FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 9 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	36.56%	37.0%
CAGR﹪	18.35%	18.56%
Sharpe	0.6	50.64
Prob. Sharpe Ratio	80.94%	-
Smart Sharpe	0.37	31.61
Sortino	1.17	-
Smart Sortino	0.73	-
Sortino/√2	0.83	-
Smart Sortino/√2	0.52	-
Omega	2.14	2.14
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	63.48%	0.41%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.46	-
Skew	9.77	0.33
Kurtosis	235.66	-0.99
Expected Daily	0.08%	0.08%
Expected Monthly	1.36%	1.38%
Expected Yearly	10.95%	11.06%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.43%	-0.04%
Expected Shortfall (cVaR)	-6.43%	-0.04%
Max Consecutive Wins	16	386
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.14	-
Gain/Pain (1M)	202.55	-
Payoff Ratio	-	-
Profit Factor	2.14	-
Common Sense Ratio	5.15	-
CPC Index	-	-
Tail Ratio	2.41	2.44
Outlier Win Ratio	1.19	5.28
Outlier Loss Ratio	0.33	-
MTD	0.43%	0.35%
3M	3.6%	3.31%
6M	7.62%	7.06%
YTD	7.77%	7.32%
1Y	17.06%	15.77%
3Y (ann.)	18.35%	18.56%
5Y (ann.)	18.35%	18.56%
10Y (ann.)	18.35%	18.56%
All-time (ann.)	18.35%	18.56%
Best Day	67.49%	0.13%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.82%
Worst Month	-0.3%	0.35%
Best Year	20.77%	19.38%
Worst Year	4.93%	6.94%
Avg. Drawdown	-0.69%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.91	-
Ulcer Index	0.02	0.0
Serenity Index	20.19	-
Avg. Up Month	1.44%	1.38%
Avg. Down Month	-	-
Win Days	76.55%	100.0%
Win Month	95.65%	100.0%
Win Quarter	88.89%	100.0%
Win Year	100.0%	100.0%
Beta	5.19	-
Alpha	-0.68	-
Correlation	3.31%	-
Treynor Ratio	7.04%	-