SBBC RUB[Strategy] vs Deposit RUB[Benchmark]

24 Apr, 2025 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	0.36%	14.94%
CAGR﹪	0.45%	19.01%
Sharpe	0.13	29.01
Prob. Sharpe Ratio	54.65%	100.0%
Smart Sharpe	0.13	28.57
Sortino	0.19	-
Smart Sortino	0.18	-
Sortino/√2	0.13	-
Smart Sortino/√2	0.13	-
Omega	1.02	1.02
Max Drawdown	-16.59%	-
Longest DD Days	-	-
Volatility (ann.)	22.38%	0.6%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.03	-
Skew	0.03	6.26
Kurtosis	0.8	40.6
Expected Daily	0.0%	0.07%
Expected Monthly	0.03%	1.27%
Expected Yearly	0.18%	7.21%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.31%	-0.01%
Expected Shortfall (cVaR)	-2.31%	-0.01%
Max Consecutive Wins	8	199
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.12	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	1.0	-
CPC Index	-	-
Tail Ratio	0.98	1.45
Outlier Win Ratio	1.96	29.24
Outlier Loss Ratio	1.61	-
MTD	-4.34%	0.5%
3M	7.82%	4.02%
6M	-3.36%	8.06%
YTD	-0.8%	1.72%
1Y	0.36%	14.94%
3Y (ann.)	0.45%	19.01%
5Y (ann.)	0.45%	19.01%
10Y (ann.)	0.45%	19.01%
All-time (ann.)	0.45%	19.01%
Best Day	4.27%	0.33%
Worst Day	-4.2%	0.0%
Best Month	6.77%	1.62%
Worst Month	-6.42%	0.5%
Best Year	1.17%	12.99%
Worst Year	-0.8%	1.72%
Avg. Drawdown	-9.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.02	-
Ulcer Index	0.08	0.0
Serenity Index	0.0	-
Avg. Up Month	4.49%	1.33%
Avg. Down Month	-	-
Win Days	51.26%	100.0%
Win Month	45.45%	100.0%
Win Quarter	25.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.17	-
Alpha	0.06	-
Correlation	-0.46%	-
Treynor Ratio	-2.12%	-