FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 6 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	41.0%	41.33%
CAGR﹪	17.84%	17.97%
Sharpe	0.58	42.56
Prob. Sharpe Ratio	82.39%	-
Smart Sharpe	0.36	26.56
Sortino	1.13	-
Smart Sortino	0.7	-
Sortino/√2	0.8	-
Smart Sortino/√2	0.5	-
Omega	2.09	2.09
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	58.05%	0.44%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.44	-
Skew	10.66	0.43
Kurtosis	280.94	-0.99
Expected Daily	0.07%	0.07%
Expected Monthly	1.33%	1.34%
Expected Yearly	12.13%	12.22%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.88%	-0.03%
Expected Shortfall (cVaR)	-5.88%	-0.03%
Max Consecutive Wins	16	463
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.09	-
Gain/Pain (1M)	213.98	-
Payoff Ratio	-	-
Profit Factor	2.09	-
Common Sense Ratio	4.87	-
CPC Index	-	-
Tail Ratio	2.32	3.01
Outlier Win Ratio	1.34	5.94
Outlier Loss Ratio	0.4	-
MTD	0.06%	0.25%
3M	3.34%	3.4%
6M	7.01%	6.74%
YTD	11.27%	10.72%
1Y	15.67%	14.9%
3Y (ann.)	17.84%	17.97%
5Y (ann.)	17.84%	17.97%
10Y (ann.)	17.84%	17.97%
All-time (ann.)	17.84%	17.97%
Best Day	67.49%	0.13%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.82%
Worst Month	-0.3%	0.25%
Best Year	20.77%	19.38%
Worst Year	4.93%	6.94%
Avg. Drawdown	-0.59%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.02	-
Ulcer Index	0.02	0.0
Serenity Index	24.71	-
Avg. Up Month	1.4%	1.34%
Avg. Down Month	-	-
Win Days	74.77%	100.0%
Win Month	96.15%	100.0%
Win Quarter	90.0%	100.0%
Win Year	100.0%	100.0%
Beta	4.43	-
Alpha	-0.5	-
Correlation	3.37%	-
Treynor Ratio	9.26%	-