FMBR RUB[Strategy] vs Deposit RUB[Benchmark]

21 Oct, 2025 - 28 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	99.0%
Cumulative Return	3.48%	5.05%
CAGR﹪	13.44%	19.9%
Sharpe	3.19	34.19
Prob. Sharpe Ratio	96.77%	100.0%
Smart Sharpe	2.88	30.84
Sortino	5.43	-
Smart Sortino	4.9	-
Sortino/√2	3.84	-
Smart Sortino/√2	3.46	-
Omega	1.89	1.89
Max Drawdown	-1.76%	-
Longest DD Days	-	-
Volatility (ann.)	3.35%	0.45%
R^2	0.0	0.0
Information Ratio	-0.09	-0.09
Calmar	7.65	-
Skew	0.41	2.2
Kurtosis	4.11	4.41
Expected Daily	0.04%	0.06%
Expected Monthly	0.86%	1.24%
Expected Yearly	1.73%	2.49%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.3%	-0.01%
Expected Shortfall (cVaR)	-0.3%	-0.01%
Max Consecutive Wins	6	80
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.89	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.89	-
Common Sense Ratio	2.38	-
CPC Index	-	-
Tail Ratio	1.26	3.13
Outlier Win Ratio	3.29	7.59
Outlier Loss Ratio	1.77	-
MTD	1.14%	1.24%
3M	3.62%	4.45%
6M	3.48%	5.05%
YTD	1.14%	1.24%
1Y	3.48%	5.05%
3Y (ann.)	13.44%	19.9%
5Y (ann.)	13.44%	19.9%
10Y (ann.)	13.44%	19.9%
All-time (ann.)	13.44%	19.9%
Best Day	0.79%	0.14%
Worst Day	-0.61%	0.0%
Best Month	1.31%	1.3%
Worst Month	0.14%	1.14%
Best Year	2.32%	3.76%
Worst Year	1.14%	1.24%
Avg. Drawdown	-0.27%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.98	-
Ulcer Index	0.01	0.0
Serenity Index	1.51	-
Avg. Up Month	0.86%	1.24%
Avg. Down Month	-	-
Win Days	60.27%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.16	-
Alpha	0.13	-
Correlation	-2.13%	-
Treynor Ratio	-21.85%	-