FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	69.0%	95.0%
Cumulative Return	0.1%	1.87%
CAGR﹪	1.03%	21.36%
Sharpe	0.26	65.55
Prob. Sharpe Ratio	52.79%	96.33%
Smart Sharpe	0.24	60.25
Sortino	0.35	-
Smart Sortino	0.32	-
Sortino/√2	0.24	-
Smart Sortino/√2	0.22	-
Omega	1.06	1.06
Max Drawdown	-1.38%	-
Longest DD Days	-	-
Volatility (ann.)	5.49%	0.38%
R^2	0.0	0.0
Information Ratio	-0.27	-0.27
Calmar	0.75	-
Skew	-1.04	-4.36
Kurtosis	3.26	19.0
Expected Daily	0.01%	0.1%
Expected Monthly	0.05%	0.93%
Expected Yearly	0.1%	1.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.56%	-0.06%
Expected Shortfall (cVaR)	-0.56%	-0.06%
Max Consecutive Wins	4	18
Max Consecutive Losses	2	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.38	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.36	-
CPC Index	-	-
Tail Ratio	1.29	1.11
Outlier Win Ratio	2.5	3.56
Outlier Loss Ratio	0.87	-
MTD	0.4%	0.41%
3M	0.1%	1.87%
6M	0.1%	1.87%
YTD	0.1%	1.87%
1Y	0.1%	1.87%
3Y (ann.)	1.03%	21.36%
5Y (ann.)	1.03%	21.36%
10Y (ann.)	1.03%	21.36%
All-time (ann.)	1.03%	21.36%
Best Day	0.59%	0.1%
Worst Day	-0.99%	0.0%
Best Month	0.4%	1.45%
Worst Month	-0.3%	0.41%
Best Year	0.1%	1.87%
Worst Year	0.1%	1.87%
Avg. Drawdown	-0.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.07	-
Ulcer Index	0.01	0.0
Serenity Index	0.03	-
Avg. Up Month	0.4%	0.41%
Avg. Down Month	-	-
Win Days	69.23%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.06	-
Alpha	-0.0	-
Correlation	0.4%	-
Treynor Ratio	1.67%	-