SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 26 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	88.13%	85.71%
CAGR﹪	14.31%	13.99%
Sharpe	5.79	27.48
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.08	24.12
Sortino	9.38	-
Smart Sortino	8.23	-
Sortino/√2	6.63	-
Smart Sortino/√2	5.82	-
Omega	9.32	9.32
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.27%	0.47%
R^2	0.07	0.07
Information Ratio	0.01	0.01
Calmar	5.01	-
Skew	-0.03	9.62
Kurtosis	251.48	148.15
Expected Daily	0.05%	0.05%
Expected Monthly	1.11%	1.09%
Expected Yearly	11.11%	10.87%
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	1213
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.32	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.32	-
Common Sense Ratio	156.95	-
CPC Index	-	-
Tail Ratio	16.84	3.18
Outlier Win Ratio	2.34	2.89
Outlier Loss Ratio	0.38	-
MTD	1.02%	1.07%
3M	3.67%	3.54%
6M	7.68%	7.14%
YTD	7.21%	6.95%
1Y	17.36%	15.88%
3Y (ann.)	17.77%	17.35%
5Y (ann.)	14.31%	13.99%
10Y (ann.)	14.31%	13.99%
All-time (ann.)	14.31%	13.99%
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	1.71%	1.78%
Avg. Drawdown	-0.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	30.87	-
Ulcer Index	0.0	0.0
Serenity Index	538.5	-
Avg. Up Month	1.12%	1.09%
Avg. Down Month	-	-
Win Days	92.28%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.27	-
Alpha	-0.03	-
Correlation	26.21%	-
Treynor Ratio	69.28%	-