SBRS RUB[Strategy] vs Deposit RUB[Benchmark]

9 Jun, 2021 - 26 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	41.7%	56.34%
CAGR﹪	7.54%	9.76%
Sharpe	0.97	27.18
Prob. Sharpe Ratio	94.76%	100.0%
Smart Sharpe	0.77	21.67
Sortino	1.53	-
Smart Sortino	1.22	-
Sortino/√2	1.08	-
Smart Sortino/√2	0.86	-
Omega	1.36	1.36
Max Drawdown	-13.87%	-
Longest DD Days	-	-
Volatility (ann.)	12.98%	0.55%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.54	-
Skew	1.26	10.64
Kurtosis	143.8	169.75
Expected Daily	0.05%	0.06%
Expected Monthly	0.95%	1.22%
Expected Yearly	5.98%	7.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.3%	-0.0%
Expected Shortfall (cVaR)	-1.3%	-0.0%
Max Consecutive Wins	8	750
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.36	-
Gain/Pain (1M)	2.51	-
Payoff Ratio	-	-
Profit Factor	1.36	-
Common Sense Ratio	1.42	-
CPC Index	-	-
Tail Ratio	1.04	3.71
Outlier Win Ratio	2.03	11.4
Outlier Loss Ratio	1.37	-
MTD	1.24%	1.15%
3M	4.1%	3.76%
6M	8.17%	7.81%
YTD	3.41%	3.58%
1Y	17.99%	17.8%
3Y (ann.)	17.05%	19.32%
5Y (ann.)	7.54%	9.76%
10Y (ann.)	7.54%	9.76%
All-time (ann.)	7.54%	9.76%
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	-0.69%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.01	-
Ulcer Index	0.03	0.0
Serenity Index	2.19	-
Avg. Up Month	1.87%	1.25%
Avg. Down Month	-	-
Win Days	54.23%	100.0%
Win Month	75.68%	100.0%
Win Quarter	78.57%	100.0%
Win Year	83.33%	100.0%
Beta	2.33	-
Alpha	-0.22	-
Correlation	9.89%	-
Treynor Ratio	17.93%	-