SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 19 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	76.63%	75.82%
CAGR﹪	14.17%	14.05%
Sharpe	5.57	26.11
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.88	22.85
Sortino	8.99	-
Smart Sortino	7.87	-
Sortino/√2	6.36	-
Smart Sortino/√2	5.56	-
Omega	8.56	8.56
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.4%	0.51%
R^2	0.07	0.07
Information Ratio	0.0	0.0
Calmar	4.96	-
Skew	-0.05	8.51
Kurtosis	226.11	118.49
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.09%
Expected Yearly	9.95%	9.86%
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	1071
Max Consecutive Losses	3	0
Gain/Pain Ratio	7.56	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	8.56	-
Common Sense Ratio	81.43	-
CPC Index	-	-
Tail Ratio	9.51	3.18
Outlier Win Ratio	2.75	3.39
Outlier Loss Ratio	0.34	-
MTD	0.66%	1.26%
3M	4.17%	4.46%
6M	8.74%	8.55%
YTD	0.66%	1.26%
1Y	20.37%	19.82%
3Y (ann.)	16.42%	16.52%
5Y (ann.)	14.17%	14.05%
10Y (ann.)	14.17%	14.05%
All-time (ann.)	14.17%	14.05%
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	20.7%	19.38%
Worst Year	0.66%	1.26%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	26.84	-
Ulcer Index	0.0	0.0
Serenity Index	436.32	-
Avg. Up Month	1.1%	1.09%
Avg. Down Month	-	-
Win Days	92.58%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.22	-
Alpha	-0.03	-
Correlation	25.74%	-
Treynor Ratio	62.93%	-