SBFR RUB[Strategy] vs Deposit RUB[Benchmark]

31 Jan, 2024 - 13 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	38.11%	39.24%
CAGR﹪	18.86%	19.38%
Sharpe	7.16	100.63
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.32	88.82
Sortino	14.46	-
Smart Sortino	12.76	-
Sortino/√2	10.23	-
Smart Sortino/√2	9.03	-
Omega	3.5	3.5
Max Drawdown	-1.14%	-
Longest DD Days	-	-
Volatility (ann.)	2.38%	0.17%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	16.52	-
Skew	0.28	-0.19
Kurtosis	3.79	2.0
Expected Daily	0.07%	0.07%
Expected Monthly	1.35%	1.39%
Expected Yearly	17.52%	18.0%
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	478
Max Consecutive Losses	5	0
Gain/Pain Ratio	2.5	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.5	-
Common Sense Ratio	7.19	-
CPC Index	-	-
Tail Ratio	2.05	1.57
Outlier Win Ratio	2.15	3.93
Outlier Loss Ratio	1.31	-
MTD	0.58%	0.71%
3M	4.49%	4.06%
6M	10.55%	8.48%
YTD	21.12%	18.72%
1Y	23.5%	19.99%
3Y (ann.)	18.86%	19.38%
5Y (ann.)	18.86%	19.38%
10Y (ann.)	18.86%	19.38%
All-time (ann.)	18.86%	19.38%
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	21.12%	18.72%
Worst Year	14.02%	17.29%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	33.38	-
Ulcer Index	0.0	0.0
Serenity Index	82.59	-
Avg. Up Month	1.42%	1.45%
Avg. Down Month	-	-
Win Days	73.63%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.26	-
Alpha	0.12	-
Correlation	1.92%	-
Treynor Ratio	144.27%	-