FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 31 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	88.0%	100.0%
Cumulative Return	23.23%	24.44%
CAGR﹪	19.7%	20.71%
Sharpe	0.64	67.47
Prob. Sharpe Ratio	75.85%	-
Smart Sharpe	0.4	42.13
Sortino	1.26	-
Smart Sortino	0.79	-
Sortino/√2	0.89	-
Smart Sortino/√2	0.56	-
Omega	1.98	1.98
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	82.75%	0.36%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.49	-
Skew	7.49	-0.47
Kurtosis	138.67	-0.07
Expected Daily	0.09%	0.1%
Expected Monthly	1.5%	1.57%
Expected Yearly	11.01%	11.55%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-8.36%	-0.06%
Expected Shortfall (cVaR)	-8.36%	-0.06%
Max Consecutive Wins	10	227
Max Consecutive Losses	2	0
Gain/Pain Ratio	0.98	-
Gain/Pain (1M)	166.84	-
Payoff Ratio	-	-
Profit Factor	1.98	-
Common Sense Ratio	3.62	-
CPC Index	-	-
Tail Ratio	1.83	2.11
Outlier Win Ratio	0.89	5.06
Outlier Loss Ratio	0.23	-
MTD	1.25%	1.29%
3M	4.42%	4.01%
6M	9.82%	8.81%
YTD	17.45%	16.37%
1Y	21.91%	20.77%
3Y (ann.)	19.7%	20.71%
5Y (ann.)	19.7%	20.71%
10Y (ann.)	19.7%	20.71%
All-time (ann.)	19.7%	20.71%
Best Day	67.49%	0.13%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.82%
Worst Month	-0.3%	1.29%
Best Year	17.45%	16.37%
Worst Year	4.93%	6.94%
Avg. Drawdown	-1.13%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.58	-
Ulcer Index	0.03	0.0
Serenity Index	9.74	-
Avg. Up Month	1.64%	1.58%
Avg. Down Month	-	-
Win Days	75.38%	100.0%
Win Month	92.86%	100.0%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	6.96	-
Alpha	-1.15	-
Correlation	3.01%	-
Treynor Ratio	3.34%	-