SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 11 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	52.5%	125.09%
CAGR﹪	5.62%	11.09%
Sharpe	0.51	23.93
Prob. Sharpe Ratio	92.67%	100.0%
Smart Sharpe	0.36	16.88
Sortino	0.76	-
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.)	11.74%	0.43%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.21	-
Skew	2.34	8.38
Kurtosis	248.81	138.85
Expected Daily	0.02%	0.04%
Expected Monthly	0.45%	0.87%
Expected Yearly	5.42%	10.67%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-0.0%
Expected Shortfall (cVaR)	-1.19%	-0.0%
Max Consecutive Wins	9	1989
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.16	-
Gain/Pain (1M)	0.76	-
Payoff Ratio	-	-
Profit Factor	1.16	-
Common Sense Ratio	1.32	-
CPC Index	-	-
Tail Ratio	1.14	4.62
Outlier Win Ratio	2.17	17.48
Outlier Loss Ratio	1.78	-
MTD	0.72%	0.44%
3M	1.14%	3.37%
6M	-1.31%	6.73%
YTD	2.44%	10.93%
1Y	8.98%	14.75%
3Y (ann.)	7.98%	17.6%
5Y (ann.)	5.29%	14.09%
10Y (ann.)	5.62%	11.09%
All-time (ann.)	5.62%	11.09%
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	1.93	-
Ulcer Index	0.05	0.0
Serenity Index	0.83	-
Avg. Up Month	2.11%	0.87%
Avg. Down Month	-	-
Win Days	51.66%	100.0%
Win Month	56.38%	100.0%
Win Quarter	65.62%	100.0%
Win Year	75.0%	100.0%
Beta	-0.62	-
Alpha	0.12	-
Correlation	-2.26%	-
Treynor Ratio	-85.07%	-