BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 13 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	54.08%	60.99%
CAGR﹪	13.52%	14.99%
Sharpe	2.07	46.55
Prob. Sharpe Ratio	99.99%	-
Smart Sharpe	2.0	45.01
Sortino	3.1	-
Smart Sortino	3.0	-
Sortino/√2	2.19	-
Smart Sortino/√2	2.12	-
Omega	1.51	1.51
Max Drawdown	-7.66%	-
Longest DD Days	-	-
Volatility (ann.)	6.15%	0.3%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.76	-
Skew	-0.17	-0.07
Kurtosis	15.78	-1.04
Expected Daily	0.05%	0.05%
Expected Monthly	1.03%	1.14%
Expected Yearly	9.03%	9.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.59%	-0.02%
Expected Shortfall (cVaR)	-0.59%	-0.02%
Max Consecutive Wins	15	870
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.51	-
Gain/Pain (1M)	3.72	-
Payoff Ratio	-	-
Profit Factor	1.51	-
Common Sense Ratio	1.6	-
CPC Index	-	-
Tail Ratio	1.06	3.15
Outlier Win Ratio	2.11	9.05
Outlier Loss Ratio	1.76	-
MTD	0.65%	0.29%
3M	5.03%	3.75%
6M	12.23%	7.83%
YTD	0.65%	0.29%
1Y	29.5%	19.2%
3Y (ann.)	13.27%	16.19%
5Y (ann.)	13.52%	14.99%
10Y (ann.)	13.52%	14.99%
All-time (ann.)	13.52%	14.99%
Best Day	3.29%	0.09%
Worst Day	-3.42%	0.0%
Best Month	6.98%	1.83%
Worst Month	-3.39%	0.29%
Best Year	30.41%	19.38%
Worst Year	0.65%	0.29%
Avg. Drawdown	-0.55%	-
Avg. Drawdown Days	-	-
Recovery Factor	7.06	-
Ulcer Index	0.02	0.0
Serenity Index	4.01	-
Avg. Up Month	1.81%	1.14%
Avg. Down Month	-	-
Win Days	62.0%	100.0%
Win Month	73.81%	100.0%
Win Quarter	80.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.85	-
Alpha	0.01	-
Correlation	4.1%	-
Treynor Ratio	63.57%	-