SBGD RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2022 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	233.22%	75.23%
CAGR﹪	34.94%	14.99%
Sharpe	1.46	49.61
Prob. Sharpe Ratio	99.77%	-
Smart Sharpe	1.31	44.38
Sortino	2.15	-
Smart Sortino	1.92	-
Sortino/√2	1.52	-
Smart Sortino/√2	1.36	-
Omega	1.29	1.29
Max Drawdown	-28.59%	-
Longest DD Days	-	-
Volatility (ann.)	22.02%	0.28%
R^2	0.0	0.0
Information Ratio	0.05	0.05
Calmar	1.22	-
Skew	-0.64	0.0
Kurtosis	8.24	-0.88
Expected Daily	0.12%	0.05%
Expected Monthly	2.49%	1.15%
Expected Yearly	27.22%	11.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.15%	-0.03%
Expected Shortfall (cVaR)	-2.15%	-0.03%
Max Consecutive Wins	11	1020
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.29	-
Gain/Pain (1M)	2.33	-
Payoff Ratio	-	-
Profit Factor	1.29	-
Common Sense Ratio	1.68	-
CPC Index	-	-
Tail Ratio	1.3	2.98
Outlier Win Ratio	1.86	34.64
Outlier Loss Ratio	1.85	-
MTD	-2.44%	0.46%
3M	21.85%	3.3%
6M	-11.92%	6.8%
YTD	5.13%	9.75%
1Y	17.08%	14.98%
3Y (ann.)	24.97%	17.55%
5Y (ann.)	34.94%	14.99%
10Y (ann.)	34.94%	14.99%
All-time (ann.)	34.94%	14.99%
Best Day	6.25%	0.09%
Worst Day	-12.71%	0.0%
Best Month	20.57%	1.83%
Worst Month	-7.96%	0.46%
Best Year	45.34%	19.38%
Worst Year	5.13%	2.39%
Avg. Drawdown	-2.85%	-
Avg. Drawdown Days	-	-
Recovery Factor	8.16	-
Ulcer Index	0.08	0.0
Serenity Index	2.78	-
Avg. Up Month	5.92%	1.15%
Avg. Down Month	-	-
Win Days	55.08%	100.0%
Win Month	65.31%	100.0%
Win Quarter	70.59%	100.0%
Win Year	100.0%	100.0%
Beta	-1.76	-
Alpha	0.56	-
Correlation	-2.23%	-
Treynor Ratio	-132.76%	-