SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	37.97%	53.54%
CAGR﹪	7.12%	9.6%
Sharpe	0.92	26.62
Prob. Sharpe Ratio	93.52%	100.0%
Smart Sharpe	0.73	21.22
Sortino	1.45	-
Smart Sortino	1.16	-
Sortino/√2	1.03	-
Smart Sortino/√2	0.82	-
Omega	1.33	1.33
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	13.25%	0.56%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.51	-
Skew	1.24	10.4
Kurtosis	138.1	162.3
Expected Daily	0.04%	0.06%
Expected Monthly	0.9%	1.2%
Expected Yearly	5.51%	7.41%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.32%	-0.0%
Expected Shortfall (cVaR)	-1.32%	-0.0%
Max Consecutive Wins	8	719
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.33	-
Gain/Pain (1M)	2.3	-
Payoff Ratio	-	-
Profit Factor	1.33	-
Common Sense Ratio	1.44	-
CPC Index	-	-
Tail Ratio	1.08	3.71
Outlier Win Ratio	2.03	11.85
Outlier Loss Ratio	1.35	-
MTD	-0.14%	0.5%
3M	3.32%	4.02%
6M	5.44%	8.06%
YTD	0.69%	1.72%
1Y	21.69%	18.79%
3Y (ann.)	16.62%	19.5%
5Y (ann.)	7.12%	9.6%
10Y (ann.)	7.12%	9.6%
All-time (ann.)	7.12%	9.6%
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	-0.75%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.74	-
Ulcer Index	0.03	0.0
Serenity Index	1.95	-
Avg. Up Month	1.92%	1.26%
Avg. Down Month	-	-
Win Days	53.16%	100.0%
Win Month	72.22%	100.0%
Win Quarter	78.57%	100.0%
Win Year	83.33%	100.0%
Beta	2.32	-
Alpha	-0.23	-
Correlation	9.86%	-
Treynor Ratio	16.39%	-