FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 12 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	79.0%	100.0%
Cumulative Return	12.81%	15.13%
CAGR﹪	19.07%	22.64%
Sharpe	0.7	115.73
Prob. Sharpe Ratio	71.12%	100.0%
Smart Sharpe	0.44	72.34
Sortino	1.37	-
Smart Sortino	0.86	-
Sortino/√2	0.97	-
Smart Sortino/√2	0.61	-
Omega	1.82	1.82
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	110.6%	0.24%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.48	-
Skew	5.61	-2.97
Kurtosis	77.66	20.82
Expected Daily	0.09%	0.11%
Expected Monthly	1.35%	1.58%
Expected Yearly	6.21%	7.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-11.15%	-0.09%
Expected Shortfall (cVaR)	-11.15%	-0.09%
Max Consecutive Wins	5	127
Max Consecutive Losses	2	0
Gain/Pain Ratio	0.82	-
Gain/Pain (1M)	136.11	-
Payoff Ratio	-	-
Profit Factor	1.82	-
Common Sense Ratio	2.81	-
CPC Index	-	-
Tail Ratio	1.54	1.35
Outlier Win Ratio	0.57	4.66
Outlier Loss Ratio	0.25	-
MTD	0.62%	0.58%
3M	5.53%	5.26%
6M	10.31%	10.9%
YTD	7.51%	7.67%
1Y	12.81%	15.13%
3Y (ann.)	19.07%	22.64%
5Y (ann.)	19.07%	22.64%
10Y (ann.)	19.07%	22.64%
All-time (ann.)	19.07%	22.64%
Best Day	67.49%	0.13%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.82%
Worst Month	-0.3%	0.58%
Best Year	7.51%	7.67%
Worst Year	4.93%	6.94%
Avg. Drawdown	-1.89%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.32	-
Ulcer Index	0.04	0.0
Serenity Index	3.96	-
Avg. Up Month	1.56%	1.59%
Avg. Down Month	-	-
Win Days	69.31%	100.0%
Win Month	88.89%	100.0%
Win Quarter	75.0%	100.0%
Win Year	100.0%	100.0%
Beta	12.78	-
Alpha	-2.77	-
Correlation	2.77%	-
Treynor Ratio	1.0%	-