SBBY RUB[Strategy] vs Deposit RUB[Benchmark]

21 Jul, 2023 - 10 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1.17%	11.41%
CAGR﹪	1.46%	14.35%
Sharpe	0.18	68.07
Prob. Sharpe Ratio	56.37%	100.0%
Smart Sharpe	0.16	61.7
Sortino	0.24	-
Smart Sortino	0.22	-
Sortino/√2	0.17	-
Smart Sortino/√2	0.16	-
Omega	1.03	1.03
Max Drawdown	-11.63%	-
Longest DD Days	-	-
Volatility (ann.)	12.07%	0.19%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	0.13	-
Skew	-0.52	0.58
Kurtosis	1.15	4.32
Expected Daily	0.01%	0.05%
Expected Monthly	0.11%	0.99%
Expected Yearly	0.58%	5.55%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.24%	-0.03%
Expected Shortfall (cVaR)	-1.24%	-0.03%
Max Consecutive Wins	8	205
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.24	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.94	-
CPC Index	-	-
Tail Ratio	0.91	1.76
Outlier Win Ratio	1.46	16.03
Outlier Loss Ratio	1.65	-
MTD	-0.04%	0.32%
3M	1.7%	3.65%
6M	1.15%	7.5%
YTD	1.78%	5.38%
1Y	1.17%	11.41%
3Y (ann.)	1.46%	14.35%
5Y (ann.)	1.46%	14.35%
10Y (ann.)	1.46%	14.35%
All-time (ann.)	1.46%	14.35%
Best Day	1.9%	0.1%
Worst Day	-2.83%	0.0%
Best Month	3.51%	1.24%
Worst Month	-5.29%	0.32%
Best Year	1.78%	5.72%
Worst Year	-0.6%	5.38%
Avg. Drawdown	-3.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.1	-
Ulcer Index	0.07	0.0
Serenity Index	0.01	-
Avg. Up Month	1.26%	1.02%
Avg. Down Month	-	-
Win Days	50.49%	100.0%
Win Month	63.64%	100.0%
Win Quarter	75.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.35	-
Alpha	0.07	-
Correlation	-0.57%	-
Treynor Ratio	-3.3%	-