SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	53.25%	53.65%
CAGR﹪	12.98%	13.06%
Sharpe	4.7	23.2
Prob. Sharpe Ratio	99.99%	100.0%
Smart Sharpe	4.1	20.26
Sortino	7.5	-
Smart Sortino	6.55	-
Sortino/√2	5.3	-
Smart Sortino/√2	4.63	-
Omega	6.68	6.68
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.65%	0.54%
R^2	0.07	0.07
Information Ratio	-0.0	-0.0
Calmar	4.55	-
Skew	0.01	8.98
Kurtosis	190.12	119.89
Expected Daily	0.05%	0.05%
Expected Monthly	1.0%	1.0%
Expected Yearly	8.91%	8.97%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.22%	-0.01%
Expected Shortfall (cVaR)	-0.22%	-0.01%
Max Consecutive Wins	342	867
Max Consecutive Losses	3	0
Gain/Pain Ratio	5.68	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	6.68	-
Common Sense Ratio	55.32	-
CPC Index	-	-
Tail Ratio	8.28	3.44
Outlier Win Ratio	2.42	3.1
Outlier Loss Ratio	0.44	-
MTD	0.34%	0.32%
3M	5.25%	5.55%
6M	10.74%	11.12%
YTD	5.41%	5.64%
1Y	20.0%	20.71%
3Y (ann.)	13.32%	13.59%
5Y (ann.)	12.98%	13.06%
10Y (ann.)	12.98%	13.06%
All-time (ann.)	12.98%	13.06%
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	18.25%	18.74%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.12%	-
Avg. Drawdown Days	-	-
Recovery Factor	18.65	-
Ulcer Index	0.0	0.0
Serenity Index	268.28	-
Avg. Up Month	1.0%	1.0%
Avg. Down Month	-	-
Win Days	91.04%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.28	-
Alpha	-0.04	-
Correlation	26.01%	-
Treynor Ratio	41.6%	-