SBCS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 29 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	60.78%	72.56%
CAGR﹪	11.42%	13.23%
Sharpe	0.97	24.86
Prob. Sharpe Ratio	97.97%	100.0%
Smart Sharpe	0.9	23.06
Sortino	1.56	-
Smart Sortino	1.45	-
Sortino/√2	1.11	-
Smart Sortino/√2	1.03	-
Omega	1.83	1.83
Max Drawdown	-14.95%	-
Longest DD Days	-	-
Volatility (ann.)	12.02%	0.5%
R^2	0.11	0.11
Information Ratio	-0.0	-0.0
Calmar	0.76	-
Skew	6.64	8.58
Kurtosis	404.13	122.26
Expected Daily	0.04%	0.05%
Expected Monthly	0.9%	1.03%
Expected Yearly	9.96%	11.53%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.2%	-0.0%
Expected Shortfall (cVaR)	-1.2%	-0.0%
Max Consecutive Wins	12	1096
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.83	-
Gain/Pain (1M)	3.55	-
Payoff Ratio	-	-
Profit Factor	1.83	-
Common Sense Ratio	2.89	-
CPC Index	-	-
Tail Ratio	1.58	3.6
Outlier Win Ratio	2.1	6.2
Outlier Loss Ratio	1.2	-
MTD	1.22%	1.28%
3M	4.23%	4.12%
6M	9.53%	8.87%
YTD	16.56%	16.37%
1Y	20.47%	20.9%
3Y (ann.)	13.17%	15.72%
5Y (ann.)	11.42%	13.23%
10Y (ann.)	11.42%	13.23%
All-time (ann.)	11.42%	13.23%
Best Day	18.08%	0.51%
Worst Day	-13.96%	0.0%
Best Month	17.8%	1.83%
Worst Month	-13.68%	0.41%
Best Year	16.56%	18.74%
Worst Year	2.88%	3.77%
Avg. Drawdown	-0.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.07	-
Ulcer Index	0.01	0.0
Serenity Index	11.06	-
Avg. Up Month	1.29%	1.05%
Avg. Down Month	-	-
Win Days	66.43%	100.0%
Win Month	94.34%	100.0%
Win Quarter	94.74%	100.0%
Win Year	100.0%	100.0%
Beta	7.96	-
Alpha	-0.88	-
Correlation	33.42%	-
Treynor Ratio	7.63%	-