SBCN RUB[Strategy] vs Deposit RUB[Benchmark]

16 Jan, 2023 - 24 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	19.01%	51.91%
CAGR﹪	6.48%	16.28%
Sharpe	0.48	52.03
Prob. Sharpe Ratio	79.11%	-
Smart Sharpe	0.47	50.8
Sortino	0.7	-
Smart Sortino	0.69	-
Sortino/√2	0.5	-
Smart Sortino/√2	0.48	-
Omega	1.09	1.09
Max Drawdown	-27.14%	-
Longest DD Days	-	-
Volatility (ann.)	15.26%	0.29%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.24	-
Skew	0.24	-0.27
Kurtosis	3.73	-0.91
Expected Daily	0.02%	0.06%
Expected Monthly	0.51%	1.24%
Expected Yearly	5.97%	14.96%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.55%	-0.03%
Expected Shortfall (cVaR)	-1.55%	-0.03%
Max Consecutive Wins	8	707
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.43	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.0	2.82
Outlier Win Ratio	2.03	22.78
Outlier Loss Ratio	1.8	-
MTD	-2.79%	1.29%
3M	1.48%	4.31%
6M	-2.27%	9.12%
YTD	-19.16%	16.38%
1Y	-17.37%	21.17%
3Y (ann.)	6.48%	16.28%
5Y (ann.)	6.48%	16.28%
10Y (ann.)	6.48%	16.28%
All-time (ann.)	6.48%	16.28%
Best Day	5.06%	0.09%
Worst Day	-4.13%	0.0%
Best Month	13.51%	1.83%
Worst Month	-9.03%	0.61%
Best Year	26.22%	18.74%
Worst Year	-19.16%	9.94%
Avg. Drawdown	-3.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.7	-
Ulcer Index	0.13	0.0
Serenity Index	0.06	-
Avg. Up Month	3.46%	1.12%
Avg. Down Month	-	-
Win Days	52.57%	100.0%
Win Month	58.82%	100.0%
Win Quarter	58.33%	100.0%
Win Year	66.67%	100.0%
Beta	-3.98	-
Alpha	0.67	-
Correlation	-7.46%	-
Treynor Ratio	-4.78%	-