BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 17 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	34.86%	47.26%
CAGR﹪	11.13%	14.64%
Sharpe	1.67	42.43
Prob. Sharpe Ratio	99.7%	-
Smart Sharpe	1.61	40.94
Sortino	2.48	-
Smart Sortino	2.39	-
Sortino/√2	1.75	-
Smart Sortino/√2	1.69	-
Omega	1.41	1.41
Max Drawdown	-7.66%	-
Longest DD Days	-	-
Volatility (ann.)	6.35%	0.32%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	1.45	-
Skew	-0.12	0.1
Kurtosis	16.54	-1.24
Expected Daily	0.04%	0.05%
Expected Monthly	0.86%	1.11%
Expected Yearly	7.76%	10.16%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.62%	-0.02%
Expected Shortfall (cVaR)	-0.62%	-0.02%
Max Consecutive Wins	11	725
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.41	-
Gain/Pain (1M)	2.64	-
Payoff Ratio	-	-
Profit Factor	1.41	-
Common Sense Ratio	1.47	-
CPC Index	-	-
Tail Ratio	1.04	3.2
Outlier Win Ratio	2.27	9.98
Outlier Loss Ratio	1.78	-
MTD	2.17%	0.68%
3M	6.94%	4.91%
6M	24.89%	10.5%
YTD	14.88%	9.52%
1Y	18.83%	21.48%
3Y (ann.)	11.13%	14.64%
5Y (ann.)	11.13%	14.64%
10Y (ann.)	11.13%	14.64%
All-time (ann.)	11.13%	14.64%
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	14.88%	18.74%
Worst Year	5.0%	2.95%
Avg. Drawdown	-0.55%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.55	-
Ulcer Index	0.02	0.0
Serenity Index	2.27	-
Avg. Up Month	1.7%	1.11%
Avg. Down Month	-	-
Win Days	59.83%	100.0%
Win Month	71.43%	100.0%
Win Quarter	75.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.66	-
Alpha	0.02	-
Correlation	3.32%	-
Treynor Ratio	52.43%	-