SBBY RUB[Strategy] vs Deposit RUB[Benchmark]

21 Jul, 2023 - 11 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	4.09%	52.55%
CAGR﹪	1.57%	17.9%
Sharpe	0.18	75.25
Prob. Sharpe Ratio	61.15%	-
Smart Sharpe	0.17	70.9
Sortino	0.26	-
Smart Sortino	0.24	-
Sortino/√2	0.18	-
Smart Sortino/√2	0.17	-
Omega	1.03	1.03
Max Drawdown	-18.59%	-
Longest DD Days	-	-
Volatility (ann.)	16.65%	0.22%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.08	-
Skew	0.25	-0.22
Kurtosis	3.19	0.31
Expected Daily	0.01%	0.06%
Expected Monthly	0.13%	1.33%
Expected Yearly	1.01%	11.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.71%	-0.04%
Expected Shortfall (cVaR)	-1.71%	-0.04%
Max Consecutive Wins	9	650
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.21	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	0.98	-
CPC Index	-	-
Tail Ratio	0.95	2.15
Outlier Win Ratio	1.83	21.44
Outlier Loss Ratio	2.0	-
MTD	2.28%	0.57%
3M	-0.06%	4.03%
6M	2.64%	8.14%
YTD	1.06%	1.79%
1Y	-6.2%	18.77%
3Y (ann.)	1.57%	17.9%
5Y (ann.)	1.57%	17.9%
10Y (ann.)	1.57%	17.9%
All-time (ann.)	1.57%	17.9%
Best Day	6.08%	0.1%
Worst Day	-3.56%	0.0%
Best Month	10.99%	1.83%
Worst Month	-6.68%	0.57%
Best Year	17.66%	19.38%
Worst Year	-11.94%	1.79%
Avg. Drawdown	-4.94%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.22	-
Ulcer Index	0.11	0.0
Serenity Index	0.02	-
Avg. Up Month	2.51%	1.24%
Avg. Down Month	-	-
Win Days	49.38%	100.0%
Win Month	53.12%	100.0%
Win Quarter	54.55%	100.0%
Win Year	50.0%	100.0%
Beta	-0.51	-
Alpha	0.11	-
Correlation	-0.67%	-
Treynor Ratio	-8.02%	-