GPBS RUB[Strategy] vs Deposit RUB[Benchmark]

31 Jul, 2019 - 26 Jun, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	81.0%	100.0%
Cumulative Return	29.35%	44.96%
CAGR﹪	5.38%	7.86%
Sharpe	0.46	17.69
Prob. Sharpe Ratio	78.12%	100.0%
Smart Sharpe	0.27	10.37
Sortino	0.78	-
Smart Sortino	0.46	-
Sortino/√2	0.55	-
Smart Sortino/√2	0.32	-
Omega	1.28	1.28
Max Drawdown	-33.13%	-
Longest DD Days	-	-
Volatility (ann.)	38.28%	0.88%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	0.16	-
Skew	7.06	2.59
Kurtosis	255.24	11.35
Expected Daily	0.04%	0.06%
Expected Monthly	0.44%	0.64%
Expected Yearly	4.38%	6.38%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.9%	-0.03%
Expected Shortfall (cVaR)	-3.9%	-0.03%
Max Consecutive Wins	5	602
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.28	-
Gain/Pain (1M)	2.37	-
Payoff Ratio	-	-
Profit Factor	1.28	-
Common Sense Ratio	1.54	-
CPC Index	-	-
Tail Ratio	1.2	8.79
Outlier Win Ratio	2.72	21.32
Outlier Loss Ratio	1.38	-
MTD	-0.91%	1.34%
3M	-1.07%	4.22%
6M	1.25%	8.29%
YTD	2.36%	7.8%
1Y	-1.37%	14.09%
3Y (ann.)	4.54%	9.86%
5Y (ann.)	5.38%	7.86%
10Y (ann.)	5.38%	7.86%
All-time (ann.)	5.38%	7.86%
Best Day	45.25%	0.53%
Worst Day	-31.79%	0.0%
Best Month	4.86%	1.34%
Worst Month	-5.24%	0.0%
Best Year	9.49%	10.02%
Worst Year	0.47%	2.13%
Avg. Drawdown	-1.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.89	-
Ulcer Index	0.02	0.0
Serenity Index	8.13	-
Avg. Up Month	1.23%	0.6%
Avg. Down Month	-	-
Win Days	57.14%	100.0%
Win Month	64.91%	100.0%
Win Quarter	75.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.47	-
Alpha	-0.05	-
Correlation	3.37%	-
Treynor Ratio	19.98%	-