SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	31.5%	85.06%
CAGR﹪	4.4%	10.17%
Sharpe	0.41	20.95
Prob. Sharpe Ratio	84.77%	100.0%
Smart Sharpe	0.28	14.32
Sortino	0.6	-
Smart Sortino	0.41	-
Sortino/√2	0.42	-
Smart Sortino/√2	0.29	-
Omega	1.13	1.13
Max Drawdown	-27.13%	-
Longest DD Days	-	-
Volatility (ann.)	12.76%	0.47%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.16	-
Skew	2.29	8.3
Kurtosis	223.73	125.69
Expected Daily	0.02%	0.04%
Expected Monthly	0.35%	0.79%
Expected Yearly	3.99%	9.19%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.3%	-0.01%
Expected Shortfall (cVaR)	-1.3%	-0.01%
Max Consecutive Wins	9	1582
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.13	-
Gain/Pain (1M)	0.59	-
Payoff Ratio	-	-
Profit Factor	1.13	-
Common Sense Ratio	1.28	-
CPC Index	-	-
Tail Ratio	1.13	4.72
Outlier Win Ratio	2.45	21.12
Outlier Loss Ratio	1.89	-
MTD	0.49%	0.08%
3M	5.39%	5.14%
6M	20.63%	10.85%
YTD	7.49%	8.88%
1Y	16.6%	21.54%
3Y (ann.)	2.71%	14.21%
5Y (ann.)	1.25%	11.16%
10Y (ann.)	4.4%	10.17%
All-time (ann.)	4.4%	10.17%
Best Day	17.61%	0.51%
Worst Day	-14.34%	0.0%
Best Month	12.23%	1.83%
Worst Month	-5.81%	0.08%
Best Year	16.54%	18.74%
Worst Year	-5.45%	4.97%
Avg. Drawdown	-1.46%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.16	-
Ulcer Index	0.05	0.0
Serenity Index	0.45	-
Avg. Up Month	2.05%	0.77%
Avg. Down Month	-	-
Win Days	51.61%	100.0%
Win Month	55.13%	100.0%
Win Quarter	61.54%	100.0%
Win Year	71.43%	100.0%
Beta	-0.83	-
Alpha	0.13	-
Correlation	-3.03%	-
Treynor Ratio	-38.09%	-