CASH RUB[Strategy] vs Deposit RUB[Benchmark]

7 Nov, 2024 - 16 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	11.23%	12.67%
CAGR﹪	22.68%	25.76%
Sharpe	7.01	60.38
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.89	33.54
Sortino	12.44	-
Smart Sortino	6.91	-
Sortino/√2	8.8	-
Smart Sortino/√2	4.89	-
Omega	4.98	4.98
Max Drawdown	-0.82%	-
Longest DD Days	-	-
Volatility (ann.)	2.91%	0.38%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	27.75	-
Skew	0.42	1.67
Kurtosis	11.52	5.29
Expected Daily	0.08%	0.09%
Expected Monthly	1.53%	1.72%
Expected Yearly	5.46%	6.15%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.22%	-0.05%
Expected Shortfall (cVaR)	-0.22%	-0.05%
Max Consecutive Wins	91	131
Max Consecutive Losses	2	0
Gain/Pain Ratio	3.98	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	4.98	-
Common Sense Ratio	43.8	-
CPC Index	-	-
Tail Ratio	8.8	2.18
Outlier Win Ratio	4.53	5.31
Outlier Loss Ratio	0.46	-
MTD	0.94%	1.63%
3M	5.25%	5.97%
6M	10.62%	11.95%
YTD	7.89%	8.8%
1Y	11.23%	12.67%
3Y (ann.)	22.68%	25.76%
5Y (ann.)	22.68%	25.76%
10Y (ann.)	22.68%	25.76%
All-time (ann.)	22.68%	25.76%
Best Day	0.92%	0.16%
Worst Day	-0.82%	0.0%
Best Month	1.76%	1.81%
Worst Month	0.94%	1.63%
Best Year	7.89%	8.8%
Worst Year	3.09%	3.56%
Avg. Drawdown	-0.63%	-
Avg. Drawdown Days	-	-
Recovery Factor	13.74	-
Ulcer Index	0.0	0.0
Serenity Index	36.91	-
Avg. Up Month	1.53%	1.72%
Avg. Down Month	-	-
Win Days	95.42%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.24	-
Alpha	0.15	-
Correlation	3.12%	-
Treynor Ratio	46.8%	-