SCLI RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	33.71%	34.84%
CAGR﹪	19.61%	20.24%
Sharpe	13.75	65.63
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.95	47.47
Sortino	26.36	-
Smart Sortino	19.07	-
Sortino/√2	18.64	-
Smart Sortino/√2	13.48	-
Omega	23.66	23.66
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	1.29%	0.28%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	27.19	-
Skew	-0.59	3.37
Kurtosis	42.06	19.65
Expected Daily	0.07%	0.07%
Expected Monthly	1.39%	1.43%
Expected Yearly	10.17%	10.48%
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	411
Max Consecutive Losses	1	0
Gain/Pain Ratio	22.66	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	23.66	-
Common Sense Ratio	506.26	-
CPC Index	-	-
Tail Ratio	21.4	1.6
Outlier Win Ratio	2.69	2.79
Outlier Loss Ratio	-0.17	-
MTD	0.28%	0.31%
3M	3.82%	3.72%
6M	8.04%	7.79%
YTD	2.61%	2.72%
1Y	19.24%	18.13%
3Y (ann.)	19.61%	20.24%
5Y (ann.)	19.61%	20.24%
10Y (ann.)	19.61%	20.24%
All-time (ann.)	19.61%	20.24%
Best Day	0.8%	0.18%
Worst Day	-0.72%	0.0%
Best Month	1.8%	1.83%
Worst Month	0.28%	0.31%
Best Year	20.2%	19.38%
Worst Year	2.61%	2.72%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	46.73	-
Ulcer Index	0.0	0.0
Serenity Index	214.43	-
Avg. Up Month	1.39%	1.43%
Avg. Down Month	-	-
Win Days	97.76%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.2	-
Alpha	0.14	-
Correlation	4.29%	-
Treynor Ratio	169.5%	-