SBRB RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2019 - 3 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	83.52%	97.51%
CAGR﹪	9.67%	10.9%
Sharpe	1.25	31.03
Prob. Sharpe Ratio	99.29%	-
Smart Sharpe	0.86	21.38
Sortino	1.72	-
Smart Sortino	1.19	-
Sortino/√2	1.22	-
Smart Sortino/√2	0.84	-
Omega	1.4	1.4
Max Drawdown	-14.75%	-
Longest DD Days	-	-
Volatility (ann.)	7.65%	0.34%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.66	-
Skew	-4.02	0.63
Kurtosis	249.35	-0.89
Expected Daily	0.04%	0.04%
Expected Monthly	0.77%	0.87%
Expected Yearly	7.89%	8.88%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.75%	-0.01%
Expected Shortfall (cVaR)	-0.75%	-0.01%
Max Consecutive Wins	16	1647
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.4	-
Gain/Pain (1M)	3.26	-
Payoff Ratio	-	-
Profit Factor	1.4	-
Common Sense Ratio	1.74	-
CPC Index	-	-
Tail Ratio	1.24	4.7
Outlier Win Ratio	2.23	12.23
Outlier Loss Ratio	1.9	-
MTD	0.07%	0.12%
3M	5.16%	3.69%
6M	10.75%	7.62%
YTD	5.16%	3.69%
1Y	23.31%	17.37%
3Y (ann.)	12.99%	16.83%
5Y (ann.)	10.62%	12.89%
10Y (ann.)	9.67%	10.9%
All-time (ann.)	9.67%	10.9%
Best Day	8.83%	0.09%
Worst Day	-11.2%	0.0%
Best Month	4.85%	1.83%
Worst Month	-6.05%	0.12%
Best Year	26.32%	19.38%
Worst Year	1.48%	2.08%
Avg. Drawdown	-0.46%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.66	-
Ulcer Index	0.01	0.0
Serenity Index	11.88	-
Avg. Up Month	1.39%	0.88%
Avg. Down Month	-	-
Win Days	57.45%	100.0%
Win Month	74.68%	100.0%
Win Quarter	85.71%	100.0%
Win Year	100.0%	100.0%
Beta	0.86	-
Alpha	0.01	-
Correlation	3.77%	-
Treynor Ratio	97.26%	-