SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 3 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	33.09%	47.3%
CAGR﹪	6.7%	9.19%
Sharpe	0.86	25.25
Prob. Sharpe Ratio	91.49%	100.0%
Smart Sharpe	0.69	20.13
Sortino	1.36	-
Smart Sortino	1.09	-
Sortino/√2	0.97	-
Smart Sortino/√2	0.77	-
Omega	1.31	1.31
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	13.84%	0.59%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.48	-
Skew	1.2	10.04
Kurtosis	127.1	149.57
Expected Daily	0.04%	0.06%
Expected Monthly	0.87%	1.18%
Expected Yearly	5.88%	8.05%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.39%	-0.0%
Expected Shortfall (cVaR)	-1.39%	-0.0%
Max Consecutive Wins	8	655
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.31	-
Gain/Pain (1M)	2.08	-
Payoff Ratio	-	-
Profit Factor	1.31	-
Common Sense Ratio	1.43	-
CPC Index	-	-
Tail Ratio	1.09	3.71
Outlier Win Ratio	2.67	16.67
Outlier Loss Ratio	1.32	-
MTD	0.22%	0.11%
3M	2.69%	3.99%
6M	10.09%	8.75%
YTD	16.16%	16.51%
1Y	28.07%	20.58%
3Y (ann.)	16.98%	19.94%
5Y (ann.)	6.7%	9.19%
10Y (ann.)	6.7%	9.19%
All-time (ann.)	6.7%	9.19%
Best Day	12.35%	0.61%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.83%
Worst Month	-4.32%	0.11%
Best Year	16.16%	18.74%
Worst Year	-2.54%	1.23%
Avg. Drawdown	-0.85%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.39	-
Ulcer Index	0.03	0.0
Serenity Index	1.62	-
Avg. Up Month	1.92%	1.21%
Avg. Down Month	-	-
Win Days	52.25%	100.0%
Win Month	72.73%	100.0%
Win Quarter	76.92%	100.0%
Win Year	80.0%	100.0%
Beta	2.33	-
Alpha	-0.23	-
Correlation	9.92%	-
Treynor Ratio	14.2%	-