SBDS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 6 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-64.58%	51.13%
CAGR﹪	-20.28%	9.43%
Sharpe	-0.75	26.09
Prob. Sharpe Ratio	3.88%	100.0%
Smart Sharpe	-0.54	19.06
Sortino	-0.78	-
Smart Sortino	-0.57	-
Sortino/√2	-0.55	-
Smart Sortino/√2	-0.4	-
Omega	0.76	0.76
Max Drawdown	-74.45%	-
Longest DD Days	-	-
Volatility (ann.)	37.76%	0.57%
R^2	0.53	0.53
Information Ratio	-0.07	-0.07
Calmar	-0.27	-
Skew	-13.36	10.33
Kurtosis	221.07	158.89
Expected Daily	-0.15%	0.06%
Expected Monthly	-2.92%	1.19%
Expected Yearly	-15.89%	7.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.02%	-0.0%
Expected Shortfall (cVaR)	-4.02%	-0.0%
Max Consecutive Wins	7	697
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.24	-
Gain/Pain (1M)	-0.59	-
Payoff Ratio	-	-
Profit Factor	0.76	-
Common Sense Ratio	0.72	-
CPC Index	-	-
Tail Ratio	0.94	3.71
Outlier Win Ratio	1.86	20.7
Outlier Loss Ratio	1.14	-
MTD	-0.14%	0.12%
3M	7.38%	3.86%
6M	7.38%	7.97%
YTD	-0.14%	0.12%
1Y	10.37%	19.43%
3Y (ann.)	-38.33%	19.57%
5Y (ann.)	-20.28%	9.43%
10Y (ann.)	-20.28%	9.43%
All-time (ann.)	-20.28%	9.43%
Best Day	6.74%	0.61%
Worst Day	-42.23%	0.0%
Best Month	10.68%	1.83%
Worst Month	-63.37%	0.12%
Best Year	9.34%	19.39%
Worst Year	-63.37%	0.12%
Avg. Drawdown	-6.73%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.87	-
Ulcer Index	0.6	0.0
Serenity Index	-0.02	-
Avg. Up Month	3.01%	1.17%
Avg. Down Month	-	-
Win Days	51.15%	100.0%
Win Month	51.43%	100.0%
Win Quarter	50.0%	100.0%
Win Year	33.33%	100.0%
Beta	-47.92	-
Alpha	6.87	-
Correlation	-72.56%	-
Treynor Ratio	1.35%	-