SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 10 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	80.4%	78.47%
CAGR﹪	14.25%	13.97%
Sharpe	5.67	27.06
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.96	23.69
Sortino	9.15	-
Smart Sortino	8.01	-
Sortino/√2	6.47	-
Smart Sortino/√2	5.66	-
Omega	8.83	8.83
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.36%	0.48%
R^2	0.07	0.07
Information Ratio	0.01	0.01
Calmar	4.99	-
Skew	-0.05	9.32
Kurtosis	233.36	138.51
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.08%
Expected Yearly	10.33%	10.14%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.0%
Expected Shortfall (cVaR)	-0.19%	-0.0%
Max Consecutive Wins	361	1112
Max Consecutive Losses	3	0
Gain/Pain Ratio	7.83	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	8.83	-
Common Sense Ratio	144.25	-
CPC Index	-	-
Tail Ratio	16.33	3.18
Outlier Win Ratio	2.33	2.89
Outlier Loss Ratio	0.35	-
MTD	0.33%	0.37%
3M	3.98%	3.67%
6M	8.36%	7.74%
YTD	2.8%	2.78%
1Y	19.63%	18.02%
3Y (ann.)	16.89%	16.7%
5Y (ann.)	14.25%	13.97%
10Y (ann.)	14.25%	13.97%
All-time (ann.)	14.25%	13.97%
Best Day	2.57%	0.51%
Worst Day	-2.86%	0.0%
Best Month	2.16%	1.83%
Worst Month	0.16%	0.37%
Best Year	20.7%	19.38%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	28.16	-
Ulcer Index	0.0	0.0
Serenity Index	467.73	-
Avg. Up Month	1.1%	1.08%
Avg. Down Month	-	-
Win Days	92.56%	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	26.22%	-
Treynor Ratio	62.91%	-