BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	15.22%	28.03%
CAGR﹪	6.85%	12.24%
Sharpe	1.14	45.94
Prob. Sharpe Ratio	94.3%	-
Smart Sharpe	0.95	38.1
Sortino	1.55	-
Smart Sortino	1.29	-
Sortino/√2	1.1	-
Smart Sortino/√2	0.91	-
Omega	1.27	1.27
Max Drawdown	-6.01%	-
Longest DD Days	-	-
Volatility (ann.)	5.89%	0.25%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	1.14	-
Skew	-1.43	0.23
Kurtosis	18.38	-1.37
Expected Daily	0.03%	0.05%
Expected Monthly	0.53%	0.92%
Expected Yearly	4.84%	8.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.58%	-0.02%
Expected Shortfall (cVaR)	-0.58%	-0.02%
Max Consecutive Wins	11	544
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.27	-
Gain/Pain (1M)	2.09	-
Payoff Ratio	-	-
Profit Factor	1.27	-
Common Sense Ratio	1.28	-
CPC Index	-	-
Tail Ratio	1.01	2.59
Outlier Win Ratio	2.33	10.48
Outlier Loss Ratio	1.84	-
MTD	0.24%	0.37%
3M	1.15%	4.57%
6M	0.19%	8.68%
YTD	3.06%	13.06%
1Y	5.85%	16.65%
3Y (ann.)	6.85%	12.24%
5Y (ann.)	6.85%	12.24%
10Y (ann.)	6.85%	12.24%
All-time (ann.)	6.85%	12.24%
Best Day	2.16%	0.07%
Worst Day	-3.42%	0.0%
Best Month	5.89%	1.56%
Worst Month	-2.81%	0.37%
Best Year	5.75%	13.06%
Worst Year	3.06%	2.95%
Avg. Drawdown	-0.55%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.53	-
Ulcer Index	0.01	0.0
Serenity Index	1.5	-
Avg. Up Month	1.14%	0.9%
Avg. Down Month	-	-
Win Days	60.04%	100.0%
Win Month	70.37%	100.0%
Win Quarter	70.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.77	-
Alpha	0.16	-
Correlation	-3.25%	-
Treynor Ratio	-19.74%	-