SBRB RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2019 - 10 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	89.39%	106.46%
CAGR﹪	9.65%	11.02%
Sharpe	1.26	31.82
Prob. Sharpe Ratio	99.44%	-
Smart Sharpe	0.88	22.08
Sortino	1.74	-
Smart Sortino	1.21	-
Sortino/√2	1.23	-
Smart Sortino/√2	0.85	-
Omega	1.4	1.4
Max Drawdown	-14.75%	-
Longest DD Days	-	-
Volatility (ann.)	7.43%	0.32%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.65	-
Skew	-4.08	0.7
Kurtosis	261.48	-0.7
Expected Daily	0.04%	0.04%
Expected Monthly	0.77%	0.88%
Expected Yearly	8.31%	9.48%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.73%	-0.01%
Expected Shortfall (cVaR)	-0.73%	-0.01%
Max Consecutive Wins	16	1769
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.4	-
Gain/Pain (1M)	3.3	-
Payoff Ratio	-	-
Profit Factor	1.4	-
Common Sense Ratio	1.69	-
CPC Index	-	-
Tail Ratio	1.21	4.64
Outlier Win Ratio	2.19	11.83
Outlier Loss Ratio	1.81	-
MTD	0.52%	0.28%
3M	1.04%	3.22%
6M	6.9%	6.69%
YTD	8.53%	8.39%
1Y	14.6%	15.15%
3Y (ann.)	14.28%	17.45%
5Y (ann.)	11.08%	13.46%
10Y (ann.)	9.65%	11.02%
All-time (ann.)	9.65%	11.02%
Best Day	8.83%	0.09%
Worst Day	-11.2%	0.0%
Best Month	4.85%	1.83%
Worst Month	-6.05%	0.28%
Best Year	26.32%	19.38%
Worst Year	1.48%	2.08%
Avg. Drawdown	-0.45%	-
Avg. Drawdown Days	-	-
Recovery Factor	6.06	-
Ulcer Index	0.01	0.0
Serenity Index	12.89	-
Avg. Up Month	1.39%	0.89%
Avg. Down Month	-	-
Win Days	57.41%	100.0%
Win Month	74.7%	100.0%
Win Quarter	86.21%	100.0%
Win Year	100.0%	100.0%
Beta	0.86	-
Alpha	0.0	-
Correlation	3.77%	-
Treynor Ratio	103.69%	-