SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 22 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	37.52%	52.84%
CAGR﹪	7.13%	9.61%
Sharpe	0.92	26.27
Prob. Sharpe Ratio	93.36%	100.0%
Smart Sharpe	0.73	20.94
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.)	13.35%	0.58%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.51	-
Skew	1.23	9.97
Kurtosis	136.0	152.01
Expected Daily	0.05%	0.06%
Expected Monthly	0.91%	1.22%
Expected Yearly	5.45%	7.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.34%	-0.0%
Expected Shortfall (cVaR)	-1.34%	-0.0%
Max Consecutive Wins	8	707
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	2.06	12.08
Outlier Loss Ratio	1.34	-
MTD	0.36%	1.26%
3M	3.95%	4.34%
6M	6.68%	8.49%
YTD	0.36%	1.26%
1Y	20.6%	19.61%
3Y (ann.)	16.89%	19.77%
5Y (ann.)	7.13%	9.61%
10Y (ann.)	7.13%	9.61%
All-time (ann.)	7.13%	9.61%
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	-0.76%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.71	-
Ulcer Index	0.03	0.0
Serenity Index	1.91	-
Avg. Up Month	1.9%	1.26%
Avg. Down Month	-	-
Win Days	52.99%	100.0%
Win Month	74.29%	100.0%
Win Quarter	78.57%	100.0%
Win Year	83.33%	100.0%
Beta	2.26	-
Alpha	-0.22	-
Correlation	9.73%	-
Treynor Ratio	16.6%	-