SBFR RUB[Strategy] vs Deposit RUB[Benchmark]

31 Jan, 2024 - 13 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	46.3%	45.79%
CAGR﹪	18.88%	18.69%
Sharpe	7.25	75.66
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	6.28	65.56
Sortino	14.96	-
Smart Sortino	12.96	-
Sortino/√2	10.58	-
Smart Sortino/√2	9.17	-
Omega	3.63	3.63
Max Drawdown	-1.14%	-
Longest DD Days	-	-
Volatility (ann.)	2.28%	0.22%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	16.54	-
Skew	0.34	-0.14
Kurtosis	3.93	-0.14
Expected Daily	0.07%	0.06%
Expected Monthly	1.37%	1.36%
Expected Yearly	13.52%	13.39%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.17%	-0.04%
Expected Shortfall (cVaR)	-0.17%	-0.04%
Max Consecutive Wins	13	581
Max Consecutive Losses	5	0
Gain/Pain Ratio	2.63	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.63	-
Common Sense Ratio	7.53	-
CPC Index	-	-
Tail Ratio	2.08	2.08
Outlier Win Ratio	2.22	4.12
Outlier Loss Ratio	1.32	-
MTD	0.54%	0.54%
3M	4.49%	3.88%
6M	8.89%	7.71%
YTD	4.97%	4.12%
1Y	21.86%	17.25%
3Y (ann.)	18.88%	18.69%
5Y (ann.)	18.88%	18.69%
10Y (ann.)	18.88%	18.69%
All-time (ann.)	18.88%	18.69%
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	22.23%	19.38%
Worst Year	4.97%	4.12%
Avg. Drawdown	-0.13%	-
Avg. Drawdown Days	-	-
Recovery Factor	40.56	-
Ulcer Index	0.0	0.0
Serenity Index	115.61	-
Avg. Up Month	1.42%	1.41%
Avg. Down Month	-	-
Win Days	73.72%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.38	-
Alpha	0.1	-
Correlation	3.62%	-
Treynor Ratio	121.16%	-