SBLB RUB[Strategy] vs Deposit RUB[Benchmark]

5 Apr, 2024 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	23.0%	35.69%
CAGR﹪	13.05%	19.82%
Sharpe	1.04	105.73
Prob. Sharpe Ratio	92.16%	100.0%
Smart Sharpe	0.82	83.15
Sortino	1.73	-
Smart Sortino	1.36	-
Sortino/√2	1.23	-
Smart Sortino/√2	0.96	-
Omega	1.2	1.2
Max Drawdown	-14.73%	-
Longest DD Days	-	-
Volatility (ann.)	12.29%	0.17%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	0.89	-
Skew	1.17	-0.43
Kurtosis	5.67	3.09
Expected Daily	0.05%	0.07%
Expected Monthly	0.99%	1.46%
Expected Yearly	10.91%	16.49%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.22%	-0.05%
Expected Shortfall (cVaR)	-1.22%	-0.05%
Max Consecutive Wins	9	432
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.2	-
Gain/Pain (1M)	0.82	-
Payoff Ratio	-	-
Profit Factor	1.2	-
Common Sense Ratio	1.44	-
CPC Index	-	-
Tail Ratio	1.2	1.56
Outlier Win Ratio	2.16	17.72
Outlier Loss Ratio	1.44	-
MTD	2.62%	0.65%
3M	1.19%	4.05%
6M	12.12%	8.41%
YTD	19.79%	18.65%
1Y	31.36%	20.01%
3Y (ann.)	13.05%	19.82%
5Y (ann.)	13.05%	19.82%
10Y (ann.)	13.05%	19.82%
All-time (ann.)	13.05%	19.82%
Best Day	4.91%	0.09%
Worst Day	-1.8%	0.0%
Best Month	11.99%	1.83%
Worst Month	-7.1%	0.65%
Best Year	19.79%	18.65%
Worst Year	2.68%	14.37%
Avg. Drawdown	-2.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.56	-
Ulcer Index	0.07	0.0
Serenity Index	0.22	-
Avg. Up Month	3.28%	1.44%
Avg. Down Month	-	-
Win Days	51.88%	100.0%
Win Month	71.43%	100.0%
Win Quarter	71.43%	100.0%
Win Year	100.0%	100.0%
Beta	5.41	-
Alpha	-0.83	-
Correlation	7.41%	-
Treynor Ratio	4.25%	-