SBLB RUB[Strategy] vs Deposit RUB[Benchmark]

5 Apr, 2024 - 26 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	25.16%	47.58%
CAGR﹪	10.22%	18.38%
Sharpe	0.86	61.28
Prob. Sharpe Ratio	91.99%	-
Smart Sharpe	0.69	48.87
Sortino	1.41	-
Smart Sortino	1.13	-
Sortino/√2	1.0	-
Smart Sortino/√2	0.8	-
Omega	1.17	1.17
Max Drawdown	-14.73%	-
Longest DD Days	-	-
Volatility (ann.)	11.16%	0.26%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.69	-
Skew	1.16	-0.25
Kurtosis	6.45	-0.81
Expected Daily	0.04%	0.06%
Expected Monthly	0.8%	1.4%
Expected Yearly	7.77%	13.85%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.12%	-0.04%
Expected Shortfall (cVaR)	-1.12%	-0.04%
Max Consecutive Wins	9	625
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	0.73	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.29	-
CPC Index	-	-
Tail Ratio	1.11	2.29
Outlier Win Ratio	2.12	17.21
Outlier Loss Ratio	1.64	-
MTD	2.91%	1.07%
3M	-2.34%	3.43%
6M	2.73%	7.1%
YTD	1.9%	8.09%
1Y	5.84%	15.53%
3Y (ann.)	10.22%	18.38%
5Y (ann.)	10.22%	18.38%
10Y (ann.)	10.22%	18.38%
All-time (ann.)	10.22%	18.38%
Best Day	4.91%	0.09%
Worst Day	-1.8%	0.0%
Best Month	11.99%	1.83%
Worst Month	-7.1%	1.06%
Best Year	19.62%	19.38%
Worst Year	1.9%	8.09%
Avg. Drawdown	-2.33%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.71	-
Ulcer Index	0.06	0.0
Serenity Index	0.28	-
Avg. Up Month	3.01%	1.41%
Avg. Down Month	-	-
Win Days	51.54%	100.0%
Win Month	67.86%	100.0%
Win Quarter	70.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.36	-
Alpha	-0.27	-
Correlation	5.42%	-
Treynor Ratio	10.65%	-