SCLI RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 20 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	31.18%	32.93%
CAGR﹪	19.85%	20.92%
Sharpe	13.53	59.82
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.79	43.29
Sortino	25.61	-
Smart Sortino	18.53	-
Sortino/√2	18.11	-
Smart Sortino/√2	13.11	-
Omega	22.3	22.3
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	1.33%	0.31%
R^2	0.0	0.0
Information Ratio	-0.04	-0.04
Calmar	27.52	-
Skew	-0.63	2.7
Kurtosis	40.8	12.1
Expected Daily	0.07%	0.07%
Expected Monthly	1.44%	1.51%
Expected Yearly	9.47%	9.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.04%
Expected Shortfall (cVaR)	-0.07%	-0.04%
Max Consecutive Wins	213	380
Max Consecutive Losses	1	0
Gain/Pain Ratio	21.3	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	22.3	-
Common Sense Ratio	475.98	-
CPC Index	-	-
Tail Ratio	21.35	1.6
Outlier Win Ratio	2.68	2.74
Outlier Loss Ratio	-0.14	-
MTD	0.67%	1.26%
3M	4.02%	4.46%
6M	8.51%	8.55%
YTD	0.67%	1.26%
1Y	19.94%	19.82%
3Y (ann.)	19.85%	20.92%
5Y (ann.)	19.85%	20.92%
10Y (ann.)	19.85%	20.92%
All-time (ann.)	19.85%	20.92%
Best Day	0.8%	0.18%
Worst Day	-0.72%	0.0%
Best Month	1.8%	1.83%
Worst Month	0.43%	1.25%
Best Year	20.2%	19.38%
Worst Year	0.67%	1.26%
Avg. Drawdown	-0.16%	-
Avg. Drawdown Days	-	-
Recovery Factor	43.22	-
Ulcer Index	0.0	0.0
Serenity Index	192.5	-
Avg. Up Month	1.44%	1.51%
Avg. Down Month	-	-
Win Days	97.85%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.14	-
Alpha	0.15	-
Correlation	3.37%	-
Treynor Ratio	219.41%	-