SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	28.65%	28.66%
CAGR﹪	10.43%	10.43%
Sharpe	3.32	18.09
Prob. Sharpe Ratio	99.95%	100.0%
Smart Sharpe	2.88	15.68
Sortino	5.23	-
Smart Sortino	4.54	-
Sortino/√2	3.7	-
Smart Sortino/√2	3.21	-
Omega	4.36	4.36
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	3.08%	0.56%
R^2	0.06	0.06
Information Ratio	0.0	0.0
Calmar	3.65	-
Skew	0.13	11.48
Kurtosis	143.33	150.49
Expected Daily	0.04%	0.04%
Expected Monthly	0.82%	0.82%
Expected Yearly	6.5%	6.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.28%	-0.02%
Expected Shortfall (cVaR)	-0.28%	-0.02%
Max Consecutive Wins	97	622
Max Consecutive Losses	3	0
Gain/Pain Ratio	3.36	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	4.36	-
Common Sense Ratio	15.95	-
CPC Index	-	-
Tail Ratio	3.65	2.49
Outlier Win Ratio	3.11	4.6
Outlier Loss Ratio	0.55	-
MTD	0.86%	1.24%
3M	3.93%	4.3%
6M	7.65%	7.97%
YTD	4.63%	5.04%
1Y	12.29%	12.88%
3Y (ann.)	10.43%	10.43%
5Y (ann.)	10.43%	10.43%
10Y (ann.)	10.43%	10.43%
All-time (ann.)	10.43%	10.43%
Best Day	2.57%	0.51%
Worst Day	-2.86%	0.0%
Best Month	2.16%	1.55%
Worst Month	0.16%	0.53%
Best Year	10.56%	10.0%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.12%	-
Avg. Drawdown Days	-	-
Recovery Factor	10.03	-
Ulcer Index	0.0	0.0
Serenity Index	119.28	-
Avg. Up Month	0.82%	0.82%
Avg. Down Month	-	-
Win Days	87.52%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.37	-
Alpha	-0.04	-
Correlation	24.97%	-
Treynor Ratio	20.97%	-