MONY RUB[Strategy] vs Deposit RUB[Benchmark]

26 Dec, 2024 - 29 Jan, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	96.0%
Cumulative Return	1.12%	3.17%
CAGR﹪	12.75%	39.8%
Sharpe	5.75	17.82
Prob. Sharpe Ratio	95.27%	-
Smart Sharpe	4.74	14.68
Sortino	11.0	-
Smart Sortino	9.06	-
Sortino/√2	7.78	-
Smart Sortino/√2	6.41	-
Omega	2.94	2.94
Max Drawdown	-0.27%	-
Longest DD Days	-	-
Volatility (ann.)	2.23%	2.01%
R^2	0.03	0.03
Information Ratio	-0.44	-0.44
Calmar	47.51	-
Skew	0.07	2.13
Kurtosis	1.36	3.21
Expected Daily	0.05%	0.14%
Expected Monthly	0.56%	1.57%
Expected Yearly	0.56%	1.57%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.07%
Expected Shortfall (cVaR)	-0.18%	-0.07%
Max Consecutive Wins	4	21
Max Consecutive Losses	1	0
Gain/Pain Ratio	1.94	-
Gain/Pain (1M)	18.84	-
Payoff Ratio	-	-
Profit Factor	2.94	-
Common Sense Ratio	4.8	-
CPC Index	-	-
Tail Ratio	1.63	4.54
Outlier Win Ratio	4.23	2.81
Outlier Loss Ratio	0.81	-
MTD	1.18%	1.79%
3M	1.12%	3.17%
6M	1.12%	3.17%
YTD	1.18%	1.79%
1Y	1.12%	3.17%
3Y (ann.)	12.75%	39.8%
5Y (ann.)	12.75%	39.8%
10Y (ann.)	12.75%	39.8%
All-time (ann.)	12.75%	39.8%
Best Day	0.36%	0.45%
Worst Day	-0.27%	0.0%
Best Month	1.18%	1.79%
Worst Month	-0.06%	1.35%
Best Year	1.18%	1.79%
Worst Year	-0.06%	1.35%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.19	-
Ulcer Index	0.0	0.0
Serenity Index	12.03	-
Avg. Up Month	1.18%	1.79%
Avg. Down Month	-	-
Win Days	77.78%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.21	-
Alpha	0.2	-
Correlation	-18.54%	-
Treynor Ratio	-5.46%	-