SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	42.49%	58.06%
CAGR﹪	7.51%	9.81%
Sharpe	0.96	27.35
Prob. Sharpe Ratio	94.99%	100.0%
Smart Sharpe	0.77	21.81
Sortino	1.53	-
Smart Sortino	1.22	-
Sortino/√2	1.08	-
Smart Sortino/√2	0.86	-
Omega	1.36	1.36
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	12.77%	0.54%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.54	-
Skew	1.28	10.8
Kurtosis	148.31	174.87
Expected Daily	0.05%	0.06%
Expected Monthly	0.94%	1.21%
Expected Yearly	6.08%	7.93%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.27%	-0.0%
Expected Shortfall (cVaR)	-1.27%	-0.0%
Max Consecutive Wins	8	775
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.36	-
Gain/Pain (1M)	2.54	-
Payoff Ratio	-	-
Profit Factor	1.36	-
Common Sense Ratio	1.41	-
CPC Index	-	-
Tail Ratio	1.04	3.71
Outlier Win Ratio	2.01	11.12
Outlier Loss Ratio	1.39	-
MTD	0.42%	1.12%
3M	3.13%	3.46%
6M	7.51%	7.55%
YTD	4.0%	4.71%
1Y	17.43%	16.87%
3Y (ann.)	16.57%	19.01%
5Y (ann.)	7.51%	9.81%
10Y (ann.)	7.51%	9.81%
All-time (ann.)	7.51%	9.81%
Best Day	12.35%	0.61%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.83%
Worst Month	-4.32%	0.41%
Best Year	19.59%	19.38%
Worst Year	-2.54%	1.23%
Avg. Drawdown	-0.67%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.06	-
Ulcer Index	0.03	0.0
Serenity Index	2.27	-
Avg. Up Month	1.83%	1.24%
Avg. Down Month	-	-
Win Days	54.17%	100.0%
Win Month	76.32%	100.0%
Win Quarter	80.0%	100.0%
Win Year	83.33%	100.0%
Beta	2.32	-
Alpha	-0.22	-
Correlation	9.88%	-
Treynor Ratio	18.31%	-