SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	35.18%	49.33%
CAGR﹪	6.95%	9.35%
Sharpe	0.89	25.72
Prob. Sharpe Ratio	92.44%	100.0%
Smart Sharpe	0.71	20.51
Sortino	1.41	-
Smart Sortino	1.12	-
Sortino/√2	1.0	-
Smart Sortino/√2	0.8	-
Omega	1.32	1.32
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	13.63%	0.58%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.5	-
Skew	1.21	10.17
Kurtosis	130.92	153.96
Expected Daily	0.04%	0.06%
Expected Monthly	0.89%	1.19%
Expected Yearly	6.21%	8.35%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.36%	-0.0%
Expected Shortfall (cVaR)	-1.36%	-0.0%
Max Consecutive Wins	8	676
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.32	-
Gain/Pain (1M)	2.19	-
Payoff Ratio	-	-
Profit Factor	1.32	-
Common Sense Ratio	1.45	-
CPC Index	-	-
Tail Ratio	1.1	3.71
Outlier Win Ratio	2.38	14.55
Outlier Loss Ratio	1.34	-
MTD	0.3%	0.19%
3M	3.47%	4.01%
6M	10.05%	8.5%
YTD	17.98%	18.11%
1Y	27.03%	20.15%
3Y (ann.)	17.15%	19.86%
5Y (ann.)	6.95%	9.35%
10Y (ann.)	6.95%	9.35%
All-time (ann.)	6.95%	9.35%
Best Day	12.35%	0.61%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.83%
Worst Month	-4.32%	0.19%
Best Year	17.98%	18.74%
Worst Year	-2.54%	1.23%
Avg. Drawdown	-0.79%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.54	-
Ulcer Index	0.03	0.0
Serenity Index	1.75	-
Avg. Up Month	1.91%	1.21%
Avg. Down Month	-	-
Win Days	52.49%	100.0%
Win Month	73.53%	100.0%
Win Quarter	76.92%	100.0%
Win Year	80.0%	100.0%
Beta	2.33	-
Alpha	-0.23	-
Correlation	9.93%	-
Treynor Ratio	15.08%	-