CNYM RUB[Strategy] vs Deposit RUB[Benchmark]

24 Jan, 2024 - 7 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	5.89%	53.26%
CAGR﹪	2.28%	18.33%
Sharpe	0.22	61.33
Prob. Sharpe Ratio	63.62%	100.0%
Smart Sharpe	0.21	58.86
Sortino	0.31	-
Smart Sortino	0.3	-
Sortino/√2	0.22	-
Smart Sortino/√2	0.21	-
Omega	1.04	1.04
Max Drawdown	-31.11%	-
Longest DD Days	-	-
Volatility (ann.)	16.48%	0.27%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	0.07	-
Skew	0.31	4.28
Kurtosis	6.4	33.36
Expected Daily	0.01%	0.07%
Expected Monthly	0.18%	1.34%
Expected Yearly	1.92%	15.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.69%	-0.04%
Expected Shortfall (cVaR)	-1.69%	-0.04%
Max Consecutive Wins	8	649
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.16	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	1.12	-
CPC Index	-	-
Tail Ratio	1.08	1.76
Outlier Win Ratio	1.89	20.29
Outlier Loss Ratio	1.66	-
MTD	4.45%	0.23%
3M	12.14%	3.32%
6M	11.92%	6.71%
YTD	11.07%	8.34%
1Y	12.94%	15.24%
3Y (ann.)	2.28%	18.33%
5Y (ann.)	2.28%	18.33%
10Y (ann.)	2.28%	18.33%
All-time (ann.)	2.28%	18.33%
Best Day	7.29%	0.21%
Worst Day	-4.96%	0.0%
Best Month	13.51%	1.83%
Worst Month	-9.77%	0.23%
Best Year	19.76%	19.38%
Worst Year	-20.4%	8.34%
Avg. Drawdown	-3.19%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.19	-
Ulcer Index	0.2	0.0
Serenity Index	0.01	-
Avg. Up Month	3.68%	1.26%
Avg. Down Month	-	-
Win Days	51.63%	100.0%
Win Month	56.25%	100.0%
Win Quarter	54.55%	100.0%
Win Year	66.67%	100.0%
Beta	-1.6	-
Alpha	0.3	-
Correlation	-2.62%	-
Treynor Ratio	-3.68%	-