SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 1 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	40.85%	66.77%
CAGR﹪	6.66%	10.1%
Sharpe	0.85	27.4
Prob. Sharpe Ratio	94.27%	100.0%
Smart Sharpe	0.68	22.14
Sortino	1.34	-
Smart Sortino	1.08	-
Sortino/√2	0.94	-
Smart Sortino/√2	0.76	-
Omega	1.3	1.3
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	12.0%	0.51%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.48	-
Skew	1.34	11.08
Kurtosis	161.77	189.58
Expected Daily	0.04%	0.06%
Expected Monthly	0.78%	1.17%
Expected Yearly	5.88%	8.9%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.2%	-0.0%
Expected Shortfall (cVaR)	-1.2%	-0.0%
Max Consecutive Wins	8	914
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.3	-
Gain/Pain (1M)	2.02	-
Payoff Ratio	-	-
Profit Factor	1.3	-
Common Sense Ratio	1.33	-
CPC Index	-	-
Tail Ratio	1.03	3.69
Outlier Win Ratio	2.0	11.29
Outlier Loss Ratio	1.43	-
MTD	0.07%	0.04%
3M	1.36%	3.31%
6M	-0.74%	6.69%
YTD	2.8%	10.48%
1Y	7.6%	14.8%
3Y (ann.)	13.4%	18.16%
5Y (ann.)	6.77%	10.41%
10Y (ann.)	6.66%	10.1%
All-time (ann.)	6.66%	10.1%
Best Day	12.35%	0.61%
Worst Day	-12.19%	0.0%
Best Month	7.85%	1.83%
Worst Month	-4.32%	0.04%
Best Year	19.59%	19.38%
Worst Year	-2.54%	1.23%
Avg. Drawdown	-0.73%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.95	-
Ulcer Index	0.03	0.0
Serenity Index	2.16	-
Avg. Up Month	1.73%	1.19%
Avg. Down Month	-	-
Win Days	53.08%	100.0%
Win Month	72.73%	100.0%
Win Quarter	76.47%	100.0%
Win Year	83.33%	100.0%
Beta	2.33	-
Alpha	-0.23	-
Correlation	10.01%	-
Treynor Ratio	17.5%	-