LQDT RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 14 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	74.5%	73.51%
CAGR﹪	15.01%	14.85%
Sharpe	19.1	44.62
Prob. Sharpe Ratio	-	-
Smart Sharpe	17.16	40.1
Sortino	243.28	-
Smart Sortino	218.62	-
Sortino/√2	172.02	-
Smart Sortino/√2	154.59	-
Omega	155.64	155.64
Max Drawdown	-0.11%	-
Longest DD Days	-	-
Volatility (ann.)	0.67%	0.28%
R^2	0.15	0.15
Information Ratio	0.01	0.01
Calmar	137.31	-
Skew	1.34	0.51
Kurtosis	1.99	-0.66
Expected Daily	0.05%	0.05%
Expected Monthly	1.14%	1.13%
Expected Yearly	11.78%	11.65%
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	1095
Max Consecutive Losses	1	0
Gain/Pain Ratio	154.64	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	155.64	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	3.18
Outlier Win Ratio	2.5	2.6
Outlier Loss Ratio	-0.61	-
MTD	0.56%	0.53%
3M	3.58%	3.33%
6M	7.48%	7.2%
YTD	7.89%	7.51%
1Y	16.85%	15.55%
3Y (ann.)	18.01%	17.4%
5Y (ann.)	15.01%	14.85%
10Y (ann.)	15.01%	14.85%
All-time (ann.)	15.01%	14.85%
Best Day	0.26%	0.1%
Worst Day	-0.09%	0.0%
Best Month	1.8%	1.83%
Worst Month	0.16%	0.48%
Best Year	20.68%	19.38%
Worst Year	3.23%	3.5%
Avg. Drawdown	-0.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	681.45	-
Ulcer Index	0.0	0.0
Serenity Index	61694.81	-
Avg. Up Month	1.14%	1.13%
Avg. Down Month	-	-
Win Days	97.45%	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	38.91%	-
Treynor Ratio	81.09%	-