SBLB RUB[Strategy] vs Deposit RUB[Benchmark]

5 Apr, 2024 - 17 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	97.0%
Cumulative Return	-0.95%	2.44%
CAGR﹪	-7.93%	23.29%
Sharpe	-0.67	46.17
Prob. Sharpe Ratio	41.23%	100.0%
Smart Sharpe	-0.54	36.68
Sortino	-1.08	-
Smart Sortino	-0.86	-
Sortino/√2	-0.76	-
Smart Sortino/√2	-0.61	-
Omega	0.87	0.87
Max Drawdown	-4.08%	-
Longest DD Days	-	-
Volatility (ann.)	10.98%	0.44%
R^2	0.02	0.02
Information Ratio	-0.16	-0.16
Calmar	-1.95	-
Skew	1.51	-0.37
Kurtosis	6.28	0.64
Expected Daily	-0.03%	0.08%
Expected Monthly	-0.47%	1.21%
Expected Yearly	-0.95%	2.44%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.17%	-0.03%
Expected Shortfall (cVaR)	-1.17%	-0.03%
Max Consecutive Wins	3	29
Max Consecutive Losses	3	0
Gain/Pain Ratio	-0.13	-
Gain/Pain (1M)	-0.47	-
Payoff Ratio	-	-
Profit Factor	0.87	-
Common Sense Ratio	0.67	-
CPC Index	-	-
Tail Ratio	0.77	1.73
Outlier Win Ratio	3.19	13.62
Outlier Loss Ratio	1.22	-
MTD	-1.86%	1.25%
3M	-0.95%	2.44%
6M	-0.95%	2.44%
YTD	-0.95%	2.44%
1Y	-0.95%	2.44%
3Y (ann.)	-7.93%	23.29%
5Y (ann.)	-7.93%	23.29%
10Y (ann.)	-7.93%	23.29%
All-time (ann.)	-7.93%	23.29%
Best Day	2.56%	0.11%
Worst Day	-1.29%	0.0%
Best Month	0.93%	1.25%
Worst Month	-1.86%	1.18%
Best Year	-0.95%	2.44%
Worst Year	-0.95%	2.44%
Avg. Drawdown	-1.23%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.23	-
Ulcer Index	0.02	0.0
Serenity Index	-0.07	-
Avg. Up Month	0.93%	1.18%
Avg. Down Month	-	-
Win Days	51.85%	100.0%
Win Month	50.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-3.41	-
Alpha	0.62	-
Correlation	-13.6%	-
Treynor Ratio	0.28%	-