GOOD RUB[Strategy] vs Deposit RUB[Benchmark]

11 Dec, 2024 - 22 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	37.06%	30.88%
CAGR﹪	21.62%	18.18%
Sharpe	7.4	66.08
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.94	53.03
Sortino	15.88	-
Smart Sortino	12.75	-
Sortino/√2	11.23	-
Smart Sortino/√2	9.01	-
Omega	3.54	3.54
Max Drawdown	-0.62%	-
Longest DD Days	-	-
Volatility (ann.)	2.61%	0.25%
R^2	0.01	0.01
Information Ratio	0.07	0.07
Calmar	35.04	-
Skew	0.26	1.35
Kurtosis	1.52	3.26
Expected Daily	0.08%	0.07%
Expected Monthly	1.59%	1.35%
Expected Yearly	11.08%	9.38%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.04%
Expected Shortfall (cVaR)	-0.19%	-0.04%
Max Consecutive Wins	13	411
Max Consecutive Losses	3	0
Gain/Pain Ratio	2.54	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.54	-
Common Sense Ratio	6.76	-
CPC Index	-	-
Tail Ratio	1.91	1.78
Outlier Win Ratio	2.28	4.93
Outlier Loss Ratio	0.87	-
MTD	1.1%	0.81%
3M	3.6%	3.34%
6M	8.58%	6.97%
YTD	9.23%	7.81%
1Y	18.29%	15.51%
3Y (ann.)	21.62%	18.18%
5Y (ann.)	21.62%	18.18%
10Y (ann.)	21.62%	18.18%
All-time (ann.)	21.62%	18.18%
Best Day	0.77%	0.12%
Worst Day	-0.62%	0.0%
Best Month	3.14%	1.79%
Worst Month	0.66%	0.81%
Best Year	22.76%	19.38%
Worst Year	2.21%	1.69%
Avg. Drawdown	-0.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	60.07	-
Ulcer Index	0.0	0.0
Serenity Index	307.77	-
Avg. Up Month	1.59%	1.35%
Avg. Down Month	-	-
Win Days	74.87%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.97	-
Alpha	0.03	-
Correlation	9.3%	-
Treynor Ratio	38.04%	-