BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	45.01%	52.54%
CAGR﹪	13.21%	15.14%
Sharpe	1.98	41.08
Prob. Sharpe Ratio	99.96%	-
Smart Sharpe	1.93	40.1
Sortino	2.97	-
Smart Sortino	2.9	-
Sortino/√2	2.1	-
Smart Sortino/√2	2.05	-
Omega	1.5	1.5
Max Drawdown	-7.66%	-
Longest DD Days	-	-
Volatility (ann.)	6.24%	0.34%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.72	-
Skew	-0.16	0.33
Kurtosis	16.8	-0.39
Expected Daily	0.05%	0.05%
Expected Monthly	1.01%	1.15%
Expected Yearly	9.74%	11.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.6%	-0.02%
Expected Shortfall (cVaR)	-0.6%	-0.02%
Max Consecutive Wins	15	768
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.5	-
Gain/Pain (1M)	3.27	-
Payoff Ratio	-	-
Profit Factor	1.5	-
Common Sense Ratio	1.57	-
CPC Index	-	-
Tail Ratio	1.05	3.2
Outlier Win Ratio	2.26	9.64
Outlier Loss Ratio	1.79	-
MTD	1.67%	1.33%
3M	10.01%	5.26%
6M	17.4%	10.5%
YTD	23.53%	13.45%
1Y	25.27%	22.41%
3Y (ann.)	13.12%	15.27%
5Y (ann.)	13.21%	15.14%
10Y (ann.)	13.21%	15.14%
All-time (ann.)	13.21%	15.14%
Best Day	3.29%	0.12%
Worst Day	-3.42%	0.0%
Best Month	6.98%	1.83%
Worst Month	-3.39%	0.51%
Best Year	23.53%	18.74%
Worst Year	5.0%	2.95%
Avg. Drawdown	-0.55%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.87	-
Ulcer Index	0.02	0.0
Serenity Index	3.05	-
Avg. Up Month	1.84%	1.16%
Avg. Down Month	-	-
Win Days	61.37%	100.0%
Win Month	72.97%	100.0%
Win Quarter	76.92%	100.0%
Win Year	100.0%	100.0%
Beta	0.92	-
Alpha	-0.0	-
Correlation	4.98%	-
Treynor Ratio	48.8%	-