CASH RUB[Strategy] vs Deposit RUB[Benchmark]

7 Nov, 2024 - 23 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	38.78%	38.03%
CAGR﹪	18.21%	17.88%
Sharpe	3.25	46.8
Prob. Sharpe Ratio	99.7%	-
Smart Sharpe	1.91	27.46
Sortino	4.87	-
Smart Sortino	2.86	-
Sortino/√2	3.45	-
Smart Sortino/√2	2.02	-
Omega	5.55	5.55
Max Drawdown	-4.36%	-
Longest DD Days	-	-
Volatility (ann.)	4.52%	0.31%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	4.17	-
Skew	0.8	0.63
Kurtosis	221.64	-0.49
Expected Daily	0.06%	0.06%
Expected Monthly	1.37%	1.35%
Expected Yearly	11.54%	11.34%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.41%	-0.03%
Expected Shortfall (cVaR)	-0.41%	-0.03%
Max Consecutive Wins	242	565
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.55	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.55	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	2.58
Outlier Win Ratio	3.18	4.16
Outlier Loss Ratio	0.44	-
MTD	0.93%	1.09%
3M	3.55%	3.61%
6M	7.16%	6.95%
YTD	11.95%	11.64%
1Y	15.56%	14.98%
3Y (ann.)	18.21%	17.88%
5Y (ann.)	18.21%	17.88%
10Y (ann.)	18.21%	17.88%
All-time (ann.)	18.21%	17.88%
Best Day	4.64%	0.11%
Worst Day	-4.36%	0.0%
Best Month	1.76%	1.81%
Worst Month	0.93%	1.06%
Best Year	20.26%	19.38%
Worst Year	3.09%	3.56%
Avg. Drawdown	-0.31%	-
Avg. Drawdown Days	-	-
Recovery Factor	8.89	-
Ulcer Index	0.0	0.0
Serenity Index	156.52	-
Avg. Up Month	1.38%	1.35%
Avg. Down Month	-	-
Win Days	95.06%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.82	-
Alpha	0.03	-
Correlation	5.55%	-
Treynor Ratio	47.45%	-