SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 19 Jan, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	14.22%	19.71%
CAGR%	4.55%	6.21%
Sharpe	0.71	25.26
Sortino	0.94	104.61
Max Drawdown	-10.79%	-0.1%
Longest DD Days	406	1
Volatility (ann.)	6.66%	0.24%
R^2	0.0	0.0
Calmar	0.42	62.15
Skew	-2.21	13.77
Kurtosis	27.37	304.3
Expected Daily %	0.02%	0.02%
Expected Monthly %	0.36%	0.49%
Expected Yearly %	3.38%	4.6%
Kelly Criterion	35.24%	99.31%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.67%	-0.0%
Expected Shortfall (cVaR)	-1.51%	-1.51%
Payoff Ratio	2.52	0.24
Profit Factor	0.16	180.1
Common Sense Ratio	0.2	341.59
CPC Index	0.22	43.36
Tail Ratio	1.22	1.9
Outlier Win Ratio	2.15	22.28
Outlier Loss Ratio	2.12	5.33
MTD	-3.38%	0.64%
3M	-6.0%	2.15%
6M	-6.04%	3.73%
YTD	-3.38%	0.64%
1Y	-8.19%	6.29%
3Y (ann.)	4.55%	6.21%
5Y (ann.)	4.55%	6.21%
10Y (ann.)	4.55%	6.21%
All-time (ann.)	4.55%	6.21%
Best Day	2.56%	0.35%
Worst Day	-4.42%	-0.1%
Best Month	4.63%	0.64%
Worst Month	-3.38%	0.37%
Best Year	16.54%	7.09%
Worst Year	-5.45%	0.64%
Avg. Drawdown	-0.98%	-0.1%
Avg. Drawdown Days	22	1
Recovery Factor	1.32	197.29
Ulcer Index	inf	inf
Avg. Up Month	1.39%	0.51%
Avg. Down Month	nan%	nan%
Win Days %	53.62%	99.87%
Win Month %	59.46%	100.0%
Win Quarter %	61.54%	100.0%
Win Year %	50.0%	100.0%
Beta	-0.22	-
Alpha	0.06	-