SBGD RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2022 - 2 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	190.99%	78.33%
CAGR﹪	29.28%	14.92%
Sharpe	1.27	50.18
Prob. Sharpe Ratio	99.41%	-
Smart Sharpe	1.14	45.04
Sortino	1.85	-
Smart Sortino	1.66	-
Sortino/√2	1.31	-
Smart Sortino/√2	1.17	-
Omega	1.25	1.25
Max Drawdown	-28.59%	-
Longest DD Days	-	-
Volatility (ann.)	22.01%	0.27%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.02	-
Skew	-0.62	0.04
Kurtosis	7.94	-0.83
Expected Daily	0.1%	0.05%
Expected Monthly	2.12%	1.14%
Expected Yearly	23.82%	12.27%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.17%	-0.03%
Expected Shortfall (cVaR)	-2.17%	-0.03%
Max Consecutive Wins	11	1056
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.25	-
Gain/Pain (1M)	1.67	-
Payoff Ratio	-	-
Profit Factor	1.25	-
Common Sense Ratio	1.56	-
CPC Index	-	-
Tail Ratio	1.25	2.98
Outlier Win Ratio	1.86	34.73
Outlier Loss Ratio	1.83	-
MTD	1.18%	0.05%
3M	-0.83%	3.34%
6M	-8.71%	6.69%
YTD	-8.19%	11.7%
1Y	-2.01%	14.52%
3Y (ann.)	20.17%	17.54%
5Y (ann.)	29.28%	14.92%
10Y (ann.)	29.28%	14.92%
All-time (ann.)	29.28%	14.92%
Best Day	6.25%	0.09%
Worst Day	-12.71%	0.0%
Best Month	20.57%	1.83%
Worst Month	-8.53%	0.05%
Best Year	45.34%	19.38%
Worst Year	-8.19%	2.39%
Avg. Drawdown	-2.85%	-
Avg. Drawdown Days	-	-
Recovery Factor	6.68	-
Ulcer Index	0.08	0.0
Serenity Index	2.01	-
Avg. Up Month	5.78%	1.12%
Avg. Down Month	-	-
Win Days	54.43%	100.0%
Win Month	64.71%	100.0%
Win Quarter	66.67%	100.0%
Win Year	80.0%	100.0%
Beta	-1.42	-
Alpha	0.47	-
Correlation	-1.77%	-
Treynor Ratio	-134.63%	-