SBDS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 27 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	-63.39%	56.34%
CAGR﹪	-18.89%	9.76%
Sharpe	-0.68	27.16
Prob. Sharpe Ratio	5.04%	100.0%
Smart Sharpe	-0.5	19.92
Sortino	-0.72	-
Smart Sortino	-0.53	-
Sortino/√2	-0.51	-
Smart Sortino/√2	-0.37	-
Omega	0.78	0.78
Max Drawdown	-74.45%	-
Longest DD Days	-	-
Volatility (ann.)	36.52%	0.55%
R^2	0.52	0.52
Information Ratio	-0.07	-0.07
Calmar	-0.25	-
Skew	-13.73	10.65
Kurtosis	234.88	170.04
Expected Daily	-0.13%	0.06%
Expected Monthly	-2.68%	1.22%
Expected Yearly	-15.42%	7.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.88%	-0.0%
Expected Shortfall (cVaR)	-3.88%	-0.0%
Max Consecutive Wins	7	751
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.22	-
Gain/Pain (1M)	-0.56	-
Payoff Ratio	-	-
Profit Factor	0.78	-
Common Sense Ratio	0.72	-
CPC Index	-	-
Tail Ratio	0.92	3.71
Outlier Win Ratio	1.89	20.56
Outlier Loss Ratio	1.17	-
MTD	1.94%	1.15%
3M	3.66%	3.7%
6M	8.38%	7.75%
YTD	3.22%	3.58%
1Y	5.74%	17.7%
3Y (ann.)	-34.4%	19.29%
5Y (ann.)	-18.89%	9.76%
10Y (ann.)	-18.89%	9.76%
All-time (ann.)	-18.89%	9.76%
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	-0.85	-
Ulcer Index	0.61	0.0
Serenity Index	-0.02	-
Avg. Up Month	2.94%	1.17%
Avg. Down Month	-	-
Win Days	51.42%	100.0%
Win Month	54.05%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	-47.75	-
Alpha	6.9	-
Correlation	-72.11%	-
Treynor Ratio	1.33%	-