SBCN RUB[Strategy] vs Deposit RUB[Benchmark]

16 Jan, 2023 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	19.1%	40.36%
CAGR﹪	7.82%	15.73%
Sharpe	0.55	48.06
Prob. Sharpe Ratio	80.18%	-
Smart Sharpe	0.54	46.52
Sortino	0.81	-
Smart Sortino	0.78	-
Sortino/√2	0.57	-
Smart Sortino/√2	0.55	-
Omega	1.1	1.1
Max Drawdown	-25.07%	-
Longest DD Days	-	-
Volatility (ann.)	15.75%	0.3%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.31	-
Skew	0.23	-0.1
Kurtosis	3.79	-1.11
Expected Daily	0.03%	0.06%
Expected Monthly	0.6%	1.18%
Expected Yearly	6.0%	11.97%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-0.03%
Expected Shortfall (cVaR)	-1.6%	-0.03%
Max Consecutive Wins	8	589
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.47	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.08	-
CPC Index	-	-
Tail Ratio	0.98	2.82
Outlier Win Ratio	1.95	23.69
Outlier Loss Ratio	1.84	-
MTD	-0.45%	0.45%
3M	-14.45%	5.0%
6M	-17.54%	10.8%
YTD	-19.1%	7.53%
1Y	-6.99%	21.11%
3Y (ann.)	7.82%	15.73%
5Y (ann.)	7.82%	15.73%
10Y (ann.)	7.82%	15.73%
All-time (ann.)	7.82%	15.73%
Best Day	5.06%	0.09%
Worst Day	-4.13%	0.0%
Best Month	13.51%	1.83%
Worst Month	-9.03%	0.45%
Best Year	26.22%	18.74%
Worst Year	-19.1%	7.53%
Avg. Drawdown	-3.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.76	-
Ulcer Index	0.09	0.0
Serenity Index	0.12	-
Avg. Up Month	3.8%	1.08%
Avg. Down Month	-	-
Win Days	51.8%	100.0%
Win Month	58.62%	100.0%
Win Quarter	60.0%	100.0%
Win Year	66.67%	100.0%
Beta	-3.83	-
Alpha	0.64	-
Correlation	-7.34%	-
Treynor Ratio	-4.98%	-