BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	65.48%	73.06%
CAGR﹪	13.68%	14.98%
Sharpe	2.19	49.41
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	2.12	47.87
Sortino	3.3	-
Smart Sortino	3.2	-
Sortino/√2	2.33	-
Smart Sortino/√2	2.26	-
Omega	1.55	1.55
Max Drawdown	-7.66%	-
Longest DD Days	-	-
Volatility (ann.)	5.85%	0.28%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.78	-
Skew	-0.19	-0.06
Kurtosis	16.97	-0.83
Expected Daily	0.05%	0.05%
Expected Monthly	1.05%	1.15%
Expected Yearly	10.6%	11.59%
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	1002
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.55	-
Gain/Pain (1M)	4.12	-
Payoff Ratio	-	-
Profit Factor	1.55	-
Common Sense Ratio	1.65	-
CPC Index	-	-
Tail Ratio	1.06	2.98
Outlier Win Ratio	2.21	8.95
Outlier Loss Ratio	1.84	-
MTD	-0.59%	0.81%
3M	2.3%	3.34%
6M	7.39%	6.97%
YTD	8.1%	7.81%
1Y	17.34%	15.51%
3Y (ann.)	14.16%	17.43%
5Y (ann.)	13.68%	14.98%
10Y (ann.)	13.68%	14.98%
All-time (ann.)	13.68%	14.98%
Best Day	3.29%	0.09%
Worst Day	-3.42%	0.0%
Best Month	6.98%	1.83%
Worst Month	-3.39%	0.51%
Best Year	30.41%	19.38%
Worst Year	5.0%	2.95%
Avg. Drawdown	-0.5%	-
Avg. Drawdown Days	-	-
Recovery Factor	8.54	-
Ulcer Index	0.02	0.0
Serenity Index	5.26	-
Avg. Up Month	1.78%	1.16%
Avg. Down Month	-	-
Win Days	62.9%	100.0%
Win Month	75.0%	100.0%
Win Quarter	76.47%	100.0%
Win Year	100.0%	100.0%
Beta	0.84	-
Alpha	0.01	-
Correlation	4.02%	-
Treynor Ratio	77.56%	-