LQDT RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 6 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	82.32%	80.58%
CAGR﹪	15.01%	14.75%
Sharpe	19.0	44.7
Prob. Sharpe Ratio	-	-
Smart Sharpe	17.04	40.07
Sortino	248.93	-
Smart Sortino	223.18	-
Sortino/√2	176.02	-
Smart Sortino/√2	157.81	-
Omega	153.58	153.58
Max Drawdown	-0.11%	-
Longest DD Days	-	-
Volatility (ann.)	0.66%	0.28%
R^2	0.14	0.14
Information Ratio	0.02	0.02
Calmar	137.25	-
Skew	1.33	0.66
Kurtosis	1.99	-0.48
Expected Daily	0.05%	0.05%
Expected Monthly	1.14%	1.12%
Expected Yearly	12.76%	12.55%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.02%	-0.02%
Expected Shortfall (cVaR)	-0.02%	-0.02%
Max Consecutive Wins	336	1201
Max Consecutive Losses	1	0
Gain/Pain Ratio	152.58	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	153.58	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	3.18
Outlier Win Ratio	2.53	2.66
Outlier Loss Ratio	-0.79	-
MTD	0.22%	0.22%
3M	3.61%	3.4%
6M	7.3%	6.68%
YTD	12.72%	11.89%
1Y	15.7%	14.61%
3Y (ann.)	18.17%	17.53%
5Y (ann.)	15.01%	14.75%
10Y (ann.)	15.01%	14.75%
All-time (ann.)	15.01%	14.75%
Best Day	0.26%	0.1%
Worst Day	-0.09%	0.0%
Best Month	1.8%	1.83%
Worst Month	0.16%	0.22%
Best Year	20.68%	19.38%
Worst Year	3.23%	3.5%
Avg. Drawdown	-0.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	752.99	-
Ulcer Index	0.0	0.0
Serenity Index	73529.9	-
Avg. Up Month	1.14%	1.12%
Avg. Down Month	-	-
Win Days	97.04%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.91	-
Alpha	0.01	-
Correlation	38.07%	-
Treynor Ratio	90.46%	-