CASH RUB[Strategy] vs Deposit RUB[Benchmark]

7 Nov, 2024 - 3 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	14.02%	14.63%
CAGR﹪	22.29%	23.3%
Sharpe	7.68	118.91
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.29	66.45
Sortino	13.72	-
Smart Sortino	7.67	-
Sortino/√2	9.7	-
Smart Sortino/√2	5.42	-
Omega	5.9	5.9
Max Drawdown	-0.82%	-
Longest DD Days	-	-
Volatility (ann.)	2.61%	0.18%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	27.28	-
Skew	0.49	-1.66
Kurtosis	14.59	19.2
Expected Daily	0.08%	0.08%
Expected Monthly	1.47%	1.53%
Expected Yearly	6.78%	7.07%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.06%
Expected Shortfall (cVaR)	-0.19%	-0.06%
Max Consecutive Wins	124	164
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.9	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.9	-
Common Sense Ratio	26.68	-
CPC Index	-	-
Tail Ratio	4.52	1.44
Outlier Win Ratio	4.43	5.33
Outlier Loss Ratio	0.42	-
MTD	0.15%	0.23%
3M	5.16%	4.95%
6M	10.6%	10.69%
YTD	10.6%	10.69%
1Y	14.02%	14.63%
3Y (ann.)	22.29%	23.3%
5Y (ann.)	22.29%	23.3%
10Y (ann.)	22.29%	23.3%
All-time (ann.)	22.29%	23.3%
Best Day	0.92%	0.11%
Worst Day	-0.82%	0.0%
Best Month	1.76%	1.81%
Worst Month	0.15%	0.23%
Best Year	10.6%	10.69%
Worst Year	3.09%	3.56%
Avg. Drawdown	-0.63%	-
Avg. Drawdown Days	-	-
Recovery Factor	17.16	-
Ulcer Index	0.0	0.0
Serenity Index	52.37	-
Avg. Up Month	1.47%	1.53%
Avg. Down Month	-	-
Win Days	96.34%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.43	-
Alpha	0.11	-
Correlation	2.87%	-
Treynor Ratio	32.76%	-