SBGD RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2022 - 19 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	180.53%	70.78%
CAGR﹪	31.32%	15.18%
Sharpe	1.36	48.52
Prob. Sharpe Ratio	99.46%	-
Smart Sharpe	1.22	43.86
Sortino	1.98	-
Smart Sortino	1.79	-
Sortino/√2	1.4	-
Smart Sortino/√2	1.26	-
Omega	1.27	1.27
Max Drawdown	-28.59%	-
Longest DD Days	-	-
Volatility (ann.)	21.72%	0.29%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.1	-
Skew	-0.72	-0.09
Kurtosis	9.15	-1.02
Expected Daily	0.11%	0.06%
Expected Monthly	2.27%	1.17%
Expected Yearly	22.91%	11.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.13%	-0.03%
Expected Shortfall (cVaR)	-2.13%	-0.03%
Max Consecutive Wins	11	960
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.27	-
Gain/Pain (1M)	1.96	-
Payoff Ratio	-	-
Profit Factor	1.27	-
Common Sense Ratio	1.65	-
CPC Index	-	-
Tail Ratio	1.3	2.98
Outlier Win Ratio	1.79	32.01
Outlier Loss Ratio	1.86	-
MTD	-5.77%	1.08%
3M	-24.47%	3.76%
6M	-10.59%	7.46%
YTD	-11.49%	6.96%
1Y	15.67%	16.33%
3Y (ann.)	19.16%	17.42%
5Y (ann.)	31.32%	15.18%
10Y (ann.)	31.32%	15.18%
All-time (ann.)	31.32%	15.18%
Best Day	6.25%	0.09%
Worst Day	-12.71%	0.0%
Best Month	20.57%	1.83%
Worst Month	-7.96%	0.52%
Best Year	45.34%	19.38%
Worst Year	-11.49%	2.39%
Avg. Drawdown	-2.85%	-
Avg. Drawdown Days	-	-
Recovery Factor	6.31	-
Ulcer Index	0.06	0.0
Serenity Index	3.15	-
Avg. Up Month	5.74%	1.15%
Avg. Down Month	-	-
Win Days	55.03%	100.0%
Win Month	65.22%	100.0%
Win Quarter	68.75%	100.0%
Win Year	80.0%	100.0%
Beta	-2.21	-
Alpha	0.6	-
Correlation	-2.95%	-
Treynor Ratio	-81.64%	-