0.68	-
CPC Index	-	-
Tail Ratio	0.75	2.33
Outlier Win Ratio	1.91	30.98
Outlier Loss Ratio	1.83	-
MTD	-5.92%	1.07%
3M	-18.77%	3.52%
6M	-21.96%	6.89%
YTD	-20.78%	9.25%
1Y	-22.09%	15.35%
3Y (ann.)	-15.26%	17.06%
5Y (ann.)	-15.26%	17.06%
10Y (ann.)	-15.26%	17.06%
All-time (ann.)	-15.26%	17.06%
Best Day	4.27%	0.33%
Worst Day	-4.61%	0.0%
Best Month	6.77%	1.62%
Worst Month	-9.03%	1.06%
Best Year	1.17%	12.99%
Worst Year	-20.78%	9.25%
Avg. Drawdown	-14.65%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.64	-
Ulcer Index	0.12	0.0
Serenity Index	-0.11	-
Avg. Up Month	4.49%	1.33%
Avg. Down Month	-	-
Win Days	51.34%	100.0%
Win Month	29.41%	100.0%
Win Quarter	33.33%	100.0%
Win Year	50.0%	100.0%
Beta	1.15	-
Alpha	-0.29	-
Correlation	2.66%	-
Treynor Ratio	-17.3%	-