SBCN RUB[Strategy] vs Deposit RUB[Benchmark]

16 Jan, 2023 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	19.39%	55.85%
CAGR﹪	6.18%	16.2%
Sharpe	0.47	53.67
Prob. Sharpe Ratio	79.18%	-
Smart Sharpe	0.46	52.76
Sortino	0.68	-
Smart Sortino	0.67	-
Sortino/√2	0.48	-
Smart Sortino/√2	0.47	-
Omega	1.09	1.09
Max Drawdown	-27.72%	-
Longest DD Days	-	-
Volatility (ann.)	15.04%	0.28%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.22	-
Skew	0.24	-0.24
Kurtosis	3.74	-0.76
Expected Daily	0.02%	0.06%
Expected Monthly	0.49%	1.24%
Expected Yearly	6.09%	15.94%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.53%	-0.03%
Expected Shortfall (cVaR)	-1.53%	-0.03%
Max Consecutive Wins	10	754
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.09	-
Gain/Pain (1M)	0.43	-
Payoff Ratio	-	-
Profit Factor	1.09	-
Common Sense Ratio	1.1	-
CPC Index	-	-
Tail Ratio	1.01	2.82
Outlier Win Ratio	2.04	22.83
Outlier Loss Ratio	1.82	-
MTD	1.56%	1.28%
3M	-2.56%	3.98%
6M	2.0%	8.19%
YTD	-18.9%	19.39%
1Y	-18.27%	19.49%
3Y (ann.)	5.16%	16.23%
5Y (ann.)	6.18%	16.2%
10Y (ann.)	6.18%	16.2%
All-time (ann.)	6.18%	16.2%
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%	19.39%
Worst Year	-18.9%	9.94%
Avg. Drawdown	-3.39%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.7	-
Ulcer Index	0.14	0.0
Serenity Index	0.05	-
Avg. Up Month	3.37%	1.13%
Avg. Down Month	-	-
Win Days	52.48%	100.0%
Win Month	58.33%	100.0%
Win Quarter	58.33%	100.0%
Win Year	66.67%	100.0%
Beta	-3.89	-
Alpha	0.65	-
Correlation	-7.13%	-
Treynor Ratio	-4.99%	-