GOOD RUB[Strategy] vs Deposit RUB[Benchmark]

11 Dec, 2024 - 7 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	40.0%	32.97%
CAGR﹪	21.34%	17.79%
Sharpe	7.29	64.39
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.8	51.26
Sortino	15.47	-
Smart Sortino	12.31	-
Sortino/√2	10.94	-
Smart Sortino/√2	8.71	-
Omega	3.45	3.45
Max Drawdown	-0.62%	-
Longest DD Days	-	-
Volatility (ann.)	2.62%	0.25%
R^2	0.01	0.01
Information Ratio	0.07	0.07
Calmar	34.59	-
Skew	0.21	1.37
Kurtosis	1.36	3.19
Expected Daily	0.08%	0.06%
Expected Monthly	1.54%	1.3%
Expected Yearly	11.87%	9.96%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.04%
Expected Shortfall (cVaR)	-0.2%	-0.04%
Max Consecutive Wins	13	444
Max Consecutive Losses	3	0
Gain/Pain Ratio	2.45	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	3.45	-
Common Sense Ratio	6.44	-
CPC Index	-	-
Tail Ratio	1.87	1.92
Outlier Win Ratio	2.26	5.02
Outlier Loss Ratio	0.93	-
MTD	0.63%	0.25%
3M	3.45%	3.24%
6M	8.1%	6.69%
YTD	11.57%	9.53%
1Y	17.83%	14.95%
3Y (ann.)	21.34%	17.79%
5Y (ann.)	21.34%	17.79%
10Y (ann.)	21.34%	17.79%
All-time (ann.)	21.34%	17.79%
Best Day	0.77%	0.12%
Worst Day	-0.62%	0.0%
Best Month	3.14%	1.79%
Worst Month	0.43%	0.25%
Best Year	22.76%	19.38%
Worst Year	2.21%	1.69%
Avg. Drawdown	-0.15%	-
Avg. Drawdown Days	-	-
Recovery Factor	64.84	-
Ulcer Index	0.0	0.0
Serenity Index	302.14	-
Avg. Up Month	1.54%	1.3%
Avg. Down Month	-	-
Win Days	73.95%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.92	-
Alpha	0.04	-
Correlation	8.82%	-
Treynor Ratio	43.41%	-