SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	69.56%	69.26%
CAGR﹪	13.98%	13.93%
Sharpe	5.34	25.58
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.68	22.39
Sortino	8.59	-
Smart Sortino	7.52	-
Sortino/√2	6.08	-
Smart Sortino/√2	5.32	-
Omega	8.02	8.02
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.47%	0.51%
R^2	0.07	0.07
Information Ratio	0.0	0.0
Calmar	4.9	-
Skew	-0.04	8.71
Kurtosis	215.37	121.55
Expected Daily	0.05%	0.05%
Expected Monthly	1.08%	1.08%
Expected Yearly	11.14%	11.1%
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	1010
Max Consecutive Losses	3	0
Gain/Pain Ratio	7.02	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	8.02	-
Common Sense Ratio	73.77	-
CPC Index	-	-
Tail Ratio	9.2	3.2
Outlier Win Ratio	2.4	2.99
Outlier Loss Ratio	0.34	-
MTD	0.86%	1.29%
3M	4.6%	4.62%
6M	9.96%	9.53%
YTD	16.63%	16.38%
1Y	21.78%	21.61%
3Y (ann.)	15.49%	15.81%
5Y (ann.)	13.98%	13.93%
10Y (ann.)	13.98%	13.93%
All-time (ann.)	13.98%	13.93%
Best Day	2.57%	0.51%
Worst Day	-2.86%	0.0%
Best Month	2.16%	1.83%
Worst Month	0.16%	0.53%
Best Year	18.25%	18.74%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	24.36	-
Ulcer Index	0.0	0.0
Serenity Index	382.89	-
Avg. Up Month	1.08%	1.08%
Avg. Down Month	-	-
Win Days	92.12%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.26	-
Alpha	-0.03	-
Correlation	26.06%	-
Treynor Ratio	55.42%	-