FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 19 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	73.0%	91.0%
Cumulative Return	-0.49%	1.33%
CAGR﹪	-10.06%	32.94%
Sharpe	-1.77	47.86
Prob. Sharpe Ratio	35.28%	94.97%
Smart Sharpe	-1.59	43.06
Sortino	-2.15	-
Smart Sortino	-1.94	-
Sortino/√2	-1.52	-
Smart Sortino/√2	-1.37	-
Omega	0.69	0.69
Max Drawdown	-1.38%	-
Longest DD Days	-	-
Volatility (ann.)	6.28%	0.64%
R^2	0.0	0.0
Information Ratio	-0.41	-0.41
Calmar	-7.29	-
Skew	-1.19	-3.32
Kurtosis	3.06	11.0
Expected Daily	-0.04%	0.12%
Expected Monthly	-0.49%	1.33%
Expected Yearly	-0.49%	1.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.69%	-0.05%
Expected Shortfall (cVaR)	-0.69%	-0.05%
Max Consecutive Wins	4	10
Max Consecutive Losses	2	0
Gain/Pain Ratio	-0.31	-
Gain/Pain (1M)	-1.0	-
Payoff Ratio	-	-
Profit Factor	0.69	-
Common Sense Ratio	0.39	-
CPC Index	-	-
Tail Ratio	0.57	2.0
Outlier Win Ratio	2.49	2.83
Outlier Loss Ratio	0.87	-
MTD	-0.49%	1.33%
3M	-0.49%	1.33%
6M	-0.49%	1.33%
YTD	-0.49%	1.33%
1Y	-0.49%	1.33%
3Y (ann.)	-10.06%	32.94%
5Y (ann.)	-10.06%	32.94%
10Y (ann.)	-10.06%	32.94%
All-time (ann.)	-10.06%	32.94%
Best Day	0.59%	0.13%
Worst Day	-0.99%	0.0%
Best Month	-0.49%	1.33%
Worst Month	-0.49%	1.33%
Best Year	-0.49%	1.33%
Worst Year	-0.49%	1.33%
Avg. Drawdown	-1.38%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.36	-
Ulcer Index	0.01	0.0
Serenity Index	-0.13	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	62.5%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.37	-
Alpha	-0.0	-
Correlation	-3.7%	-
Treynor Ratio	1.35%	-