SBCS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 7 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	54.91%	66.51%
CAGR﹪	11.08%	13.03%
Sharpe	0.92	23.96
Prob. Sharpe Ratio	97.27%	100.0%
Smart Sharpe	0.85	22.24
Sortino	1.49	-
Smart Sortino	1.38	-
Sortino/√2	1.05	-
Smart Sortino/√2	0.98	-
Omega	1.78	1.78
Max Drawdown	-14.95%	-
Longest DD Days	-	-
Volatility (ann.)	12.34%	0.52%
R^2	0.11	0.11
Information Ratio	-0.01	-0.01
Calmar	0.74	-
Skew	6.48	8.48
Kurtosis	383.28	117.76
Expected Daily	0.04%	0.05%
Expected Monthly	0.86%	1.0%
Expected Yearly	9.15%	10.74%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.0%
Expected Shortfall (cVaR)	-1.23%	-0.0%
Max Consecutive Wins	10	1037
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.78	-
Gain/Pain (1M)	3.29	-
Payoff Ratio	-	-
Profit Factor	1.78	-
Common Sense Ratio	2.74	-
CPC Index	-	-
Tail Ratio	1.54	3.6
Outlier Win Ratio	2.08	6.32
Outlier Loss Ratio	1.19	-
MTD	0.35%	0.3%
3M	5.38%	4.65%
6M	10.0%	9.94%
YTD	12.3%	12.29%
1Y	20.19%	21.64%
3Y (ann.)	12.24%	14.93%
5Y (ann.)	11.08%	13.03%
10Y (ann.)	11.08%	13.03%
All-time (ann.)	11.08%	13.03%
Best Day	18.08%	0.51%
Worst Day	-13.96%	0.0%
Best Month	17.8%	1.83%
Worst Month	-13.68%	0.3%
Best Year	15.93%	18.74%
Worst Year	2.88%	3.77%
Avg. Drawdown	-0.29%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.67	-
Ulcer Index	0.02	0.0
Serenity Index	9.71	-
Avg. Up Month	1.27%	1.02%
Avg. Down Month	-	-
Win Days	66.21%	100.0%
Win Month	94.12%	100.0%
Win Quarter	94.44%	100.0%
Win Year	100.0%	100.0%
Beta	8.0	-
Alpha	-0.88	-
Correlation	33.51%	-
Treynor Ratio	6.86%	-