SBHI RUB[Strategy] vs Deposit RUB[Benchmark]

18 Nov, 2021 - 9 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-35.45%	87.02%
CAGR﹪	-8.85%	14.16%
Sharpe	-0.24	17.49
Prob. Sharpe Ratio	29.69%	99.42%
Smart Sharpe	-0.22	16.25
Sortino	-0.32	-
Smart Sortino	-0.3	-
Sortino/√2	-0.23	-
Smart Sortino/√2	-0.21	-
Omega	0.96	0.96
Max Drawdown	-53.65%	-
Longest DD Days	-	-
Volatility (ann.)	24.79%	0.74%
R^2	0.01	0.01
Information Ratio	-0.05	-0.05
Calmar	-0.16	-
Skew	-0.65	26.87
Kurtosis	6.47	857.02
Expected Daily	-0.04%	0.05%
Expected Monthly	-0.75%	1.09%
Expected Yearly	-7.04%	11.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-0.03%
Expected Shortfall (cVaR)	-2.59%	-0.03%
Max Consecutive Wins	8	1211
Max Consecutive Losses	14	0
Gain/Pain Ratio	-0.04	-
Gain/Pain (1M)	-0.15	-
Payoff Ratio	-	-
Profit Factor	0.96	-
Common Sense Ratio	0.88	-
CPC Index	-	-
Tail Ratio	0.92	3.11
Outlier Win Ratio	2.0	39.5
Outlier Loss Ratio	1.86	-
MTD	4.19%	0.24%
3M	-7.7%	3.18%
6M	-16.9%	6.74%
YTD	-15.36%	8.35%
1Y	-22.4%	15.11%
3Y (ann.)	-9.64%	17.46%
5Y (ann.)	-8.85%	14.16%
10Y (ann.)	-8.85%	14.16%
All-time (ann.)	-8.85%	14.16%
Best Day	9.26%	1.55%
Worst Day	-12.25%	0.0%
Best Month	19.98%	1.83%
Worst Month	-20.25%	0.24%
Best Year	51.32%	19.38%
Worst Year	-39.14%	1.18%
Avg. Drawdown	-13.67%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.66	-
Ulcer Index	0.29	0.0
Serenity Index	-0.04	-
Avg. Up Month	5.29%	1.05%
Avg. Down Month	-	-
Win Days	51.39%	100.0%
Win Month	51.72%	100.0%
Win Quarter	40.0%	100.0%
Win Year	33.33%	100.0%
Beta	-3.36	-
Alpha	0.38	-
Correlation	-10.08%	-
Treynor Ratio	10.56%	-