FLOW RUB[Strategy] vs Deposit RUB[Benchmark]

13 Jul, 2023 - 4 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	69.35%	64.15%
CAGR﹪	18.22%	17.05%
Sharpe	1.07	73.58
Prob. Sharpe Ratio	97.13%	-
Smart Sharpe	1.0	68.72
Sortino	1.61	-
Smart Sortino	1.51	-
Sortino/√2	1.14	-
Smart Sortino/√2	1.06	-
Omega	1.21	1.21
Max Drawdown	-22.31%	-
Longest DD Days	-	-
Volatility (ann.)	17.08%	0.21%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.82	-
Skew	0.35	0.26
Kurtosis	13.49	0.16
Expected Daily	0.07%	0.06%
Expected Monthly	1.36%	1.28%
Expected Yearly	14.08%	13.19%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.7%	-0.04%
Expected Shortfall (cVaR)	-1.7%	-0.04%
Max Consecutive Wins	10	790
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	1.53	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.62	-
CPC Index	-	-
Tail Ratio	1.34	2.1
Outlier Win Ratio	1.68	21.09
Outlier Loss Ratio	1.56	-
MTD	-0.44%	0.2%
3M	14.01%	3.3%
6M	23.51%	6.8%
YTD	23.79%	9.48%
1Y	30.03%	15.09%
3Y (ann.)	20.55%	17.54%
5Y (ann.)	18.22%	17.05%
10Y (ann.)	18.22%	17.05%
All-time (ann.)	18.22%	17.05%
Best Day	9.99%	0.09%
Worst Day	-7.69%	0.0%
Best Month	9.01%	1.83%
Worst Month	-6.67%	0.2%
Best Year	23.79%	19.39%
Worst Year	7.73%	5.76%
Avg. Drawdown	-2.34%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.11	-
Ulcer Index	0.05	0.0
Serenity Index	1.76	-
Avg. Up Month	4.13%	1.29%
Avg. Down Month	-	-
Win Days	52.92%	100.0%
Win Month	58.97%	100.0%
Win Quarter	69.23%	100.0%
Win Year	100.0%	100.0%
Beta	-1.04	-
Alpha	0.35	-
Correlation	-1.31%	-
Treynor Ratio	-66.55%	-