BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	66.43%	70.32%
CAGR﹪	14.35%	15.04%
Sharpe	2.28	48.81
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	2.21	47.26
Sortino	3.45	-
Smart Sortino	3.34	-
Sortino/√2	2.44	-
Smart Sortino/√2	2.36	-
Omega	1.58	1.58
Max Drawdown	-7.66%	-
Longest DD Days	-	-
Volatility (ann.)	5.87%	0.28%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	1.87	-
Skew	-0.19	-0.08
Kurtosis	17.28	-0.89
Expected Daily	0.05%	0.05%
Expected Monthly	1.09%	1.14%
Expected Yearly	10.73%	11.24%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.56%	-0.03%
Expected Shortfall (cVaR)	-0.56%	-0.03%
Max Consecutive Wins	15	970
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.58	-
Gain/Pain (1M)	4.37	-
Payoff Ratio	-	-
Profit Factor	1.58	-
Common Sense Ratio	1.65	-
CPC Index	-	-
Tail Ratio	1.04	2.98
Outlier Win Ratio	2.21	8.95
Outlier Loss Ratio	1.76	-
MTD	0.61%	0.27%
3M	5.54%	3.46%
6M	9.12%	7.21%
YTD	8.72%	6.1%
1Y	24.74%	16.19%
3Y (ann.)	14.58%	17.22%
5Y (ann.)	14.35%	15.04%
10Y (ann.)	14.35%	15.04%
All-time (ann.)	14.35%	15.04%
Best Day	3.29%	0.09%
Worst Day	-3.42%	0.0%
Best Month	6.98%	1.83%
Worst Month	-3.39%	0.27%
Best Year	30.41%	19.38%
Worst Year	5.0%	2.95%
Avg. Drawdown	-0.49%	-
Avg. Drawdown Days	-	-
Recovery Factor	8.67	-
Ulcer Index	0.02	0.0
Serenity Index	5.23	-
Avg. Up Month	1.78%	1.14%
Avg. Down Month	-	-
Win Days	63.28%	100.0%
Win Month	76.6%	100.0%
Win Quarter	81.25%	100.0%
Win Year	100.0%	100.0%
Beta	0.82	-
Alpha	0.02	-
Correlation	3.94%	-
Treynor Ratio	81.26%	-