SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 9 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	51.8%	108.47%
CAGR﹪	6.04%	10.86%
Sharpe	0.54	22.88
Prob. Sharpe Ratio	92.67%	100.0%
Smart Sharpe	0.38	15.92
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.)	12.22%	0.45%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.22	-
Skew	2.3	7.93
Kurtosis	235.78	124.55
Expected Daily	0.02%	0.04%
Expected Monthly	0.48%	0.85%
Expected Yearly	5.36%	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	1787
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	4.7
Outlier Win Ratio	2.11	17.35
Outlier Loss Ratio	1.81	-
MTD	0.12%	0.33%
3M	2.34%	3.71%
6M	3.44%	7.75%
YTD	1.97%	2.73%
1Y	17.21%	17.96%
3Y (ann.)	7.54%	16.7%
5Y (ann.)	4.86%	13.1%
10Y (ann.)	6.04%	10.86%
All-time (ann.)	6.04%	10.86%
Best Day	17.61%	0.51%
Worst Day	-14.34%	0.0%
Best Month	12.23%	1.83%
Worst Month	-5.81%	0.33%
Best Year	21.68%	19.38%
Worst Year	-5.45%	2.73%
Avg. Drawdown	-1.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.91	-
Ulcer Index	0.05	0.0
Serenity Index	0.78	-
Avg. Up Month	2.12%	0.85%
Avg. Down Month	-	-
Win Days	51.77%	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	-83.17%	-