FMBR RUB[Strategy] vs Deposit RUB[Benchmark]

21 Oct, 2025 - 19 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	5.91%	7.48%
CAGR﹪	15.09%	19.32%
Sharpe	3.45	39.02
Prob. Sharpe Ratio	99.44%	100.0%
Smart Sharpe	3.2	36.17
Sortino	6.24	-
Smart Sortino	5.79	-
Sortino/√2	4.41	-
Smart Sortino/√2	4.09	-
Omega	1.95	1.95
Max Drawdown	-1.76%	-
Longest DD Days	-	-
Volatility (ann.)	3.4%	0.38%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	8.59	-
Skew	0.54	2.71
Kurtosis	2.7	7.76
Expected Daily	0.05%	0.06%
Expected Monthly	0.96%	1.21%
Expected Yearly	2.91%	3.67%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.31%	-0.02%
Expected Shortfall (cVaR)	-0.31%	-0.02%
Max Consecutive Wins	6	123
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.95	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.95	-
Common Sense Ratio	2.97	-
CPC Index	-	-
Tail Ratio	1.53	3.13
Outlier Win Ratio	2.91	7.62
Outlier Loss Ratio	1.63	-
MTD	1.05%	1.16%
3M	5.25%	4.15%
6M	5.91%	7.48%
YTD	3.51%	3.58%
1Y	5.91%	7.48%
3Y (ann.)	15.09%	19.32%
5Y (ann.)	15.09%	19.32%
10Y (ann.)	15.09%	19.32%
All-time (ann.)	15.09%	19.32%
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	3.51%	3.76%
Worst Year	2.32%	3.58%
Avg. Drawdown	-0.24%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.36	-
Ulcer Index	0.0	0.0
Serenity Index	3.8	-
Avg. Up Month	0.96%	1.21%
Avg. Down Month	-	-
Win Days	58.93%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.16	-
Alpha	0.14	-
Correlation	-1.75%	-
Treynor Ratio	-37.29%	-