SBPS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 3 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	-71.01%	58.28%
CAGR﹪	-22.32%	9.82%
Sharpe	-0.62	27.3
Prob. Sharpe Ratio	5.8%	100.0%
Smart Sharpe	-0.43	19.22
Sortino	-0.64	-
Smart Sortino	-0.45	-
Sortino/√2	-0.45	-
Smart Sortino/√2	-0.32	-
Omega	0.75	0.75
Max Drawdown	-79.84%	-
Longest DD Days	-	-
Volatility (ann.)	42.63%	0.54%
R^2	0.57	0.57
Information Ratio	-0.06	-0.06
Calmar	-0.28	-
Skew	-16.52	10.8
Kurtosis	317.62	175.18
Expected Daily	-0.16%	0.06%
Expected Monthly	-3.12%	1.18%
Expected Yearly	-18.65%	7.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.52%	-0.0%
Expected Shortfall (cVaR)	-4.52%	-0.0%
Max Consecutive Wins	8	780
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.25	-
Gain/Pain (1M)	-0.59	-
Payoff Ratio	-	-
Profit Factor	0.75	-
Common Sense Ratio	0.75	-
CPC Index	-	-
Tail Ratio	0.99	3.71
Outlier Win Ratio	2.01	19.55
Outlier Loss Ratio	1.1	-
MTD	-0.85%	0.14%
3M	-1.52%	3.54%
6M	6.96%	7.51%
YTD	-1.02%	4.86%
1Y	11.88%	16.85%
3Y (ann.)	-42.25%	19.01%
5Y (ann.)	-22.32%	9.82%
10Y (ann.)	-22.32%	9.82%
All-time (ann.)	-22.32%	9.82%
Best Day	9.28%	0.61%
Worst Day	-55.92%	0.0%
Best Month	10.02%	1.83%
Worst Month	-74.58%	0.14%
Best Year	14.34%	19.38%
Worst Year	-74.58%	1.23%
Avg. Drawdown	-6.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.89	-
Ulcer Index	0.67	0.0
Serenity Index	-0.03	-
Avg. Up Month	2.64%	1.18%
Avg. Down Month	-	-
Win Days	52.17%	100.0%
Win Month	53.85%	100.0%
Win Quarter	46.67%	100.0%
Win Year	33.33%	100.0%
Beta	-59.46	-
Alpha	8.55	-
Correlation	-75.74%	-
Treynor Ratio	1.19%	-