SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 27 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	56.09%	112.49%
CAGR﹪	6.33%	10.94%
Sharpe	0.57	23.17
Prob. Sharpe Ratio	93.73%	100.0%
Smart Sharpe	0.39	16.15
Sortino	0.84	-
Smart Sortino	0.59	-
Sortino/√2	0.6	-
Smart Sortino/√2	0.42	-
Omega	1.18	1.18
Max Drawdown	-27.13%	-
Longest DD Days	-	-
Volatility (ann.)	12.08%	0.45%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.23	-
Skew	2.31	8.04
Kurtosis	240.19	127.94
Expected Daily	0.02%	0.04%
Expected Monthly	0.51%	0.86%
Expected Yearly	5.72%	9.88%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.22%	-0.01%
Expected Shortfall (cVaR)	-1.22%	-0.01%
Max Consecutive Wins	9	1834
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.18	-
Gain/Pain (1M)	0.86	-
Payoff Ratio	-	-
Profit Factor	1.18	-
Common Sense Ratio	1.38	-
CPC Index	-	-
Tail Ratio	1.17	4.62
Outlier Win Ratio	2.13	17.3
Outlier Loss Ratio	1.79	-
MTD	1.24%	1.12%
3M	5.79%	3.64%
6M	10.47%	7.73%
YTD	4.85%	4.71%
1Y	21.02%	17.04%
3Y (ann.)	7.9%	17.05%
5Y (ann.)	5.12%	13.38%
10Y (ann.)	6.33%	10.94%
All-time (ann.)	6.33%	10.94%
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%	4.71%
Avg. Drawdown	-1.21%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.07	-
Ulcer Index	0.05	0.0
Serenity Index	0.86	-
Avg. Up Month	2.13%	0.87%
Avg. Down Month	-	-
Win Days	52.11%	100.0%
Win Month	57.95%	100.0%
Win Quarter	66.67%	100.0%
Win Year	75.0%	100.0%
Beta	-0.62	-
Alpha	0.13	-
Correlation	-2.3%	-
Treynor Ratio	-90.08%	-