BOND RUB[Strategy] vs Deposit RUB[Benchmark]

18 Aug, 2022 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	46.94%	55.31%
CAGR﹪	12.97%	14.97%
Sharpe	1.98	44.79
Prob. Sharpe Ratio	99.97%	-
Smart Sharpe	1.92	43.47
Sortino	2.96	-
Smart Sortino	2.87	-
Sortino/√2	2.09	-
Smart Sortino/√2	2.03	-
Omega	1.49	1.49
Max Drawdown	-7.66%	-
Longest DD Days	-	-
Volatility (ann.)	6.14%	0.31%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	1.69	-
Skew	-0.17	-0.02
Kurtosis	17.07	-1.16
Expected Daily	0.05%	0.05%
Expected Monthly	0.99%	1.14%
Expected Yearly	10.1%	11.63%
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	809
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.49	-
Gain/Pain (1M)	3.31	-
Payoff Ratio	-	-
Profit Factor	1.49	-
Common Sense Ratio	1.51	-
CPC Index	-	-
Tail Ratio	1.01	3.18
Outlier Win Ratio	2.18	9.19
Outlier Loss Ratio	1.8	-
MTD	0.92%	0.53%
3M	7.03%	4.02%
6M	15.92%	8.95%
YTD	25.17%	15.5%
1Y	28.73%	20.96%
3Y (ann.)	12.97%	15.56%
5Y (ann.)	12.97%	14.97%
10Y (ann.)	12.97%	14.97%
All-time (ann.)	12.97%	14.97%
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	25.17%	18.74%
Worst Year	5.0%	2.95%
Avg. Drawdown	-0.55%	-
Avg. Drawdown Days	-	-
Recovery Factor	6.12	-
Ulcer Index	0.02	0.0
Serenity Index	3.27	-
Avg. Up Month	1.84%	1.13%
Avg. Down Month	-	-
Win Days	61.77%	100.0%
Win Month	71.79%	100.0%
Win Quarter	78.57%	100.0%
Win Year	100.0%	100.0%
Beta	0.84	-
Alpha	0.01	-
Correlation	4.17%	-
Treynor Ratio	56.03%	-