SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 5 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	54.66%	119.56%
CAGR﹪	5.96%	11.01%
Sharpe	0.54	23.57
Prob. Sharpe Ratio	93.27%	100.0%
Smart Sharpe	0.38	16.6
Sortino	0.8	-
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.)	11.89%	0.44%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.22	-
Skew	2.32	8.25
Kurtosis	243.69	134.4
Expected Daily	0.02%	0.04%
Expected Monthly	0.48%	0.86%
Expected Yearly	5.6%	10.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-0.0%
Expected Shortfall (cVaR)	-1.21%	-0.0%
Max Consecutive Wins	9	1927
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	0.8	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.35	-
CPC Index	-	-
Tail Ratio	1.16	4.62
Outlier Win Ratio	2.16	17.57
Outlier Loss Ratio	1.8	-
MTD	0.51%	0.1%
3M	-1.31%	3.2%
6M	4.17%	6.75%
YTD	3.89%	8.2%
1Y	8.18%	15.23%
3Y (ann.)	8.63%	17.43%
5Y (ann.)	4.68%	13.8%
10Y (ann.)	5.96%	11.01%
All-time (ann.)	5.96%	11.01%
Best Day	17.61%	0.51%
Worst Day	-14.34%	0.0%
Best Month	12.23%	1.83%
Worst Month	-5.81%	0.1%
Best Year	21.68%	19.38%
Worst Year	-5.45%	4.97%
Avg. Drawdown	-1.29%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.01	-
Ulcer Index	0.05	0.0
Serenity Index	0.85	-
Avg. Up Month	2.1%	0.86%
Avg. Down Month	-	-
Win Days	51.88%	100.0%
Win Month	57.61%	100.0%
Win Quarter	64.52%	100.0%
Win Year	75.0%	100.0%
Beta	-0.62	-
Alpha	0.13	-
Correlation	-2.28%	-
Treynor Ratio	-88.09%	-