SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	73.34%	72.0%
CAGR﹪	14.1%	13.89%
Sharpe	5.47	26.22
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.78	22.95
Sortino	8.8	-
Smart Sortino	7.7	-
Sortino/√2	6.22	-
Smart Sortino/√2	5.45	-
Omega	8.31	8.31
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.43%	0.5%
R^2	0.07	0.07
Information Ratio	0.01	0.01
Calmar	4.94	-
Skew	-0.04	9.15
Kurtosis	222.08	132.06
Expected Daily	0.05%	0.05%
Expected Monthly	1.08%	1.07%
Expected Yearly	11.63%	11.46%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.0%
Expected Shortfall (cVaR)	-0.2%	-0.0%
Max Consecutive Wins	361	1045
Max Consecutive Losses	3	0
Gain/Pain Ratio	7.31	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	8.31	-
Common Sense Ratio	76.34	-
CPC Index	-	-
Tail Ratio	9.18	3.18
Outlier Win Ratio	2.31	2.88
Outlier Loss Ratio	0.34	-
MTD	0.32%	0.32%
3M	4.36%	4.02%
6M	9.37%	8.47%
YTD	19.23%	18.26%
1Y	21.16%	20.11%
3Y (ann.)	15.98%	16.04%
5Y (ann.)	14.1%	13.89%
10Y (ann.)	14.1%	13.89%
All-time (ann.)	14.1%	13.89%
Best Day	2.57%	0.51%
Worst Day	-2.86%	0.0%
Best Month	2.16%	1.83%
Worst Month	0.16%	0.32%
Best Year	19.23%	18.74%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	25.69	-
Ulcer Index	0.0	0.0
Serenity Index	411.48	-
Avg. Up Month	1.09%	1.07%
Avg. Down Month	-	-
Win Days	92.39%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.28	-
Alpha	-0.03	-
Correlation	26.28%	-
Treynor Ratio	57.23%	-