SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	91.37%	88.26%
CAGR﹪	14.31%	13.93%
Sharpe	5.84	27.41
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.13	24.08
Sortino	9.46	-
Smart Sortino	8.31	-
Sortino/√2	6.69	-
Smart Sortino/√2	5.88	-
Omega	9.53	9.53
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.23%	0.46%
R^2	0.07	0.07
Information Ratio	0.01	0.01
Calmar	5.01	-
Skew	-0.02	9.66
Kurtosis	259.36	150.36
Expected Daily	0.05%	0.05%
Expected Monthly	1.11%	1.08%
Expected Yearly	11.42%	11.12%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.0%
Expected Shortfall (cVaR)	-0.18%	-0.0%
Max Consecutive Wins	361	1257
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.53	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.53	-
Common Sense Ratio	160.61	-
CPC Index	-	-
Tail Ratio	16.85	3.1
Outlier Win Ratio	2.36	2.92
Outlier Loss Ratio	0.37	-
MTD	0.33%	0.31%
3M	3.62%	3.25%
6M	7.32%	6.68%
YTD	9.05%	8.42%
1Y	16.59%	15.18%
3Y (ann.)	18.0%	17.45%
5Y (ann.)	14.31%	13.93%
10Y (ann.)	14.31%	13.93%
All-time (ann.)	14.31%	13.93%
Best Day	2.57%	0.51%
Worst Day	-2.86%	0.0%
Best Month	2.16%	1.83%
Worst Month	0.16%	0.31%
Best Year	20.7%	19.38%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	32.0	-
Ulcer Index	0.0	0.0
Serenity Index	569.61	-
Avg. Up Month	1.11%	1.08%
Avg. Down Month	-	-
Win Days	92.29%	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	26.2%	-
Treynor Ratio	72.23%	-