SBSC RUB[Strategy] vs Deposit RUB[Benchmark]

10 Oct, 2023 - 1 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-26.82%	53.45%
CAGR﹪	-11.49%	18.22%
Sharpe	-0.41	81.46
Prob. Sharpe Ratio	25.35%	-
Smart Sharpe	-0.39	76.46
Sortino	-0.57	-
Smart Sortino	-0.53	-
Sortino/√2	-0.4	-
Smart Sortino/√2	-0.38	-
Omega	0.93	0.93
Max Drawdown	-39.78%	-
Longest DD Days	-	-
Volatility (ann.)	22.71%	0.2%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	-0.29	-
Skew	0.18	-0.19
Kurtosis	3.53	0.58
Expected Daily	-0.05%	0.06%
Expected Monthly	-0.97%	1.35%
Expected Yearly	-7.51%	11.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.39%	-0.04%
Expected Shortfall (cVaR)	-2.39%	-0.04%
Max Consecutive Wins	10	659
Max Consecutive Losses	9	0
Gain/Pain Ratio	-0.07	-
Gain/Pain (1M)	-0.25	-
Payoff Ratio	-	-
Profit Factor	0.93	-
Common Sense Ratio	0.81	-
CPC Index	-	-
Tail Ratio	0.87	1.85
Outlier Win Ratio	1.84	28.48
Outlier Loss Ratio	1.8	-
MTD	0.12%	0.04%
3M	-11.34%	3.5%
6M	2.29%	7.47%
YTD	-4.83%	4.75%
1Y	-8.31%	16.83%
3Y (ann.)	-11.49%	18.22%
5Y (ann.)	-11.49%	18.22%
10Y (ann.)	-11.49%	18.22%
All-time (ann.)	-11.49%	18.22%
Best Day	8.73%	0.09%
Worst Day	-5.58%	0.0%
Best Month	13.07%	1.83%
Worst Month	-14.0%	0.04%
Best Year	-4.17%	19.38%
Worst Year	-12.78%	3.34%
Avg. Drawdown	-8.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.67	-
Ulcer Index	0.26	0.0
Serenity Index	-0.03	-
Avg. Up Month	4.63%	1.31%
Avg. Down Month	-	-
Win Days	49.62%	100.0%
Win Month	50.0%	100.0%
Win Quarter	27.27%	100.0%
Win Year	0.0%	100.0%
Beta	5.08	-
Alpha	-0.92	-
Correlation	4.49%	-
Treynor Ratio	-5.28%	-