SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	6.81%	20.39%
CAGR﹪	2.0%	5.73%
Sharpe	0.34	17.17
Prob. Sharpe Ratio	66.37%	100.0%
Smart Sharpe	0.26	12.98
Sortino	0.53	-
Smart Sortino	0.4	-
Sortino/√2	0.37	-
Smart Sortino/√2	0.28	-
Omega	1.14	1.14
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	16.88%	0.72%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.14	-
Skew	1.09	10.35
Kurtosis	98.82	128.41
Expected Daily	0.02%	0.05%
Expected Monthly	0.33%	0.93%
Expected Yearly	1.66%	4.75%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-0.03%
Expected Shortfall (cVaR)	-1.73%	-0.03%
Max Consecutive Wins	6	380
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.14	-
Gain/Pain (1M)	0.82	-
Payoff Ratio	-	-
Profit Factor	1.14	-
Common Sense Ratio	1.2	-
CPC Index	-	-
Tail Ratio	1.06	3.51
Outlier Win Ratio	2.0	15.3
Outlier Loss Ratio	1.49	-
MTD	-1.33%	0.37%
3M	-2.59%	4.57%
6M	-6.37%	8.68%
YTD	4.02%	13.06%
1Y	7.31%	14.45%
3Y (ann.)	1.46%	5.64%
5Y (ann.)	2.0%	5.73%
10Y (ann.)	2.0%	5.73%
All-time (ann.)	2.0%	5.73%
Best Day	12.35%	0.61%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.56%
Worst Month	-3.83%	0.37%
Best Year	4.02%	13.06%
Worst Year	-2.54%	1.23%
Avg. Drawdown	-0.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.49	-
Ulcer Index	0.03	0.0
Serenity Index	0.51	-
Avg. Up Month	1.6%	0.98%
Avg. Down Month	-	-
Win Days	49.04%	100.0%
Win Month	60.0%	100.0%
Win Quarter	55.56%	100.0%
Win Year	75.0%	100.0%
Beta	2.31	-
Alpha	-0.23	-
Correlation	9.78%	-
Treynor Ratio	2.95%	-