MKBD RUB[Strategy] vs Deposit RUB[Benchmark]

28 Jul, 2021 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	-3.25%	90.86%
CAGR﹪	-0.65%	13.68%
Sharpe	0.11	27.68
Prob. Sharpe Ratio	59.43%	100.0%
Smart Sharpe	0.1	24.93
Sortino	0.14	-
Smart Sortino	0.13	-
Sortino/√2	0.1	-
Smart Sortino/√2	0.09	-
Omega	1.02	1.02
Max Drawdown	-45.18%	-
Longest DD Days	-	-
Volatility (ann.)	25.89%	0.47%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	-0.01	-
Skew	-1.98	9.38
Kurtosis	34.1	143.92
Expected Daily	-0.0%	0.05%
Expected Monthly	-0.05%	1.05%
Expected Yearly	-0.55%	11.37%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.67%	-0.0%
Expected Shortfall (cVaR)	-2.67%	-0.0%
Max Consecutive Wins	7	1261
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.02	-
Gain/Pain (1M)	0.1	-
Payoff Ratio	-	-
Profit Factor	1.02	-
Common Sense Ratio	0.99	-
CPC Index	-	-
Tail Ratio	0.97	3.25
Outlier Win Ratio	2.26	42.31
Outlier Loss Ratio	1.75	-
MTD	4.86%	0.31%
3M	-2.81%	3.23%
6M	-3.77%	6.66%
YTD	-0.41%	8.42%
1Y	-9.6%	15.18%
3Y (ann.)	-2.46%	17.45%
5Y (ann.)	-1.27%	13.83%
10Y (ann.)	-0.65%	13.68%
All-time (ann.)	-0.65%	13.68%
Best Day	12.19%	0.51%
Worst Day	-22.27%	0.0%
Best Month	18.05%	1.83%
Worst Month	-21.38%	0.31%
Best Year	50.35%	19.38%
Worst Year	-29.89%	3.19%
Avg. Drawdown	-4.73%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.07	-
Ulcer Index	0.21	0.0
Serenity Index	-0.01	-
Avg. Up Month	4.19%	0.98%
Avg. Down Month	-	-
Win Days	51.89%	100.0%
Win Month	58.06%	100.0%
Win Quarter	52.38%	100.0%
Win Year	33.33%	100.0%
Beta	2.78	-
Alpha	-0.33	-
Correlation	5.01%	-
Treynor Ratio	-1.17%	-