SBFR RUB[Strategy] vs Deposit RUB[Benchmark]

31 Jan, 2024 - 17 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	11.98%	13.1%
CAGR﹪	17.22%	18.87%
Sharpe	9.63	59.97
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	7.47	46.53
Sortino	23.76	-
Smart Sortino	18.44	-
Sortino/√2	16.8	-
Smart Sortino/√2	13.04	-
Omega	4.92	4.92
Max Drawdown	-0.26%	-
Longest DD Days	-	-
Volatility (ann.)	1.62%	0.28%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	66.05	-
Skew	0.17	2.19
Kurtosis	0.61	6.77
Expected Daily	0.06%	0.07%
Expected Monthly	1.14%	1.24%
Expected Yearly	11.98%	13.1%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.11%	-0.04%
Expected Shortfall (cVaR)	-0.11%	-0.04%
Max Consecutive Wins	11	182
Max Consecutive Losses	2	0
Gain/Pain Ratio	3.92	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	4.92	-
Common Sense Ratio	13.75	-
CPC Index	-	-
Tail Ratio	2.8	2.34
Outlier Win Ratio	2.17	3.21
Outlier Loss Ratio	0.88	-
MTD	0.77%	1.65%
3M	4.22%	5.45%
6M	8.18%	9.65%
YTD	11.98%	13.1%
1Y	11.98%	13.1%
3Y (ann.)	17.22%	18.87%
5Y (ann.)	17.22%	18.87%
10Y (ann.)	17.22%	18.87%
All-time (ann.)	17.22%	18.87%
Best Day	0.36%	0.13%
Worst Day	-0.26%	0.0%
Best Month	1.48%	1.65%
Worst Month	0.0%	0.0%
Best Year	11.98%	13.1%
Worst Year	11.98%	13.1%
Avg. Drawdown	-0.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	45.96	-
Ulcer Index	0.0	0.0
Serenity Index	213.98	-
Avg. Up Month	1.27%	1.38%
Avg. Down Month	-	-
Win Days	77.14%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.02	-
Alpha	0.15	-
Correlation	0.33%	-
Treynor Ratio	624.88%	-