FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	33.63%	34.19%
CAGR﹪	18.67%	18.97%
Sharpe	0.61	53.76
Prob. Sharpe Ratio	79.91%	-
Smart Sharpe	0.38	33.55
Sortino	1.19	-
Smart Sortino	0.74	-
Sortino/√2	0.84	-
Smart Sortino/√2	0.52	-
Omega	2.11	2.11
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	66.95%	0.4%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.47	-
Skew	9.27	0.17
Kurtosis	211.87	-0.95
Expected Daily	0.08%	0.08%
Expected Monthly	1.39%	1.41%
Expected Yearly	10.14%	10.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.78%	-0.04%
Expected Shortfall (cVaR)	-6.78%	-0.04%
Max Consecutive Wins	16	347
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.11	-
Gain/Pain (1M)	195.0	-
Payoff Ratio	-	-
Profit Factor	2.11	-
Common Sense Ratio	4.9	-
CPC Index	-	-
Tail Ratio	2.33	2.41
Outlier Win Ratio	1.15	5.35
Outlier Loss Ratio	0.31	-
MTD	0.36%	0.41%
3M	3.65%	3.29%
6M	7.69%	7.27%
YTD	5.45%	5.12%
1Y	18.45%	16.42%
3Y (ann.)	18.67%	18.97%
5Y (ann.)	18.67%	18.97%
10Y (ann.)	18.67%	18.97%
All-time (ann.)	18.67%	18.97%
Best Day	67.49%	0.13%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.82%
Worst Month	-0.3%	0.41%
Best Year	20.77%	19.38%
Worst Year	4.93%	5.12%
Avg. Drawdown	-0.75%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.84	-
Ulcer Index	0.02	0.0
Serenity Index	17.57	-
Avg. Up Month	1.48%	1.41%
Avg. Down Month	-	-
Win Days	76.03%	100.0%
Win Month	95.24%	100.0%
Win Quarter	87.5%	100.0%
Win Year	100.0%	100.0%
Beta	5.49	-
Alpha	-0.76	-
Correlation	3.25%	-
Treynor Ratio	6.13%	-