SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 12 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	50.8%	118.0%
CAGR﹪	5.66%	11.0%
Sharpe	0.52	23.5
Prob. Sharpe Ratio	92.29%	100.0%
Smart Sharpe	0.36	16.48
Sortino	0.77	-
Smart Sortino	0.54	-
Sortino/√2	0.54	-
Smart Sortino/√2	0.38	-
Omega	1.16	1.16
Max Drawdown	-27.13%	-
Longest DD Days	-	-
Volatility (ann.)	11.91%	0.44%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.21	-
Skew	2.33	8.2
Kurtosis	244.68	132.97
Expected Daily	0.02%	0.04%
Expected Monthly	0.45%	0.86%
Expected Yearly	5.27%	10.23%
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	1905
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.16	-
Gain/Pain (1M)	0.75	-
Payoff Ratio	-	-
Profit Factor	1.16	-
Common Sense Ratio	1.34	-
CPC Index	-	-
Tail Ratio	1.15	4.62
Outlier Win Ratio	2.14	17.29
Outlier Loss Ratio	1.82	-
MTD	-0.12%	0.45%
3M	-2.77%	3.33%
6M	0.83%	7.25%
YTD	1.29%	7.43%
1Y	9.29%	15.51%
3Y (ann.)	7.37%	17.41%
5Y (ann.)	4.22%	13.72%
10Y (ann.)	5.66%	11.0%
All-time (ann.)	5.66%	11.0%
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%	4.97%
Avg. Drawdown	-1.29%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.87	-
Ulcer Index	0.05	0.0
Serenity Index	0.79	-
Avg. Up Month	2.14%	0.87%
Avg. Down Month	-	-
Win Days	51.84%	100.0%
Win Month	56.04%	100.0%
Win Quarter	61.29%	100.0%
Win Year	75.0%	100.0%
Beta	-0.61	-
Alpha	0.12	-
Correlation	-2.26%	-
Treynor Ratio	-82.86%	-