MKBD RUB[Strategy] vs Deposit RUB[Benchmark]

28 Jul, 2021 - 27 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	0.04%	82.33%
CAGR﹪	0.01%	13.74%
Sharpe	0.14	27.32
Prob. Sharpe Ratio	61.24%	100.0%
Smart Sharpe	0.12	24.13
Sortino	0.18	-
Smart Sortino	0.16	-
Sortino/√2	0.13	-
Smart Sortino/√2	0.11	-
Omega	1.03	1.03
Max Drawdown	-45.18%	-
Longest DD Days	-	-
Volatility (ann.)	26.3%	0.49%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.0	-
Skew	-2.09	9.06
Kurtosis	35.19	133.57
Expected Daily	0.0%	0.05%
Expected Monthly	0.0%	1.06%
Expected Yearly	0.01%	10.53%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.71%	-0.0%
Expected Shortfall (cVaR)	-2.71%	-0.0%
Max Consecutive Wins	7	1140
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.03	-
Gain/Pain (1M)	0.13	-
Payoff Ratio	-	-
Profit Factor	1.03	-
Common Sense Ratio	1.0	-
CPC Index	-	-
Tail Ratio	0.98	3.33
Outlier Win Ratio	2.15	39.93
Outlier Loss Ratio	1.69	-
MTD	-2.34%	1.15%
3M	3.4%	3.7%
6M	1.93%	7.75%
YTD	2.98%	3.58%
1Y	-6.7%	17.72%
3Y (ann.)	5.71%	16.84%
5Y (ann.)	0.01%	13.74%
10Y (ann.)	0.01%	13.74%
All-time (ann.)	0.01%	13.74%
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	-4.48%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.0	-
Ulcer Index	0.21	0.0
Serenity Index	0.0	-
Avg. Up Month	4.38%	0.99%
Avg. Down Month	-	-
Win Days	52.26%	100.0%
Win Month	57.89%	100.0%
Win Quarter	52.63%	100.0%
Win Year	50.0%	100.0%
Beta	2.8	-
Alpha	-0.34	-
Correlation	5.16%	-
Treynor Ratio	0.01%	-