SCLI RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 22 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	42.47%	43.42%
CAGR﹪	18.5%	18.88%
Sharpe	14.11	60.13
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.29	43.85
Sortino	28.28	-
Smart Sortino	20.62	-
Sortino/√2	20.0	-
Smart Sortino/√2	14.58	-
Omega	27.57	27.57
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	1.19%	0.28%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	25.65	-
Skew	-0.45	2.83
Kurtosis	45.27	16.16
Expected Daily	0.07%	0.07%
Expected Monthly	1.37%	1.4%
Expected Yearly	12.52%	12.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.04%
Expected Shortfall (cVaR)	-0.06%	-0.04%
Max Consecutive Wins	213	530
Max Consecutive Losses	1	0
Gain/Pain Ratio	26.57	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	27.57	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	1.78
Outlier Win Ratio	2.78	2.91
Outlier Loss Ratio	-0.21	-
MTD	0.8%	1.07%
3M	3.63%	3.58%
6M	7.14%	6.95%
YTD	9.34%	9.25%
1Y	16.13%	15.42%
3Y (ann.)	18.5%	18.88%
5Y (ann.)	18.5%	18.88%
10Y (ann.)	18.5%	18.88%
All-time (ann.)	18.5%	18.88%
Best Day	0.8%	0.18%
Worst Day	-0.72%	0.0%
Best Month	1.8%	1.83%
Worst Month	0.43%	1.06%
Best Year	20.2%	19.38%
Worst Year	8.4%	9.25%
Avg. Drawdown	-0.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	58.87	-
Ulcer Index	0.0	0.0
Serenity Index	323.66	-
Avg. Up Month	1.37%	1.4%
Avg. Down Month	-	-
Win Days	97.06%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.33	-
Alpha	0.11	-
Correlation	7.94%	-
Treynor Ratio	127.78%	-