SCLI RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2024 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	28.79%	30.04%
CAGR﹪	20.24%	21.09%
Sharpe	14.85	64.45
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	10.58	45.93
Sortino	29.57	-
Smart Sortino	21.08	-
Sortino/√2	20.91	-
Smart Sortino/√2	14.9	-
Omega	32.79	32.79
Max Drawdown	-0.72%	-
Longest DD Days	-	-
Volatility (ann.)	1.21%	0.29%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	28.06	-
Skew	-0.47	3.25
Kurtosis	54.18	18.18
Expected Daily	0.07%	0.07%
Expected Monthly	1.42%	1.47%
Expected Yearly	13.49%	14.04%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.05%	-0.04%
Expected Shortfall (cVaR)	-0.05%	-0.04%
Max Consecutive Wins	213	353
Max Consecutive Losses	1	0
Gain/Pain Ratio	31.79	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	32.79	-
Common Sense Ratio	691.69	-
CPC Index	-	-
Tail Ratio	21.09	1.6
Outlier Win Ratio	2.57	2.6
Outlier Loss Ratio	-0.18	-
MTD	0.33%	0.32%
3M	4.21%	4.02%
6M	9.16%	8.47%
YTD	18.81%	18.26%
1Y	20.62%	20.11%
3Y (ann.)	20.24%	21.09%
5Y (ann.)	20.24%	21.09%
10Y (ann.)	20.24%	21.09%
All-time (ann.)	20.24%	21.09%
Best Day	0.8%	0.18%
Worst Day	-0.72%	0.0%
Best Month	1.8%	1.83%
Worst Month	0.33%	0.32%
Best Year	18.81%	18.26%
Worst Year	8.4%	9.96%
Avg. Drawdown	-0.13%	-
Avg. Drawdown Days	-	-
Recovery Factor	39.91	-
Ulcer Index	0.0	0.0
Serenity Index	196.15	-
Avg. Up Month	1.42%	1.47%
Avg. Down Month	-	-
Win Days	98.26%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.19	-
Alpha	0.15	-
Correlation	4.49%	-
Treynor Ratio	153.23%	-