SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 17 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	98.0%
Cumulative Return	-3.66%	3.87%
CAGR﹪	-22.26%	29.23%
Sharpe	-0.86	20.72
Prob. Sharpe Ratio	37.29%	-
Smart Sharpe	-0.71	16.99
Sortino	-1.12	-
Smart Sortino	-0.92	-
Sortino/√2	-0.79	-
Smart Sortino/√2	-0.65	-
Omega	0.87	0.87
Max Drawdown	-11.51%	-
Longest DD Days	-	-
Volatility (ann.)	26.34%	1.28%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-1.93	-
Skew	-0.34	2.42
Kurtosis	-0.49	4.6
Expected Daily	-0.1%	0.11%
Expected Monthly	-1.23%	1.27%
Expected Yearly	-3.66%	3.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.82%	-0.03%
Expected Shortfall (cVaR)	-2.82%	-0.03%
Max Consecutive Wins	8	35
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.13	-
Gain/Pain (1M)	-0.91	-
Payoff Ratio	-	-
Profit Factor	0.87	-
Common Sense Ratio	0.69	-
CPC Index	-	-
Tail Ratio	0.79	4.09
Outlier Win Ratio	1.48	14.69
Outlier Loss Ratio	0.99	-
MTD	0.24%	0.89%
3M	-3.66%	3.87%
6M	-3.66%	3.87%
YTD	-3.66%	3.87%
1Y	-3.66%	3.87%
3Y (ann.)	-22.26%	29.23%
5Y (ann.)	-22.26%	29.23%
10Y (ann.)	-22.26%	29.23%
All-time (ann.)	-22.26%	29.23%
Best Day	2.77%	0.33%
Worst Day	-3.53%	0.0%
Best Month	0.24%	1.62%
Worst Month	-3.71%	0.89%
Best Year	-3.66%	3.87%
Worst Year	-3.66%	3.87%
Avg. Drawdown	-11.51%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.32	-
Ulcer Index	0.07	0.0
Serenity Index	-0.07	-
Avg. Up Month	0.24%	0.89%
Avg. Down Month	-	-
Win Days	57.14%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.23	-
Alpha	-0.29	-
Correlation	1.12%	-
Treynor Ratio	-15.95%	-