SBBY RUB[Strategy] vs Deposit RUB[Benchmark]

21 Jul, 2023 - 22 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	2.58%	49.9%
CAGR﹪	1.06%	18.17%
Sharpe	0.15	73.35
Prob. Sharpe Ratio	59.01%	-
Smart Sharpe	0.14	69.17
Sortino	0.21	-
Smart Sortino	0.2	-
Sortino/√2	0.15	-
Smart Sortino/√2	0.14	-
Omega	1.03	1.03
Max Drawdown	-18.59%	-
Longest DD Days	-	-
Volatility (ann.)	16.66%	0.22%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.06	-
Skew	0.25	-0.26
Kurtosis	3.26	0.13
Expected Daily	0.0%	0.07%
Expected Monthly	0.08%	1.36%
Expected Yearly	0.85%	14.45%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.72%	-0.04%
Expected Shortfall (cVaR)	-1.72%	-0.04%
Max Consecutive Wins	9	619
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.17	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.97	-
CPC Index	-	-
Tail Ratio	0.94	2.15
Outlier Win Ratio	1.84	21.26
Outlier Loss Ratio	1.99	-
MTD	1.1%	1.3%
3M	-5.0%	4.36%
6M	4.11%	8.62%
YTD	-12.3%	19.42%
1Y	-9.76%	20.1%
3Y (ann.)	1.06%	18.17%
5Y (ann.)	1.06%	18.17%
10Y (ann.)	1.06%	18.17%
All-time (ann.)	1.06%	18.17%
Best Day	6.08%	0.1%
Worst Day	-3.56%	0.0%
Best Month	10.99%	1.83%
Worst Month	-6.68%	0.58%
Best Year	17.66%	19.42%
Worst Year	-12.3%	5.72%
Avg. Drawdown	-4.94%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.14	-
Ulcer Index	0.11	0.0
Serenity Index	0.01	-
Avg. Up Month	2.5%	1.28%
Avg. Down Month	-	-
Win Days	49.67%	100.0%
Win Month	53.33%	100.0%
Win Quarter	50.0%	100.0%
Win Year	33.33%	100.0%
Beta	-0.33	-
Alpha	0.08	-
Correlation	-0.45%	-
Treynor Ratio	-7.75%	-