SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 10 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	51.94%	108.57%
CAGR﹪	6.05%	10.87%
Sharpe	0.54	22.88
Prob. Sharpe Ratio	92.71%	100.0%
Smart Sharpe	0.38	15.93
Sortino	0.81	-
Smart Sortino	0.56	-
Sortino/√2	0.57	-
Smart Sortino/√2	0.4	-
Omega	1.17	1.17
Max Drawdown	-27.13%	-
Longest DD Days	-	-
Volatility (ann.)	12.21%	0.45%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.22	-
Skew	2.3	7.93
Kurtosis	235.91	124.61
Expected Daily	0.02%	0.04%
Expected Monthly	0.48%	0.85%
Expected Yearly	5.37%	9.62%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.24%	-0.01%
Expected Shortfall (cVaR)	-1.24%	-0.01%
Max Consecutive Wins	9	1788
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	0.81	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.35	-
CPC Index	-	-
Tail Ratio	1.15	4.69
Outlier Win Ratio	2.11	17.35
Outlier Loss Ratio	1.81	-
MTD	0.21%	0.37%
3M	2.6%	3.71%
6M	4.03%	7.74%
YTD	2.06%	2.78%
1Y	17.32%	18.02%
3Y (ann.)	7.57%	16.7%
5Y (ann.)	4.97%	13.12%
10Y (ann.)	6.05%	10.87%
All-time (ann.)	6.05%	10.87%
Best Day	17.61%	0.51%
Worst Day	-14.34%	0.0%
Best Month	12.23%	1.83%
Worst Month	-5.81%	0.37%
Best Year	21.68%	19.38%
Worst Year	-5.45%	2.78%
Avg. Drawdown	-1.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.91	-
Ulcer Index	0.05	0.0
Serenity Index	0.79	-
Avg. Up Month	2.12%	0.85%
Avg. Down Month	-	-
Win Days	51.79%	100.0%
Win Month	57.47%	100.0%
Win Quarter	65.52%	100.0%
Win Year	75.0%	100.0%
Beta	-0.62	-
Alpha	0.13	-
Correlation	-2.31%	-
Treynor Ratio	-83.42%	-