CASH RUB[Strategy] vs Deposit RUB[Benchmark]

7 Nov, 2024 - 7 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	36.35%	35.4%
CAGR﹪	18.43%	17.98%
Sharpe	3.21	46.81
Prob. Sharpe Ratio	99.65%	-
Smart Sharpe	1.88	27.42
Sortino	4.8	-
Smart Sortino	2.81	-
Sortino/√2	3.39	-
Smart Sortino/√2	1.99	-
Omega	5.33	5.33
Max Drawdown	-4.36%	-
Longest DD Days	-	-
Volatility (ann.)	4.7%	0.31%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	4.22	-
Skew	0.76	0.51
Kurtosis	205.0	-0.64
Expected Daily	0.06%	0.06%
Expected Monthly	1.36%	1.33%
Expected Yearly	10.89%	10.63%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.43%	-0.03%
Expected Shortfall (cVaR)	-0.43%	-0.03%
Max Consecutive Wins	242	521
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.33	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.33	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	2.58
Outlier Win Ratio	4.02	5.34
Outlier Loss Ratio	0.4	-
MTD	0.26%	0.24%
3M	3.45%	3.25%
6M	7.15%	6.68%
YTD	9.98%	9.51%
1Y	15.81%	14.93%
3Y (ann.)	18.43%	17.98%
5Y (ann.)	18.43%	17.98%
10Y (ann.)	18.43%	17.98%
All-time (ann.)	18.43%	17.98%
Best Day	4.64%	0.11%
Worst Day	-4.36%	0.0%
Best Month	1.76%	1.81%
Worst Month	0.26%	0.24%
Best Year	20.26%	19.38%
Worst Year	3.09%	3.56%
Avg. Drawdown	-0.35%	-
Avg. Drawdown Days	-	-
Recovery Factor	8.33	-
Ulcer Index	0.0	0.0
Serenity Index	140.49	-
Avg. Up Month	1.36%	1.33%
Avg. Down Month	-	-
Win Days	95.28%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.8	-
Alpha	0.03	-
Correlation	5.3%	-
Treynor Ratio	45.62%	-