CASH RUB[Strategy] vs Deposit RUB[Benchmark]

7 Nov, 2024 - 30 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	31.46%	30.84%
CAGR﹪	19.18%	18.82%
Sharpe	9.38	53.02
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	5.77	32.59
Sortino	17.71	-
Smart Sortino	10.89	-
Sortino/√2	12.53	-
Smart Sortino/√2	7.7	-
Omega	10.89	10.89
Max Drawdown	-0.82%	-
Longest DD Days	-	-
Volatility (ann.)	1.71%	0.3%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	23.47	-
Skew	1.07	0.28
Kurtosis	33.24	-0.53
Expected Daily	0.06%	0.06%
Expected Monthly	1.45%	1.42%
Expected Yearly	9.55%	9.37%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.11%	-0.03%
Expected Shortfall (cVaR)	-0.11%	-0.03%
Max Consecutive Wins	242	428
Max Consecutive Losses	2	0
Gain/Pain Ratio	9.89	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	10.89	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	2.46
Outlier Win Ratio	4.1	4.76
Outlier Loss Ratio	0.63	-
MTD	1.08%	1.09%
3M	3.6%	3.39%
6M	7.64%	7.17%
YTD	6.04%	5.83%
1Y	17.46%	16.24%
3Y (ann.)	19.18%	18.82%
5Y (ann.)	19.18%	18.82%
10Y (ann.)	19.18%	18.82%
All-time (ann.)	19.18%	18.82%
Best Day	0.92%	0.11%
Worst Day	-0.82%	0.0%
Best Month	1.76%	1.81%
Worst Month	1.07%	1.09%
Best Year	20.26%	19.38%
Worst Year	3.09%	3.56%
Avg. Drawdown	-0.22%	-
Avg. Drawdown Days	-	-
Recovery Factor	38.5	-
Ulcer Index	0.0	0.0
Serenity Index	208.1	-
Avg. Up Month	1.45%	1.43%
Avg. Down Month	-	-
Win Days	96.57%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.78	-
Alpha	0.04	-
Correlation	13.53%	-
Treynor Ratio	40.41%	-