SBFR RUB[Strategy] vs Deposit RUB[Benchmark]

31 Jan, 2024 - 18 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	32.45%	34.76%
CAGR﹪	18.78%	20.05%
Sharpe	7.05	99.34
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.33	89.3
Sortino	14.18	-
Smart Sortino	12.75	-
Sortino/√2	10.03	-
Smart Sortino/√2	9.01	-
Omega	3.42	3.42
Max Drawdown	-1.14%	-
Longest DD Days	-	-
Volatility (ann.)	2.42%	0.18%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	16.46	-
Skew	0.29	-0.42
Kurtosis	3.88	2.25
Expected Daily	0.07%	0.07%
Expected Monthly	1.35%	1.43%
Expected Yearly	15.09%	16.09%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.05%
Expected Shortfall (cVaR)	-0.18%	-0.05%
Max Consecutive Wins	13	416
Max Consecutive Losses	5	0
Gain/Pain Ratio	2.42	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.42	-
Common Sense Ratio	7.05	-
CPC Index	-	-
Tail Ratio	2.06	1.65
Outlier Win Ratio	2.11	3.78
Outlier Loss Ratio	1.39	-
MTD	0.36%	1.3%
3M	5.5%	4.75%
6M	12.03%	9.98%
YTD	16.17%	14.9%
1Y	19.8%	21.92%
3Y (ann.)	18.78%	20.05%
5Y (ann.)	18.78%	20.05%
10Y (ann.)	18.78%	20.05%
All-time (ann.)	18.78%	20.05%
Best Day	0.86%	0.09%
Worst Day	-0.54%	0.0%
Best Month	2.82%	1.83%
Worst Month	0.0%	0.0%
Best Year	16.17%	17.29%
Worst Year	14.02%	14.9%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	28.43	-
Ulcer Index	0.0	0.0
Serenity Index	63.86	-
Avg. Up Month	1.42%	1.5%
Avg. Down Month	-	-
Win Days	73.12%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.04	-
Alpha	0.18	-
Correlation	-0.34%	-
Treynor Ratio	-722.61%	-