GOOD RUB[Strategy] vs Deposit RUB[Benchmark]

11 Dec, 2024 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	14.07%	13.07%
CAGR﹪	25.45%	23.55%
Sharpe	7.49	78.19
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.61	58.56
Sortino	17.52	-
Smart Sortino	13.12	-
Sortino/√2	12.39	-
Smart Sortino/√2	9.28	-
Omega	3.49	3.49
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	2.9%	0.26%
R^2	0.02	0.02
Information Ratio	0.03	0.03
Calmar	91.18	-
Skew	0.45	0.25
Kurtosis	0.64	4.48
Expected Daily	0.09%	0.08%
Expected Monthly	1.66%	1.55%
Expected Yearly	6.81%	6.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.21%	-0.05%
Expected Shortfall (cVaR)	-0.21%	-0.05%
Max Consecutive Wins	13	152
Max Consecutive Losses	2	0
Gain/Pain Ratio	2.49	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.49	-
Common Sense Ratio	6.41	-
CPC Index	-	-
Tail Ratio	1.83	1.94
Outlier Win Ratio	1.98	4.01
Outlier Loss Ratio	0.7	-
MTD	0.98%	0.68%
3M	5.75%	4.96%
6M	10.91%	10.7%
YTD	11.61%	11.19%
1Y	14.07%	13.07%
3Y (ann.)	25.45%	23.55%
5Y (ann.)	25.45%	23.55%
10Y (ann.)	25.45%	23.55%
All-time (ann.)	25.45%	23.55%
Best Day	0.77%	0.12%
Worst Day	-0.28%	0.0%
Best Month	2.21%	1.79%
Worst Month	0.98%	0.68%
Best Year	11.61%	11.19%
Worst Year	2.21%	1.69%
Avg. Drawdown	-0.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	50.43	-
Ulcer Index	0.0	0.0
Serenity Index	152.51	-
Avg. Up Month	1.66%	1.55%
Avg. Down Month	-	-
Win Days	73.29%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.51	-
Alpha	-0.09	-
Correlation	13.46%	-
Treynor Ratio	9.32%	-