SBDS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 20 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-62.8%	56.35%
CAGR﹪	-18.68%	9.8%
Sharpe	-0.67	27.2
Prob. Sharpe Ratio	5.54%	100.0%
Smart Sharpe	-0.49	19.94
Sortino	-0.71	-
Smart Sortino	-0.52	-
Sortino/√2	-0.5	-
Smart Sortino/√2	-0.37	-
Omega	0.78	0.78
Max Drawdown	-74.45%	-
Longest DD Days	-	-
Volatility (ann.)	36.63%	0.55%
R^2	0.52	0.52
Information Ratio	-0.07	-0.07
Calmar	-0.25	-
Skew	-13.69	10.51
Kurtosis	233.57	166.82
Expected Daily	-0.13%	0.06%
Expected Monthly	-2.64%	1.22%
Expected Yearly	-15.19%	7.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.89%	-0.0%
Expected Shortfall (cVaR)	-3.89%	-0.0%
Max Consecutive Wins	7	746
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.22	-
Gain/Pain (1M)	-0.55	-
Payoff Ratio	-	-
Profit Factor	0.78	-
Common Sense Ratio	0.73	-
CPC Index	-	-
Tail Ratio	0.93	3.71
Outlier Win Ratio	1.89	20.42
Outlier Loss Ratio	1.16	-
MTD	3.6%	1.16%
3M	5.94%	4.0%
6M	9.66%	8.07%
YTD	4.9%	3.58%
1Y	6.09%	18.18%
3Y (ann.)	-34.16%	19.48%
5Y (ann.)	-18.68%	9.8%
10Y (ann.)	-18.68%	9.8%
All-time (ann.)	-18.68%	9.8%
Best Day	6.74%	0.61%
Worst Day	-42.23%	0.0%
Best Month	10.68%	1.83%
Worst Month	-63.37%	0.41%
Best Year	9.34%	19.38%
Worst Year	-63.37%	1.23%
Avg. Drawdown	-6.73%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.84	-
Ulcer Index	0.61	0.0
Serenity Index	-0.02	-
Avg. Up Month	3.02%	1.17%
Avg. Down Month	-	-
Win Days	51.5%	100.0%
Win Month	54.05%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	-47.42	-
Alpha	6.91	-
Correlation	-71.8%	-
Treynor Ratio	1.32%	-