SBHI RUB[Strategy] vs Deposit RUB[Benchmark]

18 Nov, 2021 - 6 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-35.17%	91.09%
CAGR﹪	-8.49%	14.17%
Sharpe	-0.22	17.69
Prob. Sharpe Ratio	30.8%	99.42%
Smart Sharpe	-0.21	16.44
Sortino	-0.3	-
Smart Sortino	-0.28	-
Sortino/√2	-0.21	-
Smart Sortino/√2	-0.2	-
Omega	0.96	0.96
Max Drawdown	-53.65%	-
Longest DD Days	-	-
Volatility (ann.)	24.81%	0.73%
R^2	0.01	0.01
Information Ratio	-0.05	-0.05
Calmar	-0.16	-
Skew	-0.64	27.39
Kurtosis	6.19	891.55
Expected Daily	-0.03%	0.05%
Expected Monthly	-0.72%	1.09%
Expected Yearly	-6.97%	11.4%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-0.02%
Expected Shortfall (cVaR)	-2.59%	-0.02%
Max Consecutive Wins	8	1264
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	3.01
Outlier Win Ratio	1.95	39.03
Outlier Loss Ratio	1.84	-
MTD	2.69%	0.24%
3M	12.34%	3.34%
6M	-12.5%	6.71%
YTD	-14.99%	10.71%
1Y	-10.94%	14.84%
3Y (ann.)	-9.93%	17.58%
5Y (ann.)	-8.49%	14.17%
10Y (ann.)	-8.49%	14.17%
All-time (ann.)	-8.49%	14.17%
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	0.3	0.0
Serenity Index	-0.04	-
Avg. Up Month	5.15%	1.05%
Avg. Down Month	-	-
Win Days	51.61%	100.0%
Win Month	51.67%	100.0%
Win Quarter	42.86%	100.0%
Win Year	33.33%	100.0%
Beta	-3.35	-
Alpha	0.38	-
Correlation	-9.85%	-
Treynor Ratio	10.5%	-