EQMX RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	67.17%	80.18%
CAGR﹪	12.77%	14.76%
Sharpe	0.63	48.4
Prob. Sharpe Ratio	90.45%	-
Smart Sharpe	0.62	47.42
Sortino	0.92	-
Smart Sortino	0.9	-
Sortino/√2	0.65	-
Smart Sortino/√2	0.64	-
Omega	1.12	1.12
Max Drawdown	-35.34%	-
Longest DD Days	-	-
Volatility (ann.)	23.07%	0.28%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.36	-
Skew	0.0	0.05
Kurtosis	6.36	-0.74
Expected Daily	0.05%	0.05%
Expected Monthly	0.99%	1.14%
Expected Yearly	10.82%	12.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.33%	-0.02%
Expected Shortfall (cVaR)	-2.33%	-0.02%
Max Consecutive Wins	9	1093
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.12	-
Gain/Pain (1M)	0.66	-
Payoff Ratio	-	-
Profit Factor	1.12	-
Common Sense Ratio	1.14	-
CPC Index	-	-
Tail Ratio	1.02	3.18
Outlier Win Ratio	2.0	37.34
Outlier Loss Ratio	1.69	-
MTD	11.18%	1.09%
3M	13.27%	3.38%
6M	-0.32%	6.69%
YTD	-2.5%	11.64%
1Y	7.5%	14.66%
3Y (ann.)	-0.22%	17.55%
5Y (ann.)	12.77%	14.76%
10Y (ann.)	12.77%	14.76%
All-time (ann.)	12.77%	14.76%
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	-2.5%	3.5%
Avg. Drawdown	-3.99%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.9	-
Ulcer Index	0.13	0.0
Serenity Index	0.33	-
Avg. Up Month	5.28%	1.06%
Avg. Down Month	-	-
Win Days	52.42%	100.0%
Win Month	57.69%	100.0%
Win Quarter	66.67%	100.0%
Win Year	80.0%	100.0%
Beta	-0.99	-
Alpha	0.28	-
Correlation	-1.2%	-
Treynor Ratio	-67.73%	-