FINC RUB[Strategy] vs Deposit RUB[Benchmark]

2 Sep, 2024 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	100.0%
Cumulative Return	25.55%	26.82%
CAGR﹪	19.51%	20.45%
Sharpe	0.63	66.96
Prob. Sharpe Ratio	76.81%	-
Smart Sharpe	0.4	41.81
Sortino	1.24	-
Smart Sortino	0.77	-
Sortino/√2	0.88	-
Smart Sortino/√2	0.55	-
Omega	2.01	2.01
Max Drawdown	-40.13%	-
Longest DD Days	-	-
Volatility (ann.)	78.55%	0.35%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.49	-
Skew	7.9	-0.25
Kurtosis	153.93	-0.28
Expected Daily	0.09%	0.09%
Expected Monthly	1.43%	1.5%
Expected Yearly	12.05%	12.61%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.94%	-0.06%
Expected Shortfall (cVaR)	-7.94%	-0.06%
Max Consecutive Wins	10	252
Max Consecutive Losses	2	0
Gain/Pain Ratio	1.01	-
Gain/Pain (1M)	173.31	-
Payoff Ratio	-	-
Profit Factor	2.01	-
Common Sense Ratio	3.45	-
CPC Index	-	-
Tail Ratio	1.71	2.06
Outlier Win Ratio	0.97	5.14
Outlier Loss Ratio	0.24	-
MTD	0.6%	0.61%
3M	4.2%	3.97%
6M	9.06%	8.44%
YTD	19.65%	18.59%
1Y	20.9%	20.2%
3Y (ann.)	19.51%	20.45%
5Y (ann.)	19.51%	20.45%
10Y (ann.)	19.51%	20.45%
All-time (ann.)	19.51%	20.45%
Best Day	67.49%	0.13%
Worst Day	-40.13%	0.0%
Best Month	2.28%	1.82%
Worst Month	-0.3%	0.61%
Best Year	19.65%	18.59%
Worst Year	4.93%	6.94%
Avg. Drawdown	-1.04%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.64	-
Ulcer Index	0.03	0.0
Serenity Index	11.31	-
Avg. Up Month	1.55%	1.5%
Avg. Down Month	-	-
Win Days	76.23%	100.0%
Win Month	93.75%	100.0%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	6.93	-
Alpha	-1.14	-
Correlation	3.12%	-
Treynor Ratio	3.68%	-