SBBY RUB[Strategy] vs Deposit RUB[Benchmark]

21 Jul, 2023 - 3 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	1.85%	46.25%
CAGR﹪	0.8%	18.05%
Sharpe	0.13	72.0
Prob. Sharpe Ratio	57.89%	-
Smart Sharpe	0.12	67.72
Sortino	0.19	-
Smart Sortino	0.18	-
Sortino/√2	0.13	-
Smart Sortino/√2	0.13	-
Omega	1.02	1.02
Max Drawdown	-18.59%	-
Longest DD Days	-	-
Volatility (ann.)	16.81%	0.23%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.04	-
Skew	0.26	-0.22
Kurtosis	3.31	0.08
Expected Daily	0.0%	0.06%
Expected Monthly	0.06%	1.32%
Expected Yearly	0.61%	13.51%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-0.04%
Expected Shortfall (cVaR)	-1.73%	-0.04%
Max Consecutive Wins	8	585
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.15	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	0.95	-
CPC Index	-	-
Tail Ratio	0.93	2.15
Outlier Win Ratio	1.86	21.68
Outlier Loss Ratio	2.01	-
MTD	-1.17%	0.11%
3M	0.82%	3.99%
6M	-0.0%	8.75%
YTD	-12.93%	16.51%
1Y	-4.79%	20.58%
3Y (ann.)	0.8%	18.05%
5Y (ann.)	0.8%	18.05%
10Y (ann.)	0.8%	18.05%
All-time (ann.)	0.8%	18.05%
Best Day	6.08%	0.1%
Worst Day	-3.56%	0.0%
Best Month	10.99%	1.83%
Worst Month	-6.68%	0.11%
Best Year	17.66%	18.74%
Worst Year	-12.93%	5.72%
Avg. Drawdown	-4.94%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.1	-
Ulcer Index	0.1	0.0
Serenity Index	0.01	-
Avg. Up Month	2.59%	1.28%
Avg. Down Month	-	-
Win Days	49.66%	100.0%
Win Month	51.72%	100.0%
Win Quarter	50.0%	100.0%
Win Year	33.33%	100.0%
Beta	-0.39	-
Alpha	0.09	-
Correlation	-0.53%	-
Treynor Ratio	-4.74%	-