GROD RUB[Strategy] vs Deposit RUB[Benchmark]

16 Jun, 2021 - 5 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-15.47%	79.72%
CAGR﹪	-3.56%	13.46%
Sharpe	-0.02	16.62
Prob. Sharpe Ratio	48.04%	99.48%
Smart Sharpe	-0.02	15.7
Sortino	-0.03	-
Smart Sortino	-0.03	-
Sortino/√2	-0.02	-
Smart Sortino/√2	-0.02	-
Omega	1.0	1.0
Max Drawdown	-54.81%	-
Longest DD Days	-	-
Volatility (ann.)	24.63%	0.77%
R^2	0.04	0.04
Information Ratio	-0.03	-0.03
Calmar	-0.06	-
Skew	-1.51	25.85
Kurtosis	19.02	802.36
Expected Daily	-0.01%	0.05%
Expected Monthly	-0.29%	1.03%
Expected Yearly	-2.76%	10.26%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.55%	-0.03%
Expected Shortfall (cVaR)	-2.55%	-0.03%
Max Consecutive Wins	12	1160
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.0	-
Gain/Pain (1M)	-0.02	-
Payoff Ratio	-	-
Profit Factor	1.0	-
Common Sense Ratio	0.89	-
CPC Index	-	-
Tail Ratio	0.9	3.6
Outlier Win Ratio	2.09	37.39
Outlier Loss Ratio	1.55	-
MTD	-1.41%	0.29%
3M	10.1%	4.03%
6M	1.27%	8.13%
YTD	1.7%	1.53%
1Y	3.58%	18.88%
3Y (ann.)	11.55%	16.46%
5Y (ann.)	-3.56%	13.46%
10Y (ann.)	-3.56%	13.46%
All-time (ann.)	-3.56%	13.46%
Best Day	10.89%	1.55%
Worst Day	-16.81%	0.0%
Best Month	15.49%	1.83%
Worst Month	-26.79%	0.29%
Best Year	42.49%	19.38%
Worst Year	-41.49%	1.53%
Avg. Drawdown	-7.72%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.28	-
Ulcer Index	0.29	0.0
Serenity Index	-0.02	-
Avg. Up Month	5.07%	1.03%
Avg. Down Month	-	-
Win Days	55.73%	100.0%
Win Month	52.63%	100.0%
Win Quarter	55.0%	100.0%
Win Year	50.0%	100.0%
Beta	6.13	-
Alpha	-0.79	-
Correlation	19.05%	-
Treynor Ratio	-2.53%	-