EQMX RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 21 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	47.94%	32.67%
CAGR﹪	18.25%	12.86%
Sharpe	0.89	37.58
Prob. Sharpe Ratio	90.75%	-
Smart Sharpe	0.88	37.02
Sortino	1.22	-
Smart Sortino	1.2	-
Sortino/√2	0.86	-
Smart Sortino/√2	0.85	-
Omega	1.18	1.18
Max Drawdown	-24.3%	-
Longest DD Days	-	-
Volatility (ann.)	21.05%	0.32%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.75	-
Skew	-1.14	1.04
Kurtosis	9.42	1.33
Expected Daily	0.07%	0.05%
Expected Monthly	1.36%	0.98%
Expected Yearly	13.95%	9.88%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.11%	-0.01%
Expected Shortfall (cVaR)	-2.11%	-0.01%
Max Consecutive Wins	9	596
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.18	-
Gain/Pain (1M)	0.87	-
Payoff Ratio	-	-
Profit Factor	1.18	-
Common Sense Ratio	1.2	-
CPC Index	-	-
Tail Ratio	1.01	2.98
Outlier Win Ratio	2.25	39.77
Outlier Loss Ratio	1.72	-
MTD	0.95%	1.74%
3M	-6.07%	5.61%
6M	-21.57%	10.14%
YTD	-11.47%	16.53%
1Y	-12.83%	18.45%
3Y (ann.)	18.25%	12.86%
5Y (ann.)	18.25%	12.86%
10Y (ann.)	18.25%	12.86%
All-time (ann.)	18.25%	12.86%
Best Day	5.1%	0.12%
Worst Day	-10.03%	0.0%
Best Month	13.45%	1.74%
Worst Month	-16.61%	0.48%
Best Year	52.2%	16.53%
Worst Year	-11.47%	3.5%
Avg. Drawdown	-3.02%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.97	-
Ulcer Index	0.09	0.0
Serenity Index	0.43	-
Avg. Up Month	4.81%	0.88%
Avg. Down Month	-	-
Win Days	56.87%	100.0%
Win Month	68.97%	100.0%
Win Quarter	60.0%	100.0%
Win Year	66.67%	100.0%
Beta	-2.91	-
Alpha	0.53	-
Correlation	-4.39%	-
Treynor Ratio	-16.48%	-