SBMM RUB[Strategy] vs Deposit RUB[Benchmark]

5 Oct, 2021 - 12 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	84.81%	82.43%
CAGR﹪	14.28%	13.95%
Sharpe	5.74	27.21
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.03	23.86
Sortino	9.28	-
Smart Sortino	8.14	-
Sortino/√2	6.56	-
Smart Sortino/√2	5.75	-
Omega	9.1	9.1
Max Drawdown	-2.86%	-
Longest DD Days	-	-
Volatility (ann.)	2.31%	0.48%
R^2	0.07	0.07
Information Ratio	0.01	0.01
Calmar	5.0	-
Skew	-0.04	9.47
Kurtosis	243.98	143.49
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.08%
Expected Yearly	10.78%	10.54%
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	1171
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.1	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.1	-
Common Sense Ratio	150.74	-
CPC Index	-	-
Tail Ratio	16.57	3.18
Outlier Win Ratio	2.33	2.9
Outlier Loss Ratio	0.37	-
MTD	0.34%	0.36%
3M	3.61%	3.32%
6M	7.9%	7.3%
YTD	5.32%	5.07%
1Y	18.2%	16.6%
3Y (ann.)	17.42%	17.06%
5Y (ann.)	14.28%	13.95%
10Y (ann.)	14.28%	13.95%
All-time (ann.)	14.28%	13.95%
Best Day	2.57%	0.51%
Worst Day	-2.86%	0.0%
Best Month	2.16%	1.83%
Worst Month	0.16%	0.36%
Best Year	20.7%	19.38%
Worst Year	1.71%	1.78%
Avg. Drawdown	-0.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	29.71	-
Ulcer Index	0.0	0.0
Serenity Index	507.98	-
Avg. Up Month	1.1%	1.08%
Avg. Down Month	-	-
Win Days	92.38%	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	26.22%	-
Treynor Ratio	66.63%	-