EQMX RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	65.3%	47.06%
CAGR﹪	19.23%	14.45%
Sharpe	0.86	40.23
Prob. Sharpe Ratio	92.76%	-
Smart Sharpe	0.85	39.52
Sortino	1.24	-
Smart Sortino	1.22	-
Sortino/√2	0.88	-
Smart Sortino/√2	0.86	-
Omega	1.17	1.17
Max Drawdown	-27.32%	-
Longest DD Days	-	-
Volatility (ann.)	23.07%	0.33%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.7	-
Skew	-0.29	0.18
Kurtosis	7.58	-1.26
Expected Daily	0.07%	0.05%
Expected Monthly	1.45%	1.11%
Expected Yearly	13.39%	10.12%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.31%	-0.02%
Expected Shortfall (cVaR)	-2.31%	-0.02%
Max Consecutive Wins	9	733
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.17	-
Gain/Pain (1M)	0.91	-
Payoff Ratio	-	-
Profit Factor	1.17	-
Common Sense Ratio	1.19	-
CPC Index	-	-
Tail Ratio	1.02	3.5
Outlier Win Ratio	2.15	38.54
Outlier Loss Ratio	1.61	-
MTD	-2.74%	1.63%
3M	-10.74%	5.14%
6M	11.87%	10.76%
YTD	-1.48%	8.79%
1Y	-9.14%	21.58%
3Y (ann.)	19.23%	14.45%
5Y (ann.)	19.23%	14.45%
10Y (ann.)	19.23%	14.45%
All-time (ann.)	19.23%	14.45%
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%	18.74%
Worst Year	-1.48%	3.5%
Avg. Drawdown	-3.58%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.39	-
Ulcer Index	0.1	0.0
Serenity Index	0.49	-
Avg. Up Month	5.31%	1.0%
Avg. Down Month	-	-
Win Days	55.59%	100.0%
Win Month	65.71%	100.0%
Win Quarter	66.67%	100.0%
Win Year	75.0%	100.0%
Beta	-1.35	-
Alpha	0.38	-
Correlation	-1.92%	-
Treynor Ratio	-48.49%	-