SBSC RUB[Strategy] vs Deposit RUB[Benchmark]

10 Oct, 2023 - 23 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-39.77%	58.32%
CAGR﹪	-16.64%	17.93%
Sharpe	-0.64	69.39
Prob. Sharpe Ratio	13.82%	-
Smart Sharpe	-0.59	63.95
Sortino	-0.87	-
Smart Sortino	-0.8	-
Sortino/√2	-0.61	-
Smart Sortino/√2	-0.57	-
Omega	0.89	0.89
Max Drawdown	-53.06%	-
Longest DD Days	-	-
Volatility (ann.)	22.99%	0.23%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-0.31	-
Skew	0.09	-0.16
Kurtosis	3.39	-0.22
Expected Daily	-0.07%	0.06%
Expected Monthly	-1.48%	1.36%
Expected Yearly	-11.91%	12.17%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.44%	-0.04%
Expected Shortfall (cVaR)	-2.44%	-0.04%
Max Consecutive Wins	10	737
Max Consecutive Losses	9	0
Gain/Pain Ratio	-0.11	-
Gain/Pain (1M)	-0.37	-
Payoff Ratio	-	-
Profit Factor	0.89	-
Common Sense Ratio	0.76	-
CPC Index	-	-
Tail Ratio	0.85	2.29
Outlier Win Ratio	1.89	30.47
Outlier Loss Ratio	1.78	-
MTD	-5.37%	1.06%
3M	-21.37%	3.54%
6M	-23.99%	7.16%
YTD	-21.68%	8.08%
1Y	-26.27%	15.72%
3Y (ann.)	-16.64%	17.93%
5Y (ann.)	-16.64%	17.93%
10Y (ann.)	-16.64%	17.93%
All-time (ann.)	-16.64%	17.93%
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	-21.68%	3.34%
Avg. Drawdown	-10.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.75	-
Ulcer Index	0.28	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.93%	1.39%
Avg. Down Month	-	-
Win Days	48.78%	100.0%
Win Month	44.12%	100.0%
Win Quarter	25.0%	100.0%
Win Year	0.0%	100.0%
Beta	5.89	-
Alpha	-1.07	-
Correlation	5.79%	-
Treynor Ratio	-6.75%	-