SBBY RUB[Strategy] vs Deposit RUB[Benchmark]

21 Jul, 2023 - 6 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	5.63%	55.51%
CAGR﹪	2.04%	17.68%
Sharpe	0.2	75.15
Prob. Sharpe Ratio	63.16%	-
Smart Sharpe	0.19	71.1
Sortino	0.29	-
Smart Sortino	0.28	-
Sortino/√2	0.21	-
Smart Sortino/√2	0.2	-
Omega	1.04	1.04
Max Drawdown	-18.59%	-
Longest DD Days	-	-
Volatility (ann.)	16.77%	0.22%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.11	-
Skew	0.19	-0.11
Kurtosis	3.02	0.26
Expected Daily	0.01%	0.06%
Expected Monthly	0.16%	1.31%
Expected Yearly	1.38%	11.67%
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	687
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.24	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	1.0	-
CPC Index	-	-
Tail Ratio	0.97	2.15
Outlier Win Ratio	1.81	21.65
Outlier Loss Ratio	2.03	-
MTD	-2.85%	0.2%
3M	0.11%	3.7%
6M	0.15%	7.64%
YTD	2.56%	3.77%
1Y	2.5%	17.29%
3Y (ann.)	2.04%	17.68%
5Y (ann.)	2.04%	17.68%
10Y (ann.)	2.04%	17.68%
All-time (ann.)	2.04%	17.68%
Best Day	6.08%	0.1%
Worst Day	-3.69%	0.0%
Best Month	10.99%	1.83%
Worst Month	-6.68%	0.2%
Best Year	17.66%	19.38%
Worst Year	-11.94%	3.77%
Avg. Drawdown	-4.94%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.3	-
Ulcer Index	0.11	0.0
Serenity Index	0.03	-
Avg. Up Month	2.62%	1.26%
Avg. Down Month	-	-
Win Days	49.26%	100.0%
Win Month	52.94%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.75	-
Alpha	0.16	-
Correlation	-0.97%	-
Treynor Ratio	-7.49%	-