EQMX RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 25 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	66.99%	70.79%
CAGR﹪	14.27%	14.94%
Sharpe	0.71	46.48
Prob. Sharpe Ratio	91.73%	-
Smart Sharpe	0.69	45.31
Sortino	1.03	-
Smart Sortino	1.0	-
Sortino/√2	0.73	-
Smart Sortino/√2	0.71	-
Omega	1.14	1.14
Max Drawdown	-27.32%	-
Longest DD Days	-	-
Volatility (ann.)	22.12%	0.3%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.52	-
Skew	-0.11	-0.07
Kurtosis	7.38	-0.97
Expected Daily	0.05%	0.05%
Expected Monthly	1.1%	1.15%
Expected Yearly	10.8%	11.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.23%	-0.02%
Expected Shortfall (cVaR)	-2.23%	-0.02%
Max Consecutive Wins	9	980
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.14	-
Gain/Pain (1M)	0.75	-
Payoff Ratio	-	-
Profit Factor	1.14	-
Common Sense Ratio	1.17	-
CPC Index	-	-
Tail Ratio	1.03	3.18
Outlier Win Ratio	2.06	35.58
Outlier Loss Ratio	1.74	-
MTD	-0.4%	1.09%
3M	-4.3%	3.53%
6M	1.54%	7.45%
YTD	-2.61%	5.83%
1Y	3.41%	16.58%
3Y (ann.)	5.19%	17.24%
5Y (ann.)	14.27%	14.94%
10Y (ann.)	14.27%	14.94%
All-time (ann.)	14.27%	14.94%
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	-2.61%	3.5%
Avg. Drawdown	-3.63%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.45	-
Ulcer Index	0.11	0.0
Serenity Index	0.42	-
Avg. Up Month	5.09%	1.06%
Avg. Down Month	-	-
Win Days	53.17%	100.0%
Win Month	59.57%	100.0%
Win Quarter	62.5%	100.0%
Win Year	80.0%	100.0%
Beta	-1.05	-
Alpha	0.3	-
Correlation	-1.4%	-
Treynor Ratio	-64.0%	-