INGO RUB[Strategy] vs Deposit RUB[Benchmark]

28 Jul, 2021 - 21 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	59.47%	86.77%
CAGR﹪	9.82%	13.36%
Sharpe	1.22	40.77
Prob. Sharpe Ratio	98.27%	-
Smart Sharpe	0.93	30.91
Sortino	1.65	-
Smart Sortino	1.25	-
Sortino/√2	1.17	-
Smart Sortino/√2	0.89	-
Omega	1.38	1.38
Max Drawdown	-13.61%	-
Longest DD Days	-	-
Volatility (ann.)	8.1%	0.31%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.72	-
Skew	-4.83	0.4
Kurtosis	174.98	-0.09
Expected Daily	0.04%	0.05%
Expected Monthly	0.78%	1.05%
Expected Yearly	8.09%	10.97%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.8%	-0.02%
Expected Shortfall (cVaR)	-0.8%	-0.02%
Max Consecutive Wins	14	1231
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.38	-
Gain/Pain (1M)	2.78	-
Payoff Ratio	-	-
Profit Factor	1.38	-
Common Sense Ratio	1.65	-
CPC Index	-	-
Tail Ratio	1.19	3.41
Outlier Win Ratio	3.25	15.21
Outlier Loss Ratio	1.85	-
MTD	0.12%	0.76%
3M	2.0%	3.34%
6M	7.38%	7.03%
YTD	7.31%	7.76%
1Y	15.57%	15.52%
3Y (ann.)	12.96%	17.42%
5Y (ann.)	10.26%	13.41%
10Y (ann.)	9.82%	13.36%
All-time (ann.)	9.82%	13.36%
Best Day	7.09%	0.15%
Worst Day	-10.42%	0.0%
Best Month	5.42%	1.83%
Worst Month	-5.9%	0.31%
Best Year	23.82%	19.38%
Worst Year	-0.64%	3.19%
Avg. Drawdown	-0.51%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.37	-
Ulcer Index	0.01	0.0
Serenity Index	10.01	-
Avg. Up Month	1.46%	1.09%
Avg. Down Month	-	-
Win Days	57.23%	100.0%
Win Month	75.0%	100.0%
Win Quarter	80.95%	100.0%
Win Year	83.33%	100.0%
Beta	0.78	-
Alpha	-0.0	-
Correlation	3.02%	-
Treynor Ratio	76.35%	-