SBSC RUB[Strategy] vs Deposit RUB[Benchmark]

10 Oct, 2023 - 10 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-21.02%	49.01%
CAGR﹪	-9.59%	18.58%
Sharpe	-0.31	98.15
Prob. Sharpe Ratio	32.01%	100.0%
Smart Sharpe	-0.29	92.28
Sortino	-0.43	-
Smart Sortino	-0.4	-
Sortino/√2	-0.3	-
Smart Sortino/√2	-0.28	-
Omega	0.95	0.95
Max Drawdown	-39.78%	-
Longest DD Days	-	-
Volatility (ann.)	23.67%	0.17%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.24	-
Skew	0.18	0.08
Kurtosis	3.14	1.33
Expected Daily	-0.04%	0.07%
Expected Monthly	-0.81%	1.38%
Expected Yearly	-5.73%	10.48%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-0.05%
Expected Shortfall (cVaR)	-2.48%	-0.05%
Max Consecutive Wins	10	592
Max Consecutive Losses	9	0
Gain/Pain Ratio	-0.05	-
Gain/Pain (1M)	-0.19	-
Payoff Ratio	-	-
Profit Factor	0.95	-
Common Sense Ratio	0.85	-
CPC Index	-	-
Tail Ratio	0.89	1.61
Outlier Win Ratio	1.83	28.95
Outlier Loss Ratio	1.71	-
MTD	-4.32%	0.5%
3M	7.9%	4.02%
6M	-5.96%	8.06%
YTD	2.71%	1.72%
1Y	-6.96%	18.79%
3Y (ann.)	-9.59%	18.58%
5Y (ann.)	-9.59%	18.58%
10Y (ann.)	-9.59%	18.58%
All-time (ann.)	-9.59%	18.58%
Best Day	8.73%	0.09%
Worst Day	-5.58%	0.0%
Best Month	13.07%	1.83%
Worst Month	-14.0%	0.5%
Best Year	2.71%	19.38%
Worst Year	-12.78%	1.72%
Avg. Drawdown	-8.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.53	-
Ulcer Index	0.25	0.0
Serenity Index	-0.03	-
Avg. Up Month	4.93%	1.39%
Avg. Down Month	-	-
Win Days	49.83%	100.0%
Win Month	51.72%	100.0%
Win Quarter	40.0%	100.0%
Win Year	25.0%	100.0%
Beta	4.73	-
Alpha	-0.87	-
Correlation	3.45%	-
Treynor Ratio	-4.45%	-