SBCN RUB[Strategy] vs Deposit RUB[Benchmark]

16 Jan, 2023 - 9 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	14.73%	65.53%
CAGR﹪	4.13%	15.99%
Sharpe	0.34	56.25
Prob. Sharpe Ratio	73.46%	-
Smart Sharpe	0.33	54.98
Sortino	0.49	-
Smart Sortino	0.48	-
Sortino/√2	0.35	-
Smart Sortino/√2	0.34	-
Omega	1.06	1.06
Max Drawdown	-29.12%	-
Longest DD Days	-	-
Volatility (ann.)	15.33%	0.26%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	0.14	-
Skew	0.16	-0.19
Kurtosis	3.38	-0.59
Expected Daily	0.02%	0.06%
Expected Monthly	0.33%	1.21%
Expected Yearly	3.5%	13.43%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.57%	-0.03%
Expected Shortfall (cVaR)	-1.57%	-0.03%
Max Consecutive Wins	10	861
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.28	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.09	-
CPC Index	-	-
Tail Ratio	1.03	2.81
Outlier Win Ratio	2.0	23.35
Outlier Loss Ratio	1.81	-
MTD	1.24%	0.38%
3M	-6.34%	3.46%
6M	-0.51%	7.2%
YTD	-3.9%	6.22%
1Y	-2.59%	16.14%
3Y (ann.)	-3.2%	17.25%
5Y (ann.)	4.13%	15.99%
10Y (ann.)	4.13%	15.99%
All-time (ann.)	4.13%	15.99%
Best Day	5.06%	0.09%
Worst Day	-4.23%	0.0%
Best Month	13.51%	1.83%
Worst Month	-9.03%	0.38%
Best Year	26.22%	19.38%
Worst Year	-18.9%	6.22%
Avg. Drawdown	-3.44%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.51	-
Ulcer Index	0.16	0.0
Serenity Index	0.03	-
Avg. Up Month	3.39%	1.1%
Avg. Down Month	-	-
Win Days	51.17%	100.0%
Win Month	57.14%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	-3.72	-
Alpha	0.6	-
Correlation	-6.36%	-
Treynor Ratio	-3.96%	-