SBGB RUB[Strategy] vs Deposit RUB[Benchmark]

25 Jan, 2019 - 20 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	53.46%	124.08%
CAGR﹪	5.75%	11.11%
Sharpe	0.52	23.86
Prob. Sharpe Ratio	92.93%	100.0%
Smart Sharpe	0.37	16.82
Sortino	0.78	-
Smart Sortino	0.55	-
Sortino/√2	0.55	-
Smart Sortino/√2	0.39	-
Omega	1.16	1.16
Max Drawdown	-27.13%	-
Longest DD Days	-	-
Volatility (ann.)	11.79%	0.43%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.21	-
Skew	2.34	8.25
Kurtosis	247.05	135.5
Expected Daily	0.02%	0.04%
Expected Monthly	0.46%	0.87%
Expected Yearly	5.5%	10.61%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.2%	-0.0%
Expected Shortfall (cVaR)	-1.2%	-0.0%
Max Consecutive Wins	9	1968
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.16	-
Gain/Pain (1M)	0.78	-
Payoff Ratio	-	-
Profit Factor	1.16	-
Common Sense Ratio	1.34	-
CPC Index	-	-
Tail Ratio	1.15	4.62
Outlier Win Ratio	2.16	17.43
Outlier Loss Ratio	1.79	-
MTD	-0.12%	1.08%
3M	-1.09%	3.61%
6M	-0.38%	7.08%
YTD	3.08%	10.43%
1Y	7.92%	15.22%
3Y (ann.)	9.6%	17.67%
5Y (ann.)	4.89%	14.07%
10Y (ann.)	5.75%	11.11%
All-time (ann.)	5.75%	11.11%
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	1.97	-
Ulcer Index	0.05	0.0
Serenity Index	0.84	-
Avg. Up Month	2.13%	0.87%
Avg. Down Month	-	-
Win Days	51.71%	100.0%
Win Month	55.91%	100.0%
Win Quarter	64.52%	100.0%
Win Year	75.0%	100.0%
Beta	-0.62	-
Alpha	0.13	-
Correlation	-2.29%	-
Treynor Ratio	-85.86%	-