SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 8 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	38.27%	88.57%
CAGR﹪	5.15%	10.33%
Sharpe	0.46	21.17
Prob. Sharpe Ratio	88.11%	100.0%
Smart Sharpe	0.32	14.53
Sortino	0.69	-
Smart Sortino	0.47	-
Sortino/√2	0.49	-
Smart Sortino/√2	0.33	-
Omega	1.15	1.15
Max Drawdown	-27.13%	-
Longest DD Days	-	-
Volatility (ann.)	12.7%	0.47%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.19	-
Skew	2.28	8.05
Kurtosis	224.5	121.21
Expected Daily	0.02%	0.04%
Expected Monthly	0.41%	0.81%
Expected Yearly	4.74%	9.48%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.29%	-0.01%
Expected Shortfall (cVaR)	-1.29%	-0.01%
Max Consecutive Wins	9	1607
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.15	-
Gain/Pain (1M)	0.68	-
Payoff Ratio	-	-
Profit Factor	1.15	-
Common Sense Ratio	1.31	-
CPC Index	-	-
Tail Ratio	1.14	4.72
Outlier Win Ratio	2.41	20.6
Outlier Loss Ratio	1.85	-
MTD	0.44%	0.46%
3M	11.21%	4.96%
6M	13.13%	10.74%
YTD	13.02%	10.94%
1Y	23.91%	21.83%
3Y (ann.)	3.89%	14.66%
5Y (ann.)	2.2%	11.5%
10Y (ann.)	5.15%	10.33%
All-time (ann.)	5.15%	10.33%
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	16.54%	18.74%
Worst Year	-5.45%	4.97%
Avg. Drawdown	-1.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.41	-
Ulcer Index	0.05	0.0
Serenity Index	0.55	-
Avg. Up Month	2.12%	0.79%
Avg. Down Month	-	-
Win Days	51.81%	100.0%
Win Month	55.7%	100.0%
Win Quarter	62.96%	100.0%
Win Year	71.43%	100.0%
Beta	-0.69	-
Alpha	0.13	-
Correlation	-2.57%	-
Treynor Ratio	-55.19%	-