SCLI RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 21 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	45.53%	46.56%
CAGR﹪	18.15%	18.52%
Sharpe	13.92	54.85
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.4	40.98
Sortino	28.35	-
Smart Sortino	21.18	-
Sortino/√2	20.05	-
Smart Sortino/√2	14.98	-
Omega	25.36	25.36
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	1.16%	0.3%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	25.17	-
Skew	-0.37	2.4
Kurtosis	46.06	12.97
Expected Daily	0.06%	0.07%
Expected Monthly	1.35%	1.37%
Expected Yearly	13.32%	13.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.03%
Expected Shortfall (cVaR)	-0.06%	-0.03%
Max Consecutive Wins	213	587
Max Consecutive Losses	1	0
Gain/Pain Ratio	24.36	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	25.36	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	2.02
Outlier Win Ratio	2.82	3.0
Outlier Loss Ratio	-0.14	-
MTD	0.77%	1.09%
3M	3.5%	3.72%
6M	7.05%	7.06%
YTD	11.69%	11.64%
1Y	15.4%	15.11%
3Y (ann.)	18.15%	18.52%
5Y (ann.)	18.15%	18.52%
10Y (ann.)	18.15%	18.52%
All-time (ann.)	18.15%	18.52%
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%	9.96%
Avg. Drawdown	-0.06%	-
Avg. Drawdown Days	-	-
Recovery Factor	63.12	-
Ulcer Index	0.0	0.0
Serenity Index	372.53	-
Avg. Up Month	1.35%	1.37%
Avg. Down Month	-	-
Win Days	95.74%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.46	-
Alpha	0.08	-
Correlation	12.01%	-
Treynor Ratio	97.97%	-