LQDT RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 6 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	26.03%	26.7%
CAGR﹪	11.48%	11.76%
Sharpe	18.89	43.89
Prob. Sharpe Ratio	-	-
Smart Sharpe	18.14	42.16
Sortino	146.06	-
Smart Sortino	140.31	-
Sortino/√2	103.28	-
Smart Sortino/√2	99.21	-
Omega	82.05	82.05
Max Drawdown	-0.11%	-
Longest DD Days	-	-
Volatility (ann.)	0.57%	0.25%
R^2	0.16	0.16
Information Ratio	-0.03	-0.03
Calmar	105.02	-
Skew	1.29	0.52
Kurtosis	2.3	-0.61
Expected Daily	0.04%	0.04%
Expected Monthly	0.86%	0.88%
Expected Yearly	8.02%	8.21%
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	170	542
Max Consecutive Losses	1	0
Gain/Pain Ratio	81.05	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	82.05	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	2.66
Outlier Win Ratio	2.51	2.54
Outlier Loss Ratio	-0.18	-
MTD	0.35%	0.33%
3M	4.33%	4.4%
6M	8.41%	8.39%
YTD	11.29%	11.29%
1Y	16.25%	15.91%
3Y (ann.)	11.48%	11.76%
5Y (ann.)	11.48%	11.76%
10Y (ann.)	11.48%	11.76%
All-time (ann.)	11.48%	11.76%
Best Day	0.2%	0.1%
Worst Day	-0.09%	0.0%
Best Month	1.5%	1.46%
Worst Month	0.16%	0.33%
Best Year	11.29%	11.29%
Worst Year	3.23%	3.5%
Avg. Drawdown	-0.03%	-
Avg. Drawdown Days	-	-
Recovery Factor	238.12	-
Ulcer Index	0.0	0.0
Serenity Index	9088.15	-
Avg. Up Month	0.86%	0.88%
Avg. Down Month	-	-
Win Days	97.71%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.92	-
Alpha	0.01	-
Correlation	40.4%	-
Treynor Ratio	28.35%	-