GOOD RUB[Strategy] vs Deposit RUB[Benchmark]

11 Dec, 2024 - 5 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	35.34%	28.81%
CAGR﹪	22.65%	18.62%
Sharpe	7.91	67.52
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	6.21	53.06
Sortino	18.51	-
Smart Sortino	14.54	-
Sortino/√2	13.09	-
Smart Sortino/√2	10.28	-
Omega	3.9	3.9
Max Drawdown	-0.31%	-
Longest DD Days	-	-
Volatility (ann.)	2.54%	0.25%
R^2	0.01	0.01
Information Ratio	0.08	0.08
Calmar	72.54	-
Skew	0.5	1.3
Kurtosis	1.18	3.3
Expected Daily	0.08%	0.07%
Expected Monthly	1.61%	1.34%
Expected Yearly	10.61%	8.8%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.04%
Expected Shortfall (cVaR)	-0.18%	-0.04%
Max Consecutive Wins	13	379
Max Consecutive Losses	3	0
Gain/Pain Ratio	2.9	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.9	-
Common Sense Ratio	7.88	-
CPC Index	-	-
Tail Ratio	2.02	1.8
Outlier Win Ratio	2.34	4.9
Outlier Loss Ratio	0.86	-
MTD	0.49%	0.27%
3M	5.04%	3.46%
6M	9.31%	7.21%
YTD	7.86%	6.1%
1Y	21.41%	16.19%
3Y (ann.)	22.65%	18.62%
5Y (ann.)	22.65%	18.62%
10Y (ann.)	22.65%	18.62%
All-time (ann.)	22.65%	18.62%
Best Day	0.77%	0.12%
Worst Day	-0.28%	0.0%
Best Month	3.14%	1.79%
Worst Month	0.49%	0.27%
Best Year	22.76%	19.38%
Worst Year	2.21%	1.69%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	113.18	-
Ulcer Index	0.0	0.0
Serenity Index	450.77	-
Avg. Up Month	1.61%	1.34%
Avg. Down Month	-	-
Win Days	75.96%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.86	-
Alpha	0.06	-
Correlation	8.39%	-
Treynor Ratio	41.19%	-