SBSC RUB[Strategy] vs Deposit RUB[Benchmark]

10 Oct, 2023 - 21 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-35.88%	61.77%
CAGR﹪	-13.98%	17.71%
Sharpe	-0.5	63.99
Prob. Sharpe Ratio	19.07%	-
Smart Sharpe	-0.46	59.33
Sortino	-0.68	-
Smart Sortino	-0.63	-
Sortino/√2	-0.48	-
Smart Sortino/√2	-0.44	-
Omega	0.92	0.92
Max Drawdown	-53.06%	-
Longest DD Days	-	-
Volatility (ann.)	23.17%	0.24%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	-0.26	-
Skew	0.07	-0.16
Kurtosis	3.1	-0.47
Expected Daily	-0.06%	0.06%
Expected Monthly	-1.23%	1.35%
Expected Yearly	-10.51%	12.78%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-0.04%
Expected Shortfall (cVaR)	-2.45%	-0.04%
Max Consecutive Wins	10	790
Max Consecutive Losses	9	0
Gain/Pain Ratio	-0.08	-
Gain/Pain (1M)	-0.31	-
Payoff Ratio	-	-
Profit Factor	0.92	-
Common Sense Ratio	0.77	-
CPC Index	-	-
Tail Ratio	0.84	2.39
Outlier Win Ratio	1.9	32.04
Outlier Loss Ratio	1.78	-
MTD	0.42%	1.08%
3M	-5.94%	3.61%
6M	-18.12%	7.09%
YTD	-16.61%	10.43%
1Y	-18.9%	15.21%
3Y (ann.)	-15.34%	17.74%
5Y (ann.)	-13.98%	17.71%
10Y (ann.)	-13.98%	17.71%
All-time (ann.)	-13.98%	17.71%
Best Day	8.73%	0.09%
Worst Day	-5.88%	0.0%
Best Month	13.07%	1.83%
Worst Month	-14.0%	0.94%
Best Year	-4.17%	19.38%
Worst Year	-16.61%	3.34%
Avg. Drawdown	-10.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.68	-
Ulcer Index	0.29	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.56%	1.36%
Avg. Down Month	-	-
Win Days	48.86%	100.0%
Win Month	47.22%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	3.88	-
Alpha	-0.71	-
Correlation	4.01%	-
Treynor Ratio	-9.25%	-