EQMX RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 16 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	50.6%	78.22%
CAGR﹪	10.35%	14.92%
Sharpe	0.54	47.26
Prob. Sharpe Ratio	86.38%	-
Smart Sharpe	0.53	46.36
Sortino	0.78	-
Smart Sortino	0.76	-
Sortino/√2	0.55	-
Smart Sortino/√2	0.54	-
Omega	1.1	1.1
Max Drawdown	-35.34%	-
Longest DD Days	-	-
Volatility (ann.)	23.15%	0.29%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.29	-
Skew	-0.01	0.03
Kurtosis	6.43	-0.82
Expected Daily	0.04%	0.05%
Expected Monthly	0.81%	1.14%
Expected Yearly	8.53%	12.25%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.35%	-0.02%
Expected Shortfall (cVaR)	-2.35%	-0.02%
Max Consecutive Wins	9	1061
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.55	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.12	-
CPC Index	-	-
Tail Ratio	1.02	3.2
Outlier Win Ratio	1.96	35.96
Outlier Loss Ratio	1.69	-
MTD	4.8%	1.08%
3M	-7.36%	3.83%
6M	-16.58%	7.29%
YTD	-12.17%	10.43%
1Y	-12.66%	15.49%
3Y (ann.)	-3.9%	17.75%
5Y (ann.)	10.35%	14.92%
10Y (ann.)	10.35%	14.92%
All-time (ann.)	10.35%	14.92%
Best Day	8.58%	0.1%
Worst Day	-10.03%	0.0%
Best Month	13.54%	1.83%
Worst Month	-16.61%	0.48%
Best Year	52.2%	19.38%
Worst Year	-12.17%	3.5%
Avg. Drawdown	-3.99%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.43	-
Ulcer Index	0.13	0.0
Serenity Index	0.26	-
Avg. Up Month	5.08%	1.06%
Avg. Down Month	-	-
Win Days	52.2%	100.0%
Win Month	56.86%	100.0%
Win Quarter	64.71%	100.0%
Win Year	80.0%	100.0%
Beta	-0.35	-
Alpha	0.17	-
Correlation	-0.44%	-
Treynor Ratio	-145.37%	-